{ "schema_version": "v13_source_eod_review_2", "plan_date": "20260916", "trade_date": "20260917", "source_paths": { "paper_runtime_snapshot": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/paper_runtime_postclose_audit_20260917.json", "postclose_audit": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/paper_runtime_postclose_audit_20260917.json", "execution_decision_snapshot": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/local_paper_execution_snapshot_20260917.json", "legacy_trading_log": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/reports/trading/local_paper_trading_log_20260916.json", "latest_signals": "local_paper_runtime/reports/trading/local_paper_latest_signals.json", "portfolio_state": "local_paper_runtime/reports/trading/local_paper_portfolio_state.json", "trading_log": "local_paper_runtime/reports/trading/local_paper_trading_log_20260916.json", "risk_overlay": "local_paper_runtime/reports/trading/local_paper_risk_overlay_20260917.json", "intraday_metric_reconciliation": "embedded_in_snapshot", "sqlite_portfolio": "/Users/tonyyu/sector_wave_agent/local_paper_runtime/runtime/state/local_paper.sqlite" }, "status": "PAPER_RUNNING", "mode": "SIMULATION_READY", "allow_new_positions": true, "permission_timeline": { "configured_trade_mode": "SIMULATION_READY", "configured_allow_new_positions": true, "close_effective_trade_mode": "SIMULATION_READY", "close_effective_allow_new_positions": true, "transition_reason": "configured_permission_preserved_with_strict_gate", "reasons": [], "chronology_note": "成交按各自发生时点的盘中权限认定；收盘有效模式只描述收盘状态，不能倒推抹除午盘前成交。" }, "account": { "initial_capital": 1000000.0, "cash": 1001593.63109, "market_value": 24686.999999999996, "total_value": 1026280.63109, "unrealized_pnl": -845.0000000000027, "realized_pnl": 0.0, "daily_pnl": -851.6383199999109, "daily_pnl_source": "cash_plus_market_value_equity_delta", 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"daily_pnl": -851.6383199999109, "daily_pnl_source": "cash_plus_market_value_equity_delta", "daily_pnl_mark_to_prev_close": 51.99999999999889, "daily_return_pct": -0.08291418207404823, "transaction_costs": 6.63832, "transaction_costs_trade_date": 6.63832, "transaction_costs_source": "sqlite_trade_date_filled_orders", "filled_orders": 1, "rejected_orders": 0, "unfilled_orders": 0, "waiting_orders": 0, "official_buy_filled": 1, "shadow_buy_filled": 0, "risk_sell_filled": 0, "normal_sell_filled": 0, "position_add_filled": 0, "positions": 1, "raw_positions": 1, "dust_positions": 0, "signals": 22, "active_contracts": 2, "conditional_contracts": 15, "active_plan_contracts": 2, "watch_candidate_contracts": 5, "actionable": 0, "shadow_actionable": 0, "actionable_source": "runtime_gate_funnel", "preopen_sector_flow_passed": true, "integrity_warning": null, "account_integrity_warning": null, "realized_pnl_source": "no_filled_sell", "vwap_reconciliation": { "schema_version": "intraday_metric_reconciliation_v1", "method": "official_runtime_feed_then_bounded_minute_window_proxy", "scope": "all_signal_rows", "signal_count": 22, "vwap_official_count": 20, "vwap_raw_missing_count": 0, "vwap_recovered_proxy_count": 0, "vwap_proxy_count": 2, "vwap_remaining_missing_count": 0, "vwap_raw_missing_ratio": 0.0, "vwap_proxy_ratio": 0.0909, "vwap_remaining_missing_ratio": 0.0, "official_entry_policy": "official_runtime_feed_required; proxy_only_extended_confirmation" }, "vwap_reconciliation_scope": "all_signal_rows", "preopen_regime_alert": { "schema_version": "preopen_regime_transition_alert_v1", "trade_date": "20260917", "status": "ALERT", "severity": "AMBER", "window": "09:00-09:25", "plan_regime": "HOT", "execution_regime": "MIXED", "plan_score": null, "execution_score": 33.26, "score_delta": null, "mismatch": true, "comparison_state": "mismatch", "execution_regime_confirmed": true, "external_level": "LOW", "external_source_path": "reports/external_checks/external_tech_shock_20260917.json", "triggers": [ "plan_regime_HOT_to_execution_MIXED" ], "action": "09:00-09:25 重新确认执行日 regime、外部科技冲击和板块承接；确认前只允许观察/持仓风控。", "no_silent_reopen": true }, "position_risk_event_count": 1, "t1_blocked_risk_count": 1 }, "positions": [ { "symbol": "SZSE.300632", "name": "光莆股份", "quantity": 1300, "sellable_qty": 0, "avg_cost": 19.64, "last_price": 18.99, "prev_close": 18.95, "holding_days": 0, "daily_pnl": 51.99999999999889, "daily_return_pct": 0.2110817941952462, "unrealized_pnl": -845.0000000000027, "unrealized_pnl_pct": -3.309572301425673, "position_pct_of_total": 2.4054824043381036, "over_cap": false, "over_cap_policy": null, "slot_eligible": true, "dust_position": false, "slot_policy": null, "cleanup_hint": null, "risk_flag": null, "updated_at": "2026-09-17T14:55:27", "market_value": 24686.999999999996 } ], "orders": [ { "event_id": "20260916:20260917:SZSE.300632:SECOND_WAVE_BREAK_VWAP:BUY", "ts": "2026-09-17T09:41:40", "symbol": "SZSE.300632", "name": "光莆股份", "side": "BUY", "status": "FILLED", "order_kind": "OFFICIAL_BUY", "kind_inferred": true, "qty": 1300, "price": 19.64, "amount": 25532.0, "reason": "paper_fill_at_ask1", "realized_pnl_delta": null, "rule_id": null, "sim_reason": "trigger_touched", "trigger_price": 19.28, "raw_status": "FILLED", "raw": { "amount": 25532.0, "base_exec_high": 19.86, "cash_before_order": 1027132.27, "chase_ceiling": 19.86, "cost_model_version": "paper_trading_costs_v1", "current_position_value": 0.0, "decision": "active_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": null, "entry_risk_pct": 4.7862, "entry_zone_high": 19.57, "entry_zone_low": 18.99, "event_id": "20260916:20260917:SZSE.300632:SECOND_WAVE_BREAK_VWAP:BUY", "exec_high": 19.86, "exec_low": 19.28, "gross_amount": 25532.0, "intraday_vwap": 19.5478, "invalid_price": 18.7, "ma5": null, "max_chase_pct": 3.0, "minute_energy": { "absolute_amount_multiple_min": 1.6, "amount_base_hint_yi": 0.5, "amount_floor_yi": 0.15, "amount_yi": 0.2264, "bar_count": 3, "bars": [ { "amount_yi": 0.0538, "close": 19.56, "high": 19.6, "low": 19.56, "open": 19.6, "time": "09:39" }, { "amount_yi": 0.052, "close": 19.56, "high": 19.56, "low": 19.54, "open": 19.54, "time": "09:40" }, { "amount_yi": 0.1206, "close": 19.64, "high": 19.69, "low": 19.64, "open": 19.69, "time": "09:41" } ], "energy_ratio": 1.2426, "min_samples": 2, "passed": true, "prev_amount_yi": 0.1822, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "SECOND_WAVE_BREAK_VWAP", "window_min": 3 }, "name": "光莆股份", "net_cash_change": -25538.63832, "paper_scope": "active", "participation_rate": null, "plan_date": "20260916", "plan_id": "20260916:SZSE.300632:SECOND_WAVE_BREAK_VWAP", "price": 19.64, "price_vs_vwap_pct": 0.4717, "qty": 1300, "quote_ask1": 19.64, "quote_ask_qty1": 12, "quote_bid1": 19.63, "quote_bid_qty1": 73, "quote_high": 19.86, "quote_last": 19.64, "quote_low": 18.96, "quote_open": 19.18, "quote_prev_close": 18.95, "quote_ts": "2026-09-17T09:41:36", "reason": "paper_fill_at_ask1", "side": "BUY", "sim_reason": "trigger_touched", "sizing_reason": "position_sized_by_target_pct_entry_risk_reduced", "slippage_bps": 186.72, "status": "FILLED", "suggested_position_pct": 5.0, "symbol": "SZSE.300632", "target_amount": 25678.31, "target_position_pct": 2.5, "template_key": "SECOND_WAVE_BREAK_VWAP", "theme": "AI算力链 / 共封装光学(CPO)", "trade_date": "20260917", "transaction_cost_total": 6.63832, "transaction_costs": { "commission": 6.383, "cost_model_version": "paper_trading_costs_v1", "gross_amount": 25532.0, "price": 19.64, "quantity": 1300, "side": "BUY", "stamp_tax": 0.0, "total": 6.63832, "transfer_fee": 0.25532000000000005 }, "trigger_price": 19.28, "ts": "2026-09-17T09:41:40", "id": 110, "raw_json": "{\"amount\": 25532.0, \"base_exec_high\": 19.86, \"cash_before_order\": 1027132.27, \"chase_ceiling\": 19.86, \"cost_model_version\": \"paper_trading_costs_v1\", \"current_position_value\": 0.0, \"decision\": \"active_plan\", \"dynamic_exec_high\": null, \"energy_floor_hint_yi\": null, \"entry_risk_pct\": 4.7862, \"entry_zone_high\": 19.57, \"entry_zone_low\": 18.99, \"event_id\": \"20260916:20260917:SZSE.300632:SECOND_WAVE_BREAK_VWAP:BUY\", \"exec_high\": 19.86, \"exec_low\": 19.28, \"gross_amount\": 25532.0, \"intraday_vwap\": 19.5478, \"invalid_price\": 18.7, \"ma5\": null, \"max_chase_pct\": 3.0, \"minute_energy\": {\"absolute_amount_multiple_min\": 1.6, \"amount_base_hint_yi\": 0.5, \"amount_floor_yi\": 0.15, \"amount_yi\": 0.2264, \"bar_count\": 3, \"bars\": [{\"amount_yi\": 0.0538, \"close\": 19.56, \"high\": 19.6, \"low\": 19.56, \"open\": 19.6, \"time\": \"09:39\"}, {\"amount_yi\": 0.052, \"close\": 19.56, \"high\": 19.56, \"low\": 19.54, \"open\": 19.54, \"time\": \"09:40\"}, {\"amount_yi\": 0.1206, \"close\": 19.64, \"high\": 19.69, \"low\": 19.64, \"open\": 19.69, \"time\": \"09:41\"}], \"energy_ratio\": 1.2426, \"min_samples\": 2, \"passed\": true, \"prev_amount_yi\": 0.1822, \"ratio_min\": 1.05, \"reason\": \"minute_energy_confirmed\", \"template_key\": \"SECOND_WAVE_BREAK_VWAP\", \"window_min\": 3}, \"name\": \"光莆股份\", \"net_cash_change\": -25538.63832, \"paper_scope\": \"active\", \"participation_rate\": null, \"plan_date\": \"20260916\", \"plan_id\": \"20260916:SZSE.300632:SECOND_WAVE_BREAK_VWAP\", \"price\": 19.64, \"price_vs_vwap_pct\": 0.4717, \"qty\": 1300, \"quote_ask1\": 19.64, \"quote_ask_qty1\": 12, \"quote_bid1\": 19.63, \"quote_bid_qty1\": 73, \"quote_high\": 19.86, \"quote_last\": 19.64, \"quote_low\": 18.96, \"quote_open\": 19.18, \"quote_prev_close\": 18.95, \"quote_ts\": \"2026-09-17T09:41:36\", \"reason\": \"paper_fill_at_ask1\", \"side\": \"BUY\", \"sim_reason\": \"trigger_touched\", \"sizing_reason\": \"position_sized_by_target_pct_entry_risk_reduced\", \"slippage_bps\": 186.72, \"status\": \"FILLED\", \"suggested_position_pct\": 5.0, \"symbol\": \"SZSE.300632\", \"target_amount\": 25678.31, \"target_position_pct\": 2.5, \"template_key\": \"SECOND_WAVE_BREAK_VWAP\", \"theme\": \"AI算力链 / 共封装光学(CPO)\", \"trade_date\": \"20260917\", \"transaction_cost_total\": 6.63832, \"transaction_costs\": {\"commission\": 6.383, \"cost_model_version\": \"paper_trading_costs_v1\", \"gross_amount\": 25532.0, \"price\": 19.64, \"quantity\": 1300, \"side\": \"BUY\", \"stamp_tax\": 0.0, \"total\": 6.63832, \"transfer_fee\": 0.25532000000000005}, \"trigger_price\": 19.28, \"ts\": \"2026-09-17T09:41:40\"}" } } ], "shadow_observation_summary": { "total": 22, "status_counts": { "OBSERVE": 12, "FILLED": 1, "CANCELLED": 8, "TOUCHED": 1 }, "actionable_count": 0, "touched_count": 1, "cancelled_count": 8, "near_trigger_count": 0, "observe_count": 12, "chase_ceiling_blocked_count": 1, "invalid_price_broken_count": 8, "sector_divergence": [ { "theme": "AI算力链 / 共封装光学(CPO)", "signals": 8, "chase": 1, "invalidation": 3 } ], "top_reasons": [ { "reason": "session_invalidation_latched", "count": 8 }, { "reason": "signal_contract_missing_price_fields", "count": 5 }, { "reason": "waiting_trigger", "count": 4 }, { "reason": "minute_energy_amount_too_low", "count": 2 }, { "reason": "already_filled_position_tracking", "count": 1 }, { "reason": "entry_risk_too_wide_over_5pct", "count": 1 }, { "reason": "trigger_touched_but_above_exec_high", "count": 1 } ], "policy_note": "OBSERVE_ONLY 下 actionable 仅为影子候选，不等于实际可执行买入；正式可执行数量以 runtime_gate_funnel.actionable 为准。" }, "shadow_position_lifecycle": [], "intended_but_blocked": [ { "symbol": "SZSE.300570", "rule": "SECOND_WAVE_BREAK_VWAP", "wanted_qty": null, "blocked_by": "entry_risk", "day_return_pct": 4.1862, "reason": "太辰光，entry_risk_too_wide_over_5pct，现价 215.03，触发 209.50，失效 203.22，入场风险 5.50%" }, { "symbol": "SZSE.002796", "rule": "SECOND_WAVE_BREAK_VWAP", "wanted_qty": 2500, "blocked_by": "framework_pool_gate", "day_return_pct": 10.0068, "reason": "世嘉科技，conditional_plan_watch_only，现价 32.54，触发 29.86，失效 28.96" } ], "position_risk_events": [ { "symbol": "SZSE.300632", "name": "光莆股份", "rule": "position_stop_loss", "status": "BLOCKED_T1", "side": "SELL", "qty": 0, "sellable_qty": 0, "last_price": 19.0, "avg_cost": 19.64, "pnl_pct": -3.2587, "threshold": -3.0, "reason": "t1_sellable_qty_insufficient", "source_order_id": 110, "source_event_id": "20260916:20260917:SZSE.300632:SECOND_WAVE_BREAK_VWAP:BUY", "quote_prev_close": null, "reference_price": null, "price_scale_gap_pct": null, "raw_avg_cost": 19.64, "adjusted_avg_cost": null, "qfq_adjustment_factor": null, "qfq_adjustment_source": null, "t1_blocked": true } ], "risk_action_summary": { "event_count": 1, "t1_blocked_count": 1, "triggered_count": 0, "next_session_required": true, "next_session_actions": [ { "symbol": "SZSE.300632", "name": "光莆股份", "rule": "position_stop_loss", "action": "下一交易日恢复可卖后优先复核失效条件并执行最高优先级风控" } ] }, "shadow_gate_audit": [], "risk_flags": { "coverage": "dated_candidate_coverage", "quality_state": "verified_candidate_coverage", "execution_impact": "normal_candidate_coverage", "new_entry_blocked": false, "missing_reason": null, "latest_available_date": "20260917", "coverage_gap_days": 0, "coverage_gap_alert": false, "shadow_observation_policy": "observe_with_warning", "coverage_audit_path": "reports/audit/20260917_risk_flags_coverage.json", "ingest_path": "reports/audit/20260917_risk_flags_ingest.json", "backfill_state": "complete", "missing_backfill_dates": [], "affected_symbol_count": 0, "supported_flags": [ "ST", "退市风险", "监管", "减持", "质押", "停牌" ], "integrity_warning": null, "note": "轻量风险旗标源；命中后只用于降级/加速风控，不可替代人工确认。", "sources": [ "config/local_risk_flags_20260917.json" ], "items": {} }, "execution_health": { "schema_version": "execution_data_health_v1", "trade_date": "20260917", "plan_date": "20260916", "status": "READY", "hard_block_new_entries": false, "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "block_reason": "", "blockers": [], "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation", "kaipanla_active_sector_requires_intraday_reacceleration" ], "entry_reconfirmation_required": true, "evidence": { "path": "inbox/local_public/20260917/evidence/preopen_execution_evidence_20260917.json", "state": "verified_preopen_runtime" }, "trajectory": { "path": "reports/theme_cleaning/market_trajectory_20260917.json", "state": "verified_full_market_breadth_candidate_regime_proxy", "current_record_state": "verified_full_market_breadth_candidate_regime_proxy", "window_state": "derived_price_sector", "historical_window_has_gaps": false, "regime": "MIXED", "regime_alignment": { "plan_regime": "HOT", "execution_regime": "MIXED", "plan_regime_known": true, "execution_regime_confirmed": true, "comparison_state": "mismatch", "mismatch": true, "regime_delta": 2, "transition_direction": "deteriorating", "blocking_reasons": [], "note": "计划日 regime 仅作盘前假设，执行日观测不一致（市场较计划恶化）；必须以执行日数据重新确认，并继续通过当日 Strict Gate，不能继承计划日的乐观权限。", "action": "require_execution_reconfirmation_then_strict_gate" }, "candidate_pool_breadth_alert": { "candidate_pool_up_ratio": 0.3529, "market_up_ratio": 0.4506, "divergence_pct_points": -9.8, "source": "kaipanla_exact_date_market_sentiment", "state": "normal", "alert_kind": "none", "alert": false, "selection_review_required": false, "recommended_total_position_cap_pct": null, "action": "候选池与全市场广度未出现需单独处理的极端剪刀差。" }, "preopen_regime_alert": { "schema_version": "preopen_regime_transition_alert_v1", "trade_date": "20260917", "status": "ALERT", "severity": "AMBER", "window": "09:00-09:25", "plan_regime": "HOT", "execution_regime": "MIXED", "plan_score": null, "execution_score": 33.26, "score_delta": null, "mismatch": true, "comparison_state": "mismatch", "execution_regime_confirmed": true, "external_level": "LOW", "external_source_path": "reports/external_checks/external_tech_shock_20260917.json", "triggers": [ "plan_regime_HOT_to_execution_MIXED" ], "action": "09:00-09:25 重新确认执行日 regime、外部科技冲击和板块承接；确认前只允许观察/持仓风控。", "no_silent_reopen": true } }, "risk_flags": { "path": "config/local_risk_flags_20260917.json", "coverage_audit_path": "reports/audit/20260917_risk_flags_coverage.json", "state": "current", "latest_available_date": "20260917", "coverage_gap_days": 0, "max_allowed_gap_days": 5, "coverage_complete": true, "recovery_action": "当日风险旗标已覆盖，继续执行个股级风险过滤。" }, "daily_report": { "path": "reports/theme_cleaning/browser_dump_20260916_dashboard.cleaned.json", "fallback_to_plan_date": true }, "sector_external_validation": { "status": "READY", "role": "external_confirmation_only", "can_grant_entry_permission": false, "missing_or_stale_is_bearish": false, "validation_path": "reports/external_checks/kaipanla/kaipanla_sector_second_wave_validation_20260917.json", "crosscheck_path": "reports/external_checks/kaipanla/kaipanla_preopen_plan_crosscheck_20260917.json", "preopen_overall_state": "ACTIVE_RECONFIRM_REQUIRED", "preopen_summary": { "active_theme_count": 1, "active_confirmed_count": 0, "active_reconfirm_count": 1, "active_unverified_count": 0, "rotation_candidate_count": 1 }, "confirmed_sectors": [ "AI应用" ], "watch_sectors": [ "芯片" ], "rotation_candidates_not_in_plan": [ { "sector_name": "AI应用", "sector_code": "803023", "validation_state": "CONFIRMED", "score": 81, "current_rank": 4, "interval_rank": 3, "intraday_rhythm": "PERSISTENT", "lifecycle_stage": "ACCELERATION", "lifecycle_stage_label": "加速", "lifecycle_cycle_day": 1, "lifecycle_entry_window": true, "reason": "kaipanla_leader_not_represented_in_plan_research_only" } ], "interval_start": "20260911", "interval_end": "20260917", "interval_provisional": true, "action": "计划板块需要盘中实时强度与资金重新确认，开盘啦不能单源放行。" }, "plan_contract": { "path": "reports/trade_plan/20260916_active_plan_v2_for_trading.json", "target_trade_date": "20260917", "targets_execution_date": true, "requested_allow_new_positions": true, "requested_trade_mode": "SIMULATION_READY", "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "reconciliation_status": "effective_reconfirmation_required", "entry_reconfirmation_required": true, "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation", "kaipanla_active_sector_requires_intraday_reacceleration" ], "permission_source": "active_plan_contract", "conditional_probe_reconfirmation": { "path": "reports/trading/20260917_conditional_probe_reconfirmation.json", "status": "NOT_APPLICABLE_ACTIVE_PLAN", "candidate_symbols": [ "SZSE.002544", "SZSE.002093", "SZSE.002364" ], "valid": false, "max_official_buys": 1, "max_initial_position_pct": 4.0, "reason": "active execution shortlist is already permitted; conditional candidates remain watch-only and cannot grant additional entry permission" } }, "position_management_policy": "risk_sell_and_position_management_remain_enabled" }, "execution_health_observed": { "schema_version": "execution_data_health_v1", "trade_date": "20260917", "plan_date": "20260916", "status": "READY", "hard_block_new_entries": false, "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "block_reason": "", "blockers": [], "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation", "kaipanla_active_sector_requires_intraday_reacceleration" ], "entry_reconfirmation_required": true, "evidence": { "path": "inbox/local_public/20260917/evidence/preopen_execution_evidence_20260917.json", "state": "verified_preopen_runtime" }, "trajectory": { "path": "reports/theme_cleaning/market_trajectory_20260917.json", "state": "verified_full_market_breadth_candidate_regime_proxy", "current_record_state": "verified_full_market_breadth_candidate_regime_proxy", "window_state": "derived_price_sector", "historical_window_has_gaps": false, "regime": "MIXED", "regime_alignment": { "plan_regime": "HOT", "execution_regime": "MIXED", "plan_regime_known": true, "execution_regime_confirmed": true, "comparison_state": "mismatch", "mismatch": true, "regime_delta": 2, "transition_direction": "deteriorating", "blocking_reasons": [], "note": "计划日 regime 仅作盘前假设，执行日观测不一致（市场较计划恶化）；必须以执行日数据重新确认，并继续通过当日 Strict Gate，不能继承计划日的乐观权限。", "action": "require_execution_reconfirmation_then_strict_gate" }, "candidate_pool_breadth_alert": { "candidate_pool_up_ratio": 0.3529, "market_up_ratio": 0.4506, "divergence_pct_points": -9.8, "source": "kaipanla_exact_date_market_sentiment", "state": "normal", "alert_kind": "none", "alert": false, "selection_review_required": false, "recommended_total_position_cap_pct": null, "action": "候选池与全市场广度未出现需单独处理的极端剪刀差。" }, "preopen_regime_alert": { "schema_version": "preopen_regime_transition_alert_v1", "trade_date": "20260917", "status": "ALERT", "severity": "AMBER", "window": "09:00-09:25", "plan_regime": "HOT", "execution_regime": "MIXED", "plan_score": null, "execution_score": 33.26, "score_delta": null, "mismatch": true, "comparison_state": "mismatch", "execution_regime_confirmed": true, "external_level": "LOW", "external_source_path": "reports/external_checks/external_tech_shock_20260917.json", "triggers": [ "plan_regime_HOT_to_execution_MIXED" ], "action": "09:00-09:25 重新确认执行日 regime、外部科技冲击和板块承接；确认前只允许观察/持仓风控。", "no_silent_reopen": true } }, "risk_flags": { "path": "config/local_risk_flags_20260917.json", "coverage_audit_path": "reports/audit/20260917_risk_flags_coverage.json", "state": "current", "latest_available_date": "20260917", "coverage_gap_days": 0, "max_allowed_gap_days": 5, "coverage_complete": true, "recovery_action": "当日风险旗标已覆盖，继续执行个股级风险过滤。" }, "daily_report": { "path": "reports/theme_cleaning/browser_dump_20260916_dashboard.cleaned.json", "fallback_to_plan_date": true }, "sector_external_validation": { "status": "READY", "role": "external_confirmation_only", "can_grant_entry_permission": false, "missing_or_stale_is_bearish": false, "validation_path": "reports/external_checks/kaipanla/kaipanla_sector_second_wave_validation_20260917.json", "crosscheck_path": "reports/external_checks/kaipanla/kaipanla_preopen_plan_crosscheck_20260917.json", "preopen_overall_state": "ACTIVE_RECONFIRM_REQUIRED", "preopen_summary": { "active_theme_count": 1, "active_confirmed_count": 0, "active_reconfirm_count": 1, "active_unverified_count": 0, "rotation_candidate_count": 1 }, "confirmed_sectors": [ "AI应用" ], "watch_sectors": [ "芯片" ], "rotation_candidates_not_in_plan": [ { "sector_name": "AI应用", "sector_code": "803023", "validation_state": "CONFIRMED", "score": 81, "current_rank": 4, "interval_rank": 3, "intraday_rhythm": "PERSISTENT", "lifecycle_stage": "ACCELERATION", "lifecycle_stage_label": "加速", "lifecycle_cycle_day": 1, "lifecycle_entry_window": true, "reason": "kaipanla_leader_not_represented_in_plan_research_only" } ], "interval_start": "20260911", "interval_end": "20260917", "interval_provisional": true, "action": "计划板块需要盘中实时强度与资金重新确认，开盘啦不能单源放行。" }, "plan_contract": { "path": "reports/trade_plan/20260916_active_plan_v2_for_trading.json", "target_trade_date": "20260917", "targets_execution_date": true, "requested_allow_new_positions": true, "requested_trade_mode": "SIMULATION_READY", "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "reconciliation_status": "configured_permission_preserved_with_strict_gate", "entry_reconfirmation_required": true, "soft_restrictions": [ "plan_regime_mismatch_require_execution_reconfirmation", "kaipanla_active_sector_requires_intraday_reacceleration" ], "permission_source": "active_plan_contract", "conditional_probe_reconfirmation": { "path": "reports/trading/20260917_conditional_probe_reconfirmation.json", "status": "NOT_APPLICABLE_ACTIVE_PLAN", "candidate_symbols": [ "SZSE.002544", "SZSE.002093", "SZSE.002364" ], "valid": false, "max_official_buys": 1, "max_initial_position_pct": 4.0, "reason": "active execution shortlist is already permitted; conditional candidates remain watch-only and cannot grant additional entry permission" } }, "position_management_policy": "risk_sell_and_position_management_remain_enabled", "permission_reconciliation": { "configured_allow_new_positions": true, "configured_trade_mode": "SIMULATION_READY", "effective_allow_new_positions": true, "effective_trade_mode": "SIMULATION_READY", "effective_position_cap_pct": 50.0, "reconciliation_status": "configured_permission_preserved_with_strict_gate", "reasons": [], "premarket_execution_brief_path": "reports/preopen/premarket_execution_brief_20260917.json", "midday_execution_overlay_path": "reports/intraday/midday_execution_overlay_20260917.json" }, "sizing_reason_reconciliation": { "schema_version": "signal_sizing_reason_reconciliation_v1", "legacy_reason": "position_sizing_no_room_or_cash", "reconciled_count": 0, "reason_counts": {}, "account_cash": 1001593.63109, "account_exposure_pct": 2.4055, "effective_position_cap_pct": 50.0, "policy_allows_new_positions": true, "policy": "diagnostic_only_no_order_or_quantity_mutation" } }, "execution_health_reconciliation": { "observed_at_runtime": { "status": "READY", "hard_block_new_entries": false, "blockers": [] }, "recomputed_after_close": { "status": "READY", "hard_block_new_entries": false, "blockers": [], "entry_reconfirmation_required": true }, "policy_changed_after_repair": false, "classification": "historical_runtime_and_recomputed_policy_consistent", "audit_note": "盘中原始轨迹保留为历史事实；修复后的规则仅用于回溯验证和后续交易日，不能倒写为当日已执行。" }, "candidate_pool_coverage_review": { "schema_version": "candidate_pool_coverage_review_v1", "status": "NOT_REQUIRED", "trigger": { "candidate_pool_up_ratio": 0.3529, "market_up_ratio": 0.4506, "divergence_pct_points": -9.8, "source": "kaipanla_exact_date_market_sentiment", "state": "normal", "alert_kind": "none", "alert": false, "selection_review_required": false, "recommended_total_position_cap_pct": null, "action": "候选池与全市场广度未出现需单独处理的极端剪刀差。" }, "candidate_theme_count": 4, "candidate_theme_summary": [ { "theme": "AI算力链 / 共封装光学(CPO)", "signal_count": 8, "active_count": 2, "average_return_pct": 0.2027, "priced_signal_count": 8 }, { "theme": "5G概念", "signal_count": 8, "active_count": 0, "average_return_pct": -1.8476, "priced_signal_count": 8 }, { "theme": "贵金属有色", "signal_count": 5, "active_count": 0, "average_return_pct": -3.0322, "priced_signal_count": 5 }, { "theme": "半导体链 / PCB概念", "signal_count": 1, "active_count": 0, "average_return_pct": 2.8974, "priced_signal_count": 1 } ], "execution_boundary": { "research_only": true, "can_create_orders": false, "can_change_same_day_permission": false, "can_change_same_day_whitelist": false, "can_change_position_cap": false, "rule": "覆盖缺口只触发下一交易日研究与盘前计划更新；当日仍由既有 Strict Gate、外部冲击和风险规则决定。" }, "research_queue": [] }, "entry_arbitration_review": { "schema_version": "entry_arbitration_review_v1", "status": "REVIEWED", "trace_path": "/Users/tonyyu/sector_wave_agent/reports/trading/local_paper_execution_decision_trace_20260917.jsonl", "no_lookahead": true, "rank_source": "active_plan.execution_rank_or_preopen_priority", "missed_priority_actions": [ { "symbol": "SZSE.300570", "name": "太辰光", "theme": "AI算力链 / 共封装光学(CPO)", "execution_rank": 1, "actionable_at": "2026-09-17T10:46:48", "inferred_block": "same_theme_seat_or_broker_arbitration", "prior_fill_symbol": "SZSE.300632" } ], "second_theme_seat_fills": [], "candidate_rule": { "energy_ratio_min": 1.2, "three_bar_momentum_min_pct": 0.0, "production_enabled": false, "validation_status": "INSUFFICIENT_SAMPLE", "minimum_required_samples": 5, "observed_samples": 0, "reason": "避免用单日单笔结果直接改动生产阈值；先连续样本外记录第二席位质量。" } }, "gate_funnel_reconciliation": { "status": "CONSISTENT", "trace_path": "/Users/tonyyu/sector_wave_agent/reports/trading/local_paper_execution_decision_trace_20260917.jsonl", "postclose_one_shot_reset_detected": false, "stable_snapshot_at": "2026-09-17T14:55:14", "final_snapshot_at": "2026-09-17T14:55:14", "snapshot_gap_seconds": 31.0, "stable_active_energy_state": { "active_count": 2, "warmup_count": 0, "minute_history_available_count": 1 }, "final_active_energy_state": { "active_count": 2, "warmup_count": 0, "minute_history_available_count": 1 }, "effective_data_quality_state": null, "claim_policy": "When detected, the final one-shot warmup frame is not evidence that minute energy was absent all day; use the stable intraday trace for data-quality review while preserving the final snapshot as raw evidence." }, "intraday_metric_reconciliation": { "schema_version": "intraday_metric_reconciliation_v1", "method": "official_runtime_feed_then_bounded_minute_window_proxy", "scope": "all_signal_rows", "signal_count": 22, "vwap_official_count": 20, "vwap_raw_missing_count": 0, "vwap_recovered_proxy_count": 0, "vwap_proxy_count": 2, "vwap_remaining_missing_count": 0, "vwap_raw_missing_ratio": 0.0, "vwap_proxy_ratio": 0.0909, "vwap_remaining_missing_ratio": 0.0, "official_entry_policy": "official_runtime_feed_required; proxy_only_extended_confirmation" }, "auction": { "used_as_standalone_gate": false, "usage_note": "集合竞价只做板块/个股预确认与早盘择时加权，不单独触发买入。", "preopen_gate_legacy": { "enabled": true, "passed": true, "reason": "expired_after_09:45,clustered_mainline_core_entry_only", "intraday_style_gate": { "enabled": true, "style_code": "CLUSTERED_MAINLINE", "label": "抱团分化：指数降权，核心主线优先", "entry_policy": "core_mainline_only", "official_buy_allowed": true, "reason": "clustered_mainline_confirmed_core_only", "pool_up_ratio": 0.3636, "active_up_ratio": 1.0, "active_positive": 2, "active_positive_min": 1, "active_above_vwap": 1, "active_total": 2, "sample_total": 22, "signal_contract_total": 22, "active_contract_total": 2, "dominant_theme": "AI算力链 / 共封装光学(CPO)", "dominant_theme_share": 0.7474, "dominant_theme_basis": "amount", "official_symbol_whitelist": [ "SZSE.300570" ], "official_whitelist_contracts": [ { "symbol": "SZSE.300570", "plan_id": "20260916:SZSE.300570:SECOND_WAVE_BREAK_VWAP", "contract_version": "runtime_whitelist_contract_v1", "evidence_hash": 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"confidence_note": "外部数据完整度正常。", "source_file": "reports/external_checks/external_tech_shock_20260917.json", "source_errors": {}, "source_ths_errors": {}, "source_generated_at": "2026-09-17T09:25:07+08:00" }, "active_samples": [ { "symbol": "SZSE.300570", "name": "太辰光", "theme": "AI算力链 / 共封装光学(CPO)", "paper_scope": "active", "priority": 0, "ret_pct": 4.186249333785552, "last": 215.03, "vwap": 211.93685761915586, "above_vwap": true, "amount": 5034475278.0, "plan_id": "20260916:SZSE.300570:SECOND_WAVE_BREAK_VWAP", "contract_version": "runtime_whitelist_contract_v1", "evidence_hash": "587d7fee0c4782db63cff6ec6c792505b189ef02650ec54cff21e68256405887", "whitelist_binding": { "symbol": "SZSE.300570", "plan_id": "20260916:SZSE.300570:SECOND_WAVE_BREAK_VWAP", "contract_version": "runtime_whitelist_contract_v1", "evidence_hash": "587d7fee0c4782db63cff6ec6c792505b189ef02650ec54cff21e68256405887", "lifecycle_stage": null, "mainline_label": null }, "lifecycle_stage": null, "mainline_label": null 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"whitelist_integrity": "PASS", "structural_symbol_whitelist": [], "conditional_probe_symbol_whitelist": [], "position_cap_pct": 45.0, "dominant_theme": "AI算力链 / 共封装光学(CPO)", "dominant_theme_share": 0.7474, "external_tech_shock_gate": { "schema_version": "external_tech_shock_gate_v1", "enabled": true, "level": "LOW", "score": 0.0, "raw_score": 0.0, "confidence_penalty": 0.0, "confidence_adjusted_score": 0.0, "label": "外部科技冲击低", "entry_policy": "normal", "tech_new_buy_allowed": true, "earliest_entry_time": "09:35", "position_cap_pct": null, "risk_priority_boost": false, "reasons": [ "no_external_tech_shock_evidence_default_pass" ], "source_status": "ok", "source_quality": "verified_live", "source_confidence": "verified", "missing_gate_fields": [], "critical_data_missing": false, "partial_gate_behavior": "verified_source", "confidence_note": "外部数据完整度正常。", "source_file": "reports/external_checks/external_tech_shock_20260917.json", "source_errors": {}, "source_ths_errors": {}, "source_generated_at": "2026-09-17T09:25:07+08:00" }, "external_tech_shock_level": "LOW", "external_tech_entry_policy": "normal", "signal_contract_total": 22, "signal_quotes_available": true, "signal_quote_coverage": 1.0, "active_contract_total": 2, "active_quote_total": 2, "active_candidates_available": true, "active_quotes_available": true, "active_quote_coverage": 1.0, "quote_diagnostic": "行情覆盖完整", "style_gate_override": "pool_breadth_downweighted_for_clustered_mainline" }, "auction_board_confirm_score": 75, "auction_stock_accept_score": 36.36, "auction_liquidity_score": 58.63, "covered_signal_count": 22, "covered_holding_count": 1, "slot_holding_count": 1, "dust_holding_count": 0, "holding_symbols": [ "SZSE.300632" ], "slot_holding_symbols": [ "SZSE.300632" ], "reason": "expired_after_09:45,clustered_mainline_core_entry_only", "external_gate_reconciliation": { "status": "reconciled", "source_file": "reports/external_checks/external_tech_shock_20260917.json", "source_generated_at": "2026-09-17T09:25:07+08:00", "source_quality": "verified_live", "observed_runtime_gate": { "level": "LOW", "source_status": "ok", "source_quality": "verified_live", "reasons": [ "no_external_tech_shock_evidence_default_pass" ] }, "verified_gate": { "level": "LOW", "score": 0.0, "reasons": [ "no_external_tech_shock_evidence_default_pass" ], "source_quality": "verified_live" }, "korea_market_stress_pct": -0.11, "korea_market_close_pct": 0.6672, "korea_stress_basis": "kospi_intraday_low_pct", "stress_mismatch": false, "note": "执行时与收盘后核验的韩国压力口径一致；后续统一使用 kospi_intraday_low_pct，收盘涨跌幅单独展示。" } }, "gate_funnel": { "evaluated_count": 1, "passed_count": 0, "policy_blocked_observe_only": 0, "market_gate_blocked": 1, "minute_energy_blocked": 0, "vwap_blocked": 0, "chase_ceiling_blocked": 0, "capital_blocked": 0, "quote_stale_blocked": 0, "data_source": "first_fail_runtime_signals", "degraded_reason": null, "execution_scope": "new_entry_signals_only", "executed_formal_entry_count": 1, "executed_formal_entry_event_ids": [ "20260916:20260917:SZSE.300632:SECOND_WAVE_BREAK_VWAP:BUY" ], "unmatched_official_buy_filled": 0, "position_add_filled": 0, "official_buy_filled": 1, "scope_note": "1 个正式新入场已在盘中按当时门控成交；漏斗仅统计收盘仍待评估的合同，不以收盘状态倒推为阻断。 Gate Funnel 仅统计 1 个尚未执行且具备完整价格合同的正式入场信号；另有 20 个条件/观察对象保留在板块复盘，不计入正式阻断。", "diagnostic_counts": { "market_gate_blocked": 1, "minute_energy_blocked": 0, "vwap_blocked": 0, "chase_ceiling_blocked": 0, "capital_blocked": 1, "quote_stale_blocked": 0 }, "diagnostic_counts_scope": "independent_signal_checks_excluding_policy_suppressed_market_gate", "first_fail_counts": { "policy_blocked_observe_only": 0, "market_gate_blocked": 1, "quote_stale_blocked": 0, "minute_energy_blocked": 0, "vwap_blocked": 0, "chase_ceiling_blocked": 0, "capital_blocked": 0, "passed": 0 }, "quote_stale_ratio": 0.0, "minute_energy_warmup_count": 0, "intraday_metrics_missing_count": 0, "intraday_metrics_missing_ratio": 0.0, "intraday_metrics_missing_fields": {}, "intraday_metrics_missing_warn_threshold": 0.15, "intraday_metrics_missing_block_threshold": 0.25, "vwap_official_count": 1, "vwap_proxy_count": 0, "vwap_missing_count": 0, "vwap_proxy_ratio": 0.0, "vwap_quality_state": "official", "vwap_entry_policy": "official_runtime_feed_required; proxy_only_extended_confirmation", "vwap_metrics_scope": "formal_entry_contracts", "observation_total_count": 22, "observation_only_excluded_count": 20, "data_quality_state": "ok" }, "signals_snapshot": { "total": 22, "active_contracts": 2, "conditional_contracts": 15, "active_plan_contracts": 2, "watch_candidate_contracts": 5, "actionable": 0, "shadow_actionable": 0, "actionable_source": "runtime_gate_funnel" }, "external_market_review_reference": { "trade_date": "20260917", "source_path": null, "can_override_market_facts": false, "can_grant_entry": false, "can_seed_research": false, "fact_policy": "外部复盘仅用于主线假设、风险问题和次日研究；数值以同日已验证快照为准。", "status": "NOT_PROVIDED" } }