{
  "schema_version": "local_paper_hermes_review_v1",
  "source": "hermes_deepseek_v4",
  "model": "deepseek-v4-pro",
  "plan_date": "20260610",
  "trade_date": "20260611",
  "conclusion": "今日 OBSERVE_ONLY 模式，无 active 成交。唯一买入成交为 shadow_watch 观察池旭光电子（conditional_watch/BREAK_PREV_HIGH），在市场闸门未通过的情况下产生影子成交，已标记为研究样本，不反推为生产信号。卖出端两笔止损正常执行：绿的谐波按 -3% 止损边界触发卖出（-3.82% 含滑点），新易盛为深度亏损遗留仓位（-31.44%）终于被止损清理。持仓端上海新阳浮盈 +6.98%、旭光电子浮盈 +7.08%，均为观察/遗留样本。账户累计 -3.18%，主要拖累来自新易盛历史深度亏损。今日核心教训：市场二次确认未通过时 shadow_watch 影子成交会污染复盘口径（已加固运行时闸门）；5 笔未成交均因 price_above_exec_high 被正确拦截，执行上沿保护有效。",
  "fact_check": {
    "real_fills": [
      {
        "symbol": "SZSE.300502",
        "name": "新易盛",
        "scope": "position_risk",
        "template_key": "POSITION_RISK_EXIT",
        "side": "SELL",
        "qty": 100,
        "price": 545.0,
        "amount": 54500.0,
        "ts": "2026-06-11T09:30:31",
        "sim_reason": "position_stop_loss_3pct",
        "position_pnl_pct": -31.435220125786156,
        "note": "深度亏损遗留仓位止损清理。亏损远超 -3% 止损线，说明该仓位在止损规则上线前已深度套牢，属于系统建设期遗留问题。"
      },
      {
        "symbol": "SHSE.688017",
        "name": "绿的谐波",
        "scope": "position_risk",
        "template_key": "POSITION_RISK_EXIT",
        "side": "SELL",
        "qty": 100,
        "price": 382.2,
        "amount": 38220.0,
        "ts": "2026-06-11T09:32:04",
        "sim_reason": "position_stop_loss_3pct",
        "position_pnl_pct": -3.819818916004103,
        "note": "已有持仓按 -3% 止损边界正常触发卖出，含约 0.82% 滑点（bid1 成交 vs ask1 报价）。非今日新入场，与今日新买明确区分。"
      },
      {
        "symbol": "SHSE.600353",
        "name": "旭光电子",
        "scope": "conditional_watch",
        "paper_scope": "shadow_watch",
        "template_key": "BREAK_PREV_HIGH",
        "side": "BUY",
        "qty": 1700,
        "price": 27.96,
        "amount": 47532.0,
        "ts": "2026-06-11T09:44:49",
        "sim_reason": "trigger_touched_but_above_exec_high",
        "eod_price": 29.94,
        "unrealized_pnl_pct": 7.081545064377681,
        "price_vs_vwap_pct": 1.2462,
        "note": "shadow_watch/观察池影子成交。非 active 正式信号。市场闸门未通过时产生的影子成交，已标记为研究样本，不反推为生产 active。收盘正向跟随 +7.08%，但 T+1 不可卖（sellable_qty=0）。"
      }
    ],
    "existing_positions": [
      {
        "symbol": "SZSE.300236",
        "name": "上海新阳",
        "quantity": 500,
        "sellable_qty": 500,
        "avg_cost": 95.37,
        "last_price": 102.03,
        "market_value": 51015.0,
        "unrealized_pnl_pct": 6.9833280905945205,
        "position_pct_of_total": 5.27,
        "note": "遗留持仓，非今日入场。可卖出（sellable_qty=500）。需从历史交易日数据回溯原始入场来源（active/shadow/watch）和二波框架符合性。"
      },
      {
        "symbol": "SHSE.600353",
        "name": "旭光电子",
        "quantity": 1700,
        "sellable_qty": 0,
        "avg_cost": 27.96,
        "last_price": 29.94,
        "market_value": 50898.0,
        "unrealized_pnl_pct": 7.081545064377681,
        "position_pct_of_total": 5.26,
        "note": "今日 shadow_watch 新入场，T+1 锁仓中（sellable_qty=0）。需在下一交易日验证卖出条件。"
      }
    ],
    "sold_positions": [
      {
        "symbol": "SZSE.300502",
        "name": "新易盛",
        "reason": "position_stop_loss_3pct",
        "position_pnl_pct": -31.44,
        "note": "历史遗留深度亏损仓位。止损规则上线前已套牢，今日首次触发止损清仓。主要亏损来自规则空窗期而非当前策略失效。"
      },
      {
        "symbol": "SHSE.688017",
        "name": "绿的谐波",
        "reason": "position_stop_loss_3pct",
        "position_pnl_pct": -3.82,
        "note": "已有持仓正常止损。触发 -3.0% 边界，按 bid1 成交含约 0.82% 正常滑点。执行路径正确。"
      }
    ],
    "market_gate": {
      "passed": false,
      "reason": "after_14:30_no_new_upgrade,no_active_quotes,active_leaders_not_positive_enough,active_leaders_not_above_vwap",
      "pool_up_ratio": 0.6,
      "active_up_ratio": 0.0,
      "active_positive": 0,
      "active_above_vwap": 0,
      "active_total": 0,
      "sample_total": 15,
      "regime": "NEUTRAL",
      "dynamic_total_cap": 60.0
    }
  },
  "framework_audit": {
    "entry_fit": [
      {
        "symbol": "SHSE.600353",
        "name": "旭光电子",
        "scope": "shadow_watch/conditional_watch",
        "fit": "部分符合",
        "reason": "template_key=BREAK_PREV_HIGH（突破前高），属于板块二波框架内的突破追入模板。theme=光刻机(胶)，有板块概念支撑。入场时间 09:44 已过 9:35 冷却窗口，price_vs_vwap_pct=1.25% 偏离可控。但 market_gate 未通过（无 active 票、无 positive 龙头、无 above VWAP），在 OBSERVE_ONLY 且市场确认失败的环境下入场，缺乏大势方向支撑。paper_scope=shadow_watch，非正式 active 信号。",
        "fields_cited": [
          "template_key",
          "paper_scope",
          "theme",
          "ts",
          "price_vs_vwap_pct",
          "market_gate"
        ]
      }
    ],
    "holding_fit": [
      {
        "symbol": "SZSE.300236",
        "name": "上海新阳",
        "fit": "待确认",
        "reason": "遗留持仓，非今日入场。当前浮盈 +6.98%，sellable_qty=500（可卖）。缺乏今日原始入场来源（active/shadow/watch）记录，无法完整评估二波框架符合性。需从历史交易日数据回溯入场信息。"
      },
      {
        "symbol": "SHSE.600353",
        "name": "旭光电子",
        "fit": "部分符合",
        "reason": "今日 shadow_watch 入场，收盘 +7.08%，正向跟随。但 market_gate 未通过是重大减分项。T+1 锁仓中，明日需验证卖出条件：是否触发止盈/止损/MA5/尾盘弱势风控。"
      }
    ],
    "sell_fit": [
      {
        "symbol": "SZSE.300502",
        "name": "新易盛",
        "fit": "符合（风控执行）",
        "reason": "position_stop_loss_3pct 正确触发并成交。但 -31.44% 的实际亏损远超 -3% 止损线，说明该仓位在止损规则上线前已深度亏损。止损规则的时间覆盖率不足导致保护失效，属于系统建设期遗留问题。"
      },
      {
        "symbol": "SHSE.688017",
        "name": "绿的谐波",
        "fit": "符合（风控执行）",
        "reason": "position_stop_loss_3pct 在 -3% 边界正确触发，按 bid1 模拟卖出。实际成交 -3.82% 含约 0.82% bid1 滑点（quote_last=383.48 vs fill=382.20），属于正常撮合偏差，非策略失误。非今日入场，与今日新买区分明确。"
      }
    ],
    "violations_or_warnings": [
      {
        "level": "P0",
        "item": "SHADOW_WATCH_BUY_WHEN_MARKET_GATE_FAILED",
        "detail": "旭光电子在 market_gate_passed=false 时以 shadow_watch 身份产生真实模拟成交。虽然已加运行时闸门修复，但今日该笔成交记录仍出现在 filled_orders 中，复盘时必须标注为影子成交而非生产 active。",
        "status": "fixed_runtime_guard"
      },
      {
        "level": "P1",
        "item": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND",
        "detail": "5 笔未成交均因 price_above_exec_high，说明今日行情偏强，静态触发价/执行上沿偏保守。执行上沿保护挡住了高位追价，方向正确；但需持续观察是否因偏紧错过合理入场。",
        "status": "gray_experiment_active"
      },
      {
        "level": "P0",
        "item": "EARLY_MORNING_CHASE_BEFORE_0935",
        "detail": "9:35 前冷却规则已实现。今日所有 BUY 订单触发均在 09:30-09:44 区间，其中 09:30-09:32 的四笔因 price_above_exec_high 和 minute_energy 不足被正确拦截，冷却规则与执行上沿双重保护叠加生效。",
        "status": "implemented_and_tested"
      }
    ],
    "audit_path": "reports/trading/local_paper_framework_audit_20260611.json",
    "fallback_available": true
  },
  "good_lessons": [
    {
      "lesson_id": "EXEC_HIGH_GUARD_WORKED",
      "finding": "5 笔未成交均为 price_above_exec_high，执行上沿保护有效拦截了高位追价。所有未成交票的 price_vs_vwap_pct 均在 2.15%-4.15% 范围，符合偏离过大不追的纪律。",
      "evidence": "price_above_exec_high=5, 未成交 price_vs_vwap_pct 范围 [2.15%, 4.15%]"
    },
    {
      "lesson_id": "STOP_LOSS_EXECUTED_CORRECTLY",
      "finding": "2 笔 position_risk 止损全部正常执行并成交（FILLED），无 T+1 拦截、无报价陈旧锁。止损引擎路径正确。",
      "evidence": "risk_exit_orders=2, risk_exit_filled=2, risk_exit_blocked_t1=0"
    },
    {
      "lesson_id": "POSITION_SIZING_TARGET_PCT_ENABLED",
      "finding": "旭光电子按 5% target_position_pct 测算买入 1700 股（47532 元），不再固定 100 股。仓位占比 5.26% 接近目标 5%，sizing 执行准确。",
      "evidence": "target_position_pct=5.0%, actual=5.26%, sizing_reason=position_sized_by_target_pct"
    },
    {
      "lesson_id": "INVALID_PRICE_PROTECTION_WORKED",
      "finding": "康鹏科技（SHSE.688602）和鸿博股份（SZSE.002229）因跌破失效价被 CANCELLED，避免弱化票入场。invalid_price 硬保护有效。",
      "evidence": "2 只 CANCELLED (invalid_price_broken), 0 只跌破失效价仍成交"
    }
  ],
  "mistake_lessons": [
    {
      "lesson_id": "SHADOW_WATCH_BUY_WHEN_MARKET_GATE_FAILED",
      "finding": "OBSERVE_ONLY 盘中二次确认未通过时，观察池影子成交（旭光电子）会污染真实可买复盘口径。该成交不应出现在任何今日可入场统计中。",
      "evidence": "filled_watch_orders=1, market_gate_passed=false",
      "action": "已加固运行时闸门：shadow_watch 在市场闸门未通过时只记录触发，不生成成交。今日数据中该笔成交保留为研究样本。"
    },
    {
      "lesson_id": "LEGACY_DEEP_LOSS_POSITION",
      "finding": "新易盛以 -31.44% 深度亏损被止损清仓。该亏损远超 -3% 止损线，说明仓位在止损规则上线前已深度套牢，规则上线时间差导致保护缺失。",
      "evidence": "position_pnl_pct=-31.44%, trigger_price=-3.0%",
      "action": "检查是否还有其他历史仓位存在类似规则空窗期风险；确保所有遗留仓位都已纳入每日 position_risk 扫描。"
    },
    {
      "lesson_id": "MINUTE_ENERGY_RATIO_AMBIGUITY",
      "finding": "旭光电子填充单的 minute_energy.energy_ratio=0.8522 小于 ratio_min=1.05，但仍标记为 passed=true。能量比率计算与判定逻辑存在歧义，需确认 0.8522 是降温确认还是能量不足。",
      "evidence": "energy_ratio=0.8522, ratio_min=1.05, passed=true",
      "action": "建议复查 minute_energy 判定逻辑：ratio 小于 ratio_min 时为何判定为 passed；若是设计意图（降温=稳定=可入场），需在 reason 中说清楚。"
    }
  ],
  "code_iterations_done": [
    {
      "id": "EARLY_MORNING_CHASE_BEFORE_0935",
      "priority": "P0",
      "status": "implemented_and_tested",
      "action": "preserve",
      "summary": "9:35 前观察池尖峰不追入冷却规则"
    },
    {
      "id": "INVALID_PRICE_PROTECTION_WORKED",
      "priority": "P0",
      "status": "implemented_monitoring",
      "action": "preserve",
      "summary": "invalid_price 硬保护拦截弱化 active"
    },
    {
      "id": "SHADOW_WATCH_BUY_WHEN_MARKET_GATE_FAILED",
      "priority": "P0",
      "status": "implemented_and_tested",
      "action": "preserve",
      "summary": "市场闸门未过时影子单不得成交"
    },
    {
      "id": "STOP_LOSS_EXECUTED_CORRECTLY",
      "priority": "P0",
      "status": "implemented_monitoring",
      "action": "preserve",
      "summary": "持仓止损路径执行正常"
    },
    {
      "id": "EXEC_HIGH_GUARD_WORKED",
      "priority": "P1",
      "status": "implemented_monitoring",
      "action": "preserve",
      "summary": "执行上沿阻止高位追价"
    },
    {
      "id": "EXISTING_POSITION_RISK_CLEAN",
      "priority": "P1",
      "status": "implemented_monitoring",
      "action": "preserve",
      "summary": "已有持仓风控正常沉淀"
    },
    {
      "id": "MINUTE_ENERGY_CONFIRMATION",
      "priority": "P1",
      "status": "implemented_monitoring",
      "action": "preserve",
      "summary": "分钟K能量确认保留"
    },
    {
      "id": "POSITION_SIZING_TARGET_PCT_ENABLED",
      "priority": "P1",
      "status": "preserved_monitoring",
      "action": "preserve",
      "summary": "目标仓位与动态总仓机制"
    },
    {
      "id": "WATCH_POOL_PAPER_ENTRY_EXISTS",
      "priority": "P1",
      "status": "preserved_monitoring",
      "action": "preserve",
      "summary": "观察池成交样本跟踪 T+N 表现"
    },
    {
      "id": "CHASE_ENTRY_VWAP_DEVIATION_HIGH",
      "priority": "P1",
      "status": "needs_more_samples",
      "action": "gray_validate",
      "summary": "active 追高 VWAP 偏离需收敛验证（P1 灰度）"
    },
    {
      "id": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND",
      "priority": "P1",
      "status": "gray_experiment_active",
      "action": "gray_validate",
      "summary": "强趋势日静态触发价偏低（P1 灰度）"
    }
  ],
  "pending_rule_change_candidates": [
    {
      "id": "STATIC_TRIGGER_TOO_LOW_FOR_STRONG_TREND",
      "priority": "P1",
      "proposal": "连续N日 price_above_exec_high >= 3 时，考虑引入动态 VWAP 锚或放宽执行上沿",
      "target_samples": 5,
      "current_samples": 1,
      "do_not_act": "单日样本不足，禁止直接放宽追高。继续灰度观察。"
    },
    {
      "id": "CHASE_ENTRY_VWAP_DEVIATION_HIGH",
      "priority": "P1",
      "proposal": "验证 price_vs_vwap <= 2% 或 5-bar 能量确认的边际效果",
      "target_samples": 10,
      "current_samples": 0,
      "do_not_act": "今日无 active 成交，无可用样本。等待 active 成交积累。"
    },
    {
      "id": "MINUTE_ENERGY_RATIO_LOGIC_CLARIFY",
      "priority": "P0",
      "proposal": "确认 minute_energy 判定逻辑：energy_ratio 小于 ratio_min 时为何判定为 passed",
      "target_samples": "N/A",
      "current_samples": "N/A",
      "do_not_act": "当日复查代码逻辑或补文档说明，不需要样本积累。"
    }
  ],
  "next_validation_tasks": [
    "验证旭光电子 T+1 卖出条件：止盈/止损/MA5/尾盘弱势风控是否触发",
    "追溯上海新阳原始入场来源（active/shadow/watch）及二波框架符合性",
    "检查是否还有其他历史仓位（类似新易盛）存在止损规则上线前的深度亏损风险",
    "验证 market_gate 修复后，下次 shadow_watch 在市场闸门未通过时是否仅记录触发而不生成成交",
    "统计被 exec_high 拦截的 5 只标的 T+1/T+3 表现，判断执行上沿是否偏紧",
    "复查旭光电子 minute_energy.energy_ratio=0.8522 判定为 passed 的逻辑依据",
    "确认飞书通知中 shadow_watch 成交是否标注了「非生产信号/只供研究」标记",
    "下一交易日若仍无 active 票，检查是否需要在计划中重新评估板块选择逻辑"
  ]
}