{ "schema_version": "local_paper_latest_signals_v1", "runtime_status": "SHADOW_RUNNING", "plan_date": "20260608", "trade_date": "20260609", "trade_mode": "OBSERVE_ONLY", "allow_new_positions": false, "shadow_mode": true, "intraday_market_gate": { "passed": false, "reason": "wait_until_09:45,signal_pool_breadth_not_repaired,active_leaders_not_positive_enough", "enabled": true, "pool_up_ratio": 0.2857, "pool_up_ratio_min": 0.55, "active_up_ratio": 0.0, "active_up_ratio_min": 0.5, "active_positive": 0, "active_positive_min": 1, "active_above_vwap": 1, "active_total": 1, "sample_total": 7, "active_samples": [ { "symbol": "SHSE.688017", "name": "绿的谐波", "paper_scope": "shadow_active", "ret_pct": -2.7134, "last": 416.63, "prev_close": 428.25, "vwap": 407.3852 } ] }, "quote_source": "public_http_sina:7/7", "quote_stale_lock": false, "generated_at": "2026-06-09T09:40:16", "signals": [ { "event_id": "20260608:20260609:SHSE.688017:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SHSE.688017:BREAK_PREV_HIGH", "symbol": "SHSE.688017", "name": "绿的谐波", "side": "BUY", "priority": "P0", "status": "OBSERVE", "template_key": "BREAK_PREV_HIGH", "trigger_price": 450.2, "exec_low": 450.2, "exec_high": 463.71, "invalid_price": 353.926, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "waiting_trigger", "qty": 100, "prev_close": 428.25, "theme": "机器人/谐波减速器", "decision": "active_plan", "paper_scope": "shadow_active", "chase_ceiling": 513.9, "max_chase_pct": 3.0, "base_exec_high": 463.71, "dynamic_exec_high": null, "intraday_vwap": 407.3852, "price_vs_vwap_pct": 2.2693, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": true, "reason": "minute_energy_confirmed", "window_min": 3, "bar_count": 3, "min_samples": 2, "amount_yi": 3.5564, "prev_amount_yi": 4.3956, "amount_floor_yi": 0.3, "amount_base_hint_yi": 1.0, "energy_ratio": 0.8091, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:38", "open": 414.45, "high": 417.82, "low": 414.45, "close": 417.82, "amount_yi": 1.5358 }, { "time": "09:39", "open": 417.2, "high": 417.2, "low": 414.28, "close": 414.28, "amount_yi": 1.6059 }, { "time": "09:40", "open": 416.63, "high": 416.63, "low": 416.63, "close": 416.63, "amount_yi": 0.4147 } ] }, "suggested_position_pct": 12.0, "target_position_pct": 12.0, "target_amount": 118846.92, "current_position_value": 41428.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 353.926, "quote": { "last": 416.63, "ts": "2026-06-09T09:40:13", "bid1": 414.92, "ask1": 416.63, "bid_qty1": 200, "ask_qty1": 200 }, "previous_state": "OBSERVE", "next_state": "OBSERVE", "vwap_pullback_seen": false, "quote_stale_lock": false }, { "event_id": "20260608:20260609:SZSE.002229:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SZSE.002229:BREAK_PREV_HIGH", "symbol": "SZSE.002229", "name": "鸿博股份", "side": "BUY", "priority": "W0", "status": "OBSERVE", "template_key": "BREAK_PREV_HIGH", "trigger_price": 15.08, "exec_low": 15.08, "exec_high": 15.31, "invalid_price": 14.164, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "waiting_trigger", "qty": 3400, "prev_close": 14.74, "theme": "ChatGPT概念", "decision": "conditional_plan", "paper_scope": "shadow_watch", "chase_ceiling": 16.21, "max_chase_pct": 1.5, "base_exec_high": 15.31, "dynamic_exec_high": null, "intraday_vwap": 14.5256, "price_vs_vwap_pct": 0.0991, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": false, "reason": "minute_energy_amount_too_low", "window_min": 5, "bar_count": 5, "min_samples": 3, "amount_yi": 0.2898, "prev_amount_yi": 0.6274, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.4619, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:36", "open": 14.66, "high": 14.66, "low": 14.6, "close": 14.6, "amount_yi": 0.0884 }, { "time": "09:37", "open": 14.55, "high": 14.55, "low": 14.5, "close": 14.5, "amount_yi": 0.0615 }, { "time": "09:38", "open": 14.47, "high": 14.54, "low": 14.47, "close": 14.54, "amount_yi": 0.0633 }, { "time": "09:39", "open": 14.61, "high": 14.61, "low": 14.59, "close": 14.59, "amount_yi": 0.0588 }, { "time": "09:40", "open": 14.54, "high": 14.54, "low": 14.54, "close": 14.54, "amount_yi": 0.0178 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49519.55, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 14.164, "quote": { "last": 14.54, "ts": "2026-06-09T09:40:15", "bid1": 14.53, "ask1": 14.54, "bid_qty1": 6600, "ask_qty1": 40000 }, "previous_state": "OBSERVE", "next_state": "OBSERVE", "vwap_pullback_seen": false, "quote_stale_lock": false }, { "event_id": "20260608:20260609:SHSE.600516:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SHSE.600516:BREAK_PREV_HIGH", "symbol": "SHSE.600516", "name": "方大炭素", "side": "BUY", "priority": "W1", "status": "OBSERVE", "template_key": "BREAK_PREV_HIGH", "trigger_price": 6.33, "exec_low": 6.33, "exec_high": 6.42, "invalid_price": 5.538, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "waiting_trigger", "qty": 8400, "prev_close": 6.1, "theme": "题材股", "decision": "conditional_plan", "paper_scope": "shadow_watch", "chase_ceiling": 6.71, "max_chase_pct": 1.5, "base_exec_high": 6.42, "dynamic_exec_high": null, "intraday_vwap": 5.8796, "price_vs_vwap_pct": -0.8436, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": false, "reason": "minute_energy_ratio_too_low", "window_min": 5, "bar_count": 5, "min_samples": 3, "amount_yi": 0.6377, "prev_amount_yi": 1.3779, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.4628, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:36", "open": 5.92, "high": 5.92, "low": 5.9, "close": 5.9, "amount_yi": 0.1286 }, { "time": "09:37", "open": 5.89, "high": 5.89, "low": 5.89, "close": 5.89, "amount_yi": 0.2029 }, { "time": "09:38", "open": 5.85, "high": 5.86, "low": 5.85, "close": 5.86, "amount_yi": 0.1783 }, { "time": "09:39", "open": 5.85, "high": 5.85, "low": 5.83, "close": 5.83, "amount_yi": 0.0843 }, { "time": "09:40", "open": 5.83, "high": 5.83, "low": 5.83, "close": 5.83, "amount_yi": 0.0436 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49519.55, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 5.538, "quote": { "last": 5.83, "ts": "2026-06-09T09:40:12", "bid1": 5.82, "ask1": 5.83, "bid_qty1": 170200, "ask_qty1": 30800 }, "previous_state": "OBSERVE", "next_state": "OBSERVE", "vwap_pullback_seen": false, "quote_stale_lock": false }, { "event_id": "20260608:20260609:SHSE.600522:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SHSE.600522:BREAK_PREV_HIGH", "symbol": "SHSE.600522", "name": "中天科技", "side": "BUY", "priority": "W2", "status": "TOUCHED", "template_key": "BREAK_PREV_HIGH", "trigger_price": 50.68, "exec_low": 50.68, "exec_high": 51.44, "invalid_price": 45.906, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "trigger_touched_but_above_exec_high", "qty": 900, "prev_close": 49.53, "theme": "工业互联", "decision": "conditional_plan", "paper_scope": "shadow_watch", "chase_ceiling": 54.48, "max_chase_pct": 1.5, "base_exec_high": 51.44, "dynamic_exec_high": null, "intraday_vwap": 51.116, "price_vs_vwap_pct": 1.7294, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": true, "reason": "minute_energy_confirmed", "window_min": 5, "bar_count": 5, "min_samples": 3, "amount_yi": 22.1063, "prev_amount_yi": 33.9119, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.6519, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:36", "open": 51.77, "high": 52.28, "low": 51.77, "close": 52.28, "amount_yi": 8.5228 }, { "time": "09:37", "open": 52.41, "high": 52.41, "low": 52.29, "close": 52.29, "amount_yi": 5.3216 }, { "time": "09:38", "open": 52.14, "high": 52.14, "low": 52.13, "close": 52.13, "amount_yi": 3.9393 }, { "time": "09:39", "open": 52.09, "high": 52.09, "low": 51.62, "close": 51.62, "amount_yi": 2.7778 }, { "time": "09:40", "open": 52.0, "high": 52.0, "low": 52.0, "close": 52.0, "amount_yi": 1.5448 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49519.55, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 45.906, "quote": { "last": 52.0, "ts": "2026-06-09T09:40:14", "bid1": 51.95, "ask1": 52.0, "bid_qty1": 200, "ask_qty1": 2800 }, "previous_state": "TOUCHED", "next_state": "TOUCHED", "vwap_pullback_seen": false, "quote_stale_lock": false }, { "event_id": "20260608:20260609:SHSE.600367:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SHSE.600367:BREAK_PREV_HIGH", "symbol": "SHSE.600367", "name": "红星发展", "side": "BUY", "priority": "W3", "status": "OBSERVE", "template_key": "BREAK_PREV_HIGH", "trigger_price": 53.99, "exec_low": 53.99, "exec_high": 54.8, "invalid_price": 46.174, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "waiting_trigger", "qty": 900, "prev_close": 52.83, "theme": "玻璃基板", "decision": "conditional_plan", "paper_scope": "shadow_watch", "chase_ceiling": 58.11, "max_chase_pct": 1.5, "base_exec_high": 54.8, "dynamic_exec_high": null, "intraday_vwap": 51.1211, "price_vs_vwap_pct": -1.1954, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": true, "reason": "minute_energy_confirmed", "window_min": 5, "bar_count": 5, "min_samples": 3, "amount_yi": 1.4986, "prev_amount_yi": 4.3013, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.3484, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:36", "open": 51.25, "high": 51.34, "low": 51.25, "close": 51.34, "amount_yi": 0.4455 }, { "time": "09:37", "open": 51.07, "high": 51.18, "low": 51.07, "close": 51.18, "amount_yi": 0.3461 }, { "time": "09:38", "open": 50.9, "high": 51.02, "low": 50.9, "close": 51.02, "amount_yi": 0.2877 }, { "time": "09:39", "open": 50.78, "high": 50.8, "low": 50.78, "close": 50.8, "amount_yi": 0.2654 }, { "time": "09:40", "open": 50.51, "high": 50.51, "low": 50.51, "close": 50.51, "amount_yi": 0.1539 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49519.55, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 46.174, "quote": { "last": 50.51, "ts": "2026-06-09T09:40:13", "bid1": 50.51, "ask1": 50.53, "bid_qty1": 800, "ask_qty1": 500 }, "previous_state": "OBSERVE", "next_state": "OBSERVE", "vwap_pullback_seen": false, "quote_stale_lock": false }, { "event_id": "20260608:20260609:SZSE.002138:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SZSE.002138:BREAK_PREV_HIGH", "symbol": "SZSE.002138", "name": "顺络电子", "side": "BUY", "priority": "W4", "status": "FILLED", "template_key": "BREAK_PREV_HIGH", "trigger_price": 59.5, "exec_low": 59.5, "exec_high": 60.39, "invalid_price": 51.694, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "already_filled_position_tracking", "qty": 100, "prev_close": 55.66, "theme": "题材股", "decision": "conditional_plan", "paper_scope": "shadow_watch", "chase_ceiling": 61.23, "max_chase_pct": 1.5, "base_exec_high": 60.39, "dynamic_exec_high": null, "intraday_vwap": 59.2926, "price_vs_vwap_pct": 0.2486, "energy_floor_hint_yi": 1.0, "minute_energy": null, "suggested_position_pct": 6.0, "target_position_pct": null, "target_amount": null, "current_position_value": null, "cash_before_order": null, "sizing_reason": null, "ma5": 51.694, "quote": { "last": 59.44, "ts": "2026-06-09T09:40:15", "bid1": 59.44, "ask1": 59.5, "bid_qty1": 31800, "ask_qty1": 2600 }, "previous_state": "FILLED", "next_state": "FILLED", "vwap_pullback_seen": false, "quote_stale_lock": false }, { "event_id": "20260608:20260609:SHSE.603773:BREAK_PREV_HIGH:BUY", "plan_id": "20260608:SHSE.603773:BREAK_PREV_HIGH", "symbol": "SHSE.603773", "name": "沃格光电", "side": "BUY", "priority": "W5", "status": "OBSERVE", "template_key": "BREAK_PREV_HIGH", "trigger_price": 144.05, "exec_low": 144.05, "exec_high": 146.21, "invalid_price": 126.424, "confirm_rule": "price_reaches_trigger_and_rules_pass", "cancel_rule": "invalid_price_break_or_quote_stale_or_exec_high_exceeded", "stale_after_sec": 20, "created_at": "2026-06-09T09:40:16", "sim_reason": "waiting_trigger", "qty": 300, "prev_close": 136.5, "theme": "玻璃基板", "decision": "conditional_plan", "paper_scope": "shadow_watch", "chase_ceiling": 150.15, "max_chase_pct": 1.5, "base_exec_high": 146.21, "dynamic_exec_high": null, "intraday_vwap": 135.7428, "price_vs_vwap_pct": -1.2397, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": true, "reason": "minute_energy_confirmed", "window_min": 5, "bar_count": 5, "min_samples": 3, "amount_yi": 2.3381, "prev_amount_yi": 5.9482, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.3931, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:36", "open": 133.48, "high": 134.9, "low": 133.48, "close": 134.9, "amount_yi": 0.525 }, { "time": "09:37", "open": 135.79, "high": 135.79, "low": 135.79, "close": 135.79, "amount_yi": 0.5635 }, { "time": "09:38", "open": 135.8, "high": 135.8, "low": 135.56, "close": 135.56, "amount_yi": 0.548 }, { "time": "09:39", "open": 134.09, "high": 134.09, "low": 133.67, "close": 133.67, "amount_yi": 0.3361 }, { "time": "09:40", "open": 134.06, "high": 134.06, "low": 134.06, "close": 134.06, "amount_yi": 0.3655 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49519.55, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 126.424, "quote": { "last": 134.06, "ts": "2026-06-09T09:40:13", "bid1": 134.04, "ask1": 134.06, "bid_qty1": 4200, "ask_qty1": 7520 }, "previous_state": "OBSERVE", "next_state": "OBSERVE", "vwap_pullback_seen": false, "quote_stale_lock": false } ], "paper_account": { "initial_capital": 1000000.0, "cash": 901603.0, "market_value": 89215.0, "total_value": 990818.0, "unrealized_pnl": 1119.9999999999989, "total_pnl": -9182.0, "total_pnl_pct": -0.9182000000000023 }, "paper_positions": [ { "symbol": "SZSE.002138", "name": "顺络电子", "quantity": 800, "sellable_qty": 0, "avg_cost": 60.28, "last_price": 59.44, "market_value": 47552.0, "unrealized_pnl": -672.0000000000027, "unrealized_pnl_pct": -1.3934970139349745, "updated_at": "2026-06-09T09:40:16", "position_pct_of_total": 4.799266868385516 }, { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 416.63, "market_value": 41663.0, "unrealized_pnl": 1792.0000000000016, "unrealized_pnl_pct": 4.4944947455544115, "updated_at": "2026-06-09T09:40:16", "position_pct_of_total": 4.20490947883466 } ], "paper_orders": [ { "amount": 48224.0, "base_exec_high": 60.39, "cash_before_order": 949827.0, "chase_ceiling": 61.23, "current_position_value": 0.0, "decision": "conditional_plan", "dynamic_exec_high": null, "energy_floor_hint_yi": 1.0, "event_id": "20260608:20260609:SZSE.002138:BREAK_PREV_HIGH:BUY", "exec_high": 60.39, "exec_low": 59.5, "intraday_vwap": 58.9169, "invalid_price": 51.694, "ma5": 51.694, "max_chase_pct": 1.5, "minute_energy": { "amount_base_hint_yi": 1.0, "amount_floor_yi": 0.5, "amount_yi": 4.9532, "bar_count": 3, "bars": [ { "amount_yi": 1.3245, "close": 58.32, "high": 58.32, "low": 58.32, "open": 58.32, "time": "09:30" }, { "amount_yi": 2.2421, "close": 59.48, "high": 59.48, "low": 59.3, "open": 59.3, "time": "09:31" }, { "amount_yi": 1.3866, "close": 60.28, "high": 60.28, "low": 60.28, "open": 60.28, "time": "09:32" } ], "energy_ratio": null, "min_samples": 3, "passed": true, "prev_amount_yi": 0, "ratio_min": 1.05, "reason": "minute_energy_confirmed", "template_key": "BREAK_PREV_HIGH", "window_min": 5 }, "name": "顺络电子", "paper_scope": "shadow_watch", "participation_rate": null, "plan_date": "20260608", "plan_id": "20260608:SZSE.002138:BREAK_PREV_HIGH", "price": 60.28, "price_vs_vwap_pct": 2.3136, "qty": 800, "quote_ask1": 60.28, "quote_ask_qty1": 300, "quote_bid1": 60.02, "quote_bid_qty1": 800, "quote_last": 60.28, "quote_ts": "2026-06-09T09:32:06", "reason": "paper_fill_at_ask1", "side": "BUY", "sim_reason": "trigger_touched", "sizing_reason": "position_sized_by_target_pct", "slippage_bps": 131.09, "status": "FILLED", "suggested_position_pct": 6.0, "symbol": "SZSE.002138", "target_amount": 49525.5, "target_position_pct": 5.0, "template_key": "BREAK_PREV_HIGH", "theme": "题材股", "trade_date": "20260609", "trigger_price": 59.5, "ts": "2026-06-09T09:32:06", "id": 31 } ], "orders_this_tick": [], "position_risk_events": [], "risk_orders_this_tick": [], "position_sizing": { "enabled": true, "active_target_pct": 12.0, "shadow_active_target_pct": 10.0, "watch_target_pct": 5.0, "max_single_position_pct": 20.0, "max_shadow_single_position_pct": 20.0, "max_total_position_pct": 60.0, "max_shadow_total_position_pct": 35.0, "base_max_total_position_pct": 60.0, "base_max_shadow_total_position_pct": 35.0, "dynamic_total_position_sizing_enabled": true, "dynamic_total_cap_regime": "NEUTRAL", "dynamic_total_cap_reason": "盘中确认时间窗未满足，保持中性总仓", "dynamic_total_cap": { "enabled": true, "regime": "NEUTRAL", "reason": "盘中确认时间窗未满足，保持中性总仓", "base_total_position_pct": 60.0, "base_shadow_total_position_pct": 35.0, "effective_total_position_pct": 60.0, "effective_shadow_total_position_pct": 35.0, "defensive_total_position_pct": 30.0, "warm_total_position_pct": 75.0, "hot_total_position_pct": 85.0, "defensive_shadow_total_position_pct": 20.0, "warm_shadow_total_position_pct": 45.0, "hot_shadow_total_position_pct": 55.0, "checks": { "pool_up_ratio": 0.2857, "active_up_ratio": 0.0, "active_above_vwap": 1, "active_positive_min": 1, "active_total": 1, "sample_total": 7, "market_gate_passed": false, "market_gate_reason": "wait_until_09:45,signal_pool_breadth_not_repaired,active_leaders_not_positive_enough" } }, "cash_buffer_pct": 5.0 }, "position_risk_config": { "enabled": true, "stop_loss_pct": 3.0, "late_exit_loss_pct": 2.0, "late_exit_time": "14:30", "invalid_exit": true, "ma5_exit": true, "late_weak_exit": true }, "summary": { "active_contracts": 7, "active_plan_contracts": 1, "watch_candidate_contracts": 6, "watch_only_contracts": 0, "actionable": 0, "filled_orders": 1, "filled_watch_orders": 1, "filled_shadow_orders": 1, "rejected_orders": 0, "unfilled_orders": 0, "risk_exit_signals": 0, "risk_exit_orders": 0, "risk_exit_filled": 0, "risk_exit_blocked_t1": 0 } }