{ "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": -2.16, "last": 419.0, "prev_close": 428.25, "vwap": 408.4806 } ] }, "quote_source": "public_http_sina:7/7", "quote_stale_lock": false, "generated_at": "2026-06-09T09:43:19", "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": "2026-06-09T09:43:19", "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": 408.4806, "price_vs_vwap_pct": 2.5753, "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": 2.183, "prev_amount_yi": 4.1801, "amount_floor_yi": 0.3, "amount_base_hint_yi": 1.0, "energy_ratio": 0.5222, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "09:41", "open": 419.0, "high": 419.0, "low": 417.02, "close": 417.02, "amount_yi": 0.9095 }, { "time": "09:42", "open": 418.2, "high": 418.2, "low": 417.8, "close": 417.8, "amount_yi": 0.9214 }, { "time": "09:43", "open": 419.0, "high": 419.0, "low": 419.0, "close": 419.0, "amount_yi": 0.3521 } ] }, "suggested_position_pct": 12.0, "target_position_pct": 12.0, "target_amount": 118869.0, "current_position_value": 41780.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 353.926, "quote": { "last": 419.0, "ts": "2026-06-09T09:43:16", "bid1": 418.64, "ask1": 419.0, "bid_qty1": 93, "ask_qty1": 1251 }, "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": "2026-06-09T09:43:19", "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": 14.5235, "price_vs_vwap_pct": -0.5061, "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": 0.2473, "prev_amount_yi": 0.3319, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.7451, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "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": 14.55, "low": 14.54, "close": 14.55, "amount_yi": 0.0622 }, { "time": "09:41", "open": 14.54, "high": 14.54, "low": 14.51, "close": 14.51, "amount_yi": 0.0303 }, { "time": "09:42", "open": 14.51, "high": 14.51, "low": 14.48, "close": 14.48, "amount_yi": 0.0672 }, { "time": "09:43", "open": 14.45, "high": 14.45, "low": 14.45, "close": 14.45, "amount_yi": 0.0288 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49528.75, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 14.164, "quote": { "last": 14.45, "ts": "2026-06-09T09:43:18", "bid1": 14.45, "ask1": 14.46, "bid_qty1": 38600, "ask_qty1": 4900 }, "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": "2026-06-09T09:43:19", "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": 5.8748, "price_vs_vwap_pct": -0.4221, "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": 0.4337, "prev_amount_yi": 0.8854, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.4898, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "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": 0.108 }, { "time": "09:41", "open": 5.85, "high": 5.85, "low": 5.83, "close": 5.83, "amount_yi": 0.1196 }, { "time": "09:42", "open": 5.84, "high": 5.85, "low": 5.84, "close": 5.85, "amount_yi": 0.0928 }, { "time": "09:43", "open": 5.85, "high": 5.85, "low": 5.85, "close": 5.85, "amount_yi": 0.029 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49528.75, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 5.538, "quote": { "last": 5.85, "ts": "2026-06-09T09:43:19", "bid1": 5.85, "ask1": 5.86, "bid_qty1": 55540, "ask_qty1": 37300 }, "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": "ACTIONABLE", "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": "2026-06-09T09:43:19", "sim_reason": "trigger_touched", "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": 51.1367, "price_vs_vwap_pct": -0.5802, "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": 12.9675, "prev_amount_yi": 29.9981, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.4323, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "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": 51.48, "close": 51.48, "amount_yi": 3.2215 }, { "time": "09:41", "open": 51.61, "high": 51.61, "low": 51.23, "close": 51.23, "amount_yi": 2.4268 }, { "time": "09:42", "open": 51.32, "high": 51.32, "low": 50.85, "close": 50.85, "amount_yi": 3.207 }, { "time": "09:43", "open": 50.84, "high": 50.84, "low": 50.84, "close": 50.84, "amount_yi": 1.3344 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49528.75, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 45.906, "quote": { "last": 50.84, "ts": "2026-06-09T09:43:17", "bid1": 50.82, "ask1": 50.84, "bid_qty1": 100, "ask_qty1": 100 }, "previous_state": "ACTIONABLE", "next_state": "ACTIONABLE", "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": "2026-06-09T09:43:19", "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": 51.0906, "price_vs_vwap_pct": 0.5664, "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": 1.3261, "prev_amount_yi": 2.624, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.5054, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "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": 50.53, "low": 50.51, "close": 50.53, "amount_yi": 0.3675 }, { "time": "09:41", "open": 50.67, "high": 50.89, "low": 50.67, "close": 50.89, "amount_yi": 0.2573 }, { "time": "09:42", "open": 51.12, "high": 51.23, "low": 51.12, "close": 51.23, "amount_yi": 0.2261 }, { "time": "09:43", "open": 51.38, "high": 51.38, "low": 51.38, "close": 51.38, "amount_yi": 0.2098 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49528.75, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 46.174, "quote": { "last": 51.38, "ts": "2026-06-09T09:43:19", "bid1": 51.37, "ask1": 51.38, "bid_qty1": 3800, "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": "2026-06-09T09:43:19", "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": 59.2629, "price_vs_vwap_pct": -0.9667, "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": 58.69, "ts": "2026-06-09T09:43:18", "bid1": 58.69, "ask1": 58.71, "bid_qty1": 3100, "ask_qty1": 600 }, "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": "2026-06-09T09:43:19", "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": 135.5241, "price_vs_vwap_pct": -1.4935, "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": 1.8271, "prev_amount_yi": 4.4103, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 0.4143, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "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": 134.9, "low": 134.06, "close": 134.9, "amount_yi": 0.5398 }, { "time": "09:41", "open": 133.47, "high": 133.47, "low": 133.01, "close": 133.01, "amount_yi": 0.4645 }, { "time": "09:42", "open": 133.73, "high": 134.45, "low": 133.73, "close": 134.45, "amount_yi": 0.3827 }, { "time": "09:43", "open": 133.5, "high": 133.5, "low": 133.5, "close": 133.5, "amount_yi": 0.104 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49528.75, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 126.424, "quote": { "last": 133.5, "ts": "2026-06-09T09:43:16", "bid1": 133.46, "ask1": 133.5, "bid_qty1": 200, "ask_qty1": 3400 }, "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": 88852.0, "total_value": 990455.0, "unrealized_pnl": 756.9999999999993, "total_pnl": -9545.0, "total_pnl_pct": -0.9545000000000026 }, "paper_positions": [ { "symbol": "SZSE.002138", "name": "顺络电子", "quantity": 800, "sellable_qty": 0, "avg_cost": 60.28, "last_price": 58.69, "market_value": 46952.0, "unrealized_pnl": -1272.0000000000027, "unrealized_pnl_pct": -2.637690776376911, "updated_at": "2026-06-09T09:43:19", "position_pct_of_total": 4.74044757207546 }, { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 419.0, "market_value": 41900.0, "unrealized_pnl": 2029.000000000002, "unrealized_pnl_pct": 5.088911740362678, "updated_at": "2026-06-09T09:43:19", "position_pct_of_total": 4.230378967242328 } ], "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": 1, "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 } }