{ "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": "active_leaders_not_positive_enough", "enabled": true, "pool_up_ratio": 0.5714, "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": -1.9755, "last": 419.79, "prev_close": 428.25, "vwap": 414.9391 } ] }, "quote_source": "public_http_sina:7/7", "quote_stale_lock": false, "generated_at": "2026-06-09T14:18:12", "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": "2026-06-09T14:18:12", "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": 414.9391, "price_vs_vwap_pct": 1.1691, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": false, "reason": "minute_energy_ratio_too_low", "window_min": 3, "bar_count": 3, "min_samples": 2, "amount_yi": 0.4359, "prev_amount_yi": 0.4497, "amount_floor_yi": 0.3, "amount_base_hint_yi": 1.0, "energy_ratio": 0.9693, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:16", "open": 418.28, "high": 418.69, "low": 418.28, "close": 418.69, "amount_yi": 0.1943 }, { "time": "14:17", "open": 418.17, "high": 419.0, "low": 418.17, "close": 419.0, "amount_yi": 0.1857 }, { "time": "14:18", "open": 419.79, "high": 419.79, "low": 419.79, "close": 419.79, "amount_yi": 0.0559 } ] }, "suggested_position_pct": 12.0, "target_position_pct": 12.0, "target_amount": 119028.36, "current_position_value": 41900.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 353.926, "quote": { "last": 419.79, "ts": "2026-06-09T14:18:10", "bid1": 419.16, "ask1": 419.79, "bid_qty1": 890, "ask_qty1": 163 }, "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": "2026-06-09T14:18:12", "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": 14.5577, "price_vs_vwap_pct": 0.0845, "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": 0.0669, "prev_amount_yi": 0.0097, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 6.8969, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:14", "open": 14.61, "high": 14.61, "low": 14.59, "close": 14.59, "amount_yi": 0.0124 }, { "time": "14:15", "open": 14.58, "high": 14.58, "low": 14.58, "close": 14.58, "amount_yi": 0.0127 }, { "time": "14:16", "open": 14.57, "high": 14.58, "low": 14.57, "close": 14.58, "amount_yi": 0.0287 }, { "time": "14:17", "open": 14.58, "high": 14.58, "low": 14.58, "close": 14.58, "amount_yi": 0.0086 }, { "time": "14:18", "open": 14.57, "high": 14.57, "low": 14.57, "close": 14.57, "amount_yi": 0.0045 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49595.15, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 14.164, "quote": { "last": 14.57, "ts": "2026-06-09T14:18:09", "bid1": 14.57, "ask1": 14.58, "bid_qty1": 2400, "ask_qty1": 22400 }, "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": "2026-06-09T14:18:12", "sim_reason": "waiting_trigger", "qty": 8500, "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": 5.8035, "price_vs_vwap_pct": -0.4049, "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": 0.1096, "prev_amount_yi": 0.0058, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 18.8966, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:14", "open": 5.77, "high": 5.77, "low": 5.77, "close": 5.77, "amount_yi": 0.0385 }, { "time": "14:15", "open": 5.77, "high": 5.77, "low": 5.77, "close": 5.77, "amount_yi": 0.0143 }, { "time": "14:16", "open": 5.77, "high": 5.77, "low": 5.77, "close": 5.77, "amount_yi": 0.0242 }, { "time": "14:17", "open": 5.77, "high": 5.77, "low": 5.77, "close": 5.77, "amount_yi": 0.0251 }, { "time": "14:18", "open": 5.78, "high": 5.78, "low": 5.78, "close": 5.78, "amount_yi": 0.0075 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49595.15, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 5.538, "quote": { "last": 5.78, "ts": "2026-06-09T14:18:10", "bid1": 5.77, "ask1": 5.78, "bid_qty1": 200500, "ask_qty1": 303712 }, "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": "2026-06-09T14:18:12", "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": 51.2948, "price_vs_vwap_pct": 4.2406, "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": 2.525, "prev_amount_yi": 0.247, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 10.2227, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:14", "open": 53.33, "high": 53.35, "low": 53.33, "close": 53.35, "amount_yi": 0.3091 }, { "time": "14:15", "open": 53.31, "high": 53.31, "low": 53.27, "close": 53.27, "amount_yi": 0.4135 }, { "time": "14:16", "open": 53.09, "high": 53.09, "low": 53.08, "close": 53.08, "amount_yi": 1.0847 }, { "time": "14:17", "open": 53.21, "high": 53.29, "low": 53.21, "close": 53.29, "amount_yi": 0.5967 }, { "time": "14:18", "open": 53.47, "high": 53.47, "low": 53.47, "close": 53.47, "amount_yi": 0.121 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49595.15, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 45.906, "quote": { "last": 53.47, "ts": "2026-06-09T14:18:11", "bid1": 53.47, "ask1": 53.48, "bid_qty1": 300, "ask_qty1": 100 }, "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": "TOUCHED", "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": "2026-06-09T14:18:12", "sim_reason": "trigger_touched_but_above_exec_high", "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": 52.1282, "price_vs_vwap_pct": 5.2405, "energy_floor_hint_yi": 1.0, "minute_energy": { "passed": true, "reason": "minute_energy_accelerating", "window_min": 5, "bar_count": 5, "min_samples": 3, "amount_yi": 0.3546, "prev_amount_yi": 0.07, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 5.0657, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:14", "open": 54.86, "high": 54.86, "low": 54.74, "close": 54.74, "amount_yi": 0.1304 }, { "time": "14:15", "open": 54.9, "high": 54.9, "low": 54.79, "close": 54.79, "amount_yi": 0.0613 }, { "time": "14:16", "open": 54.87, "high": 54.94, "low": 54.87, "close": 54.94, "amount_yi": 0.0436 }, { "time": "14:17", "open": 54.82, "high": 54.82, "low": 54.77, "close": 54.77, "amount_yi": 0.1022 }, { "time": "14:18", "open": 54.86, "high": 54.86, "low": 54.86, "close": 54.86, "amount_yi": 0.0171 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49595.15, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 46.174, "quote": { "last": 54.86, "ts": "2026-06-09T14:18:10", "bid1": 54.86, "ask1": 54.87, "bid_qty1": 1000, "ask_qty1": 1400 }, "previous_state": "OBSERVE", "next_state": "TOUCHED", "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": "2026-06-09T14:18:12", "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": 59.1432, "price_vs_vwap_pct": 2.2096, "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": 60.45, "ts": "2026-06-09T14:18:09", "bid1": 60.44, "ask1": 60.47, "bid_qty1": 1800, "ask_qty1": 100 }, "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": "TOUCHED", "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": "2026-06-09T14:18:12", "sim_reason": "trigger_touched_but_above_exec_high", "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": 139.1616, "price_vs_vwap_pct": 7.4865, "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": 0.8804, "prev_amount_yi": 0.0321, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 27.4268, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:14", "open": 148.2, "high": 148.31, "low": 148.2, "close": 148.31, "amount_yi": 0.1285 }, { "time": "14:15", "open": 148.0, "high": 148.0, "low": 147.84, "close": 147.84, "amount_yi": 0.1296 }, { "time": "14:16", "open": 147.39, "high": 148.25, "low": 147.39, "close": 148.25, "amount_yi": 0.2762 }, { "time": "14:17", "open": 148.79, "high": 148.9, "low": 148.79, "close": 148.9, "amount_yi": 0.2395 }, { "time": "14:18", "open": 149.58, "high": 149.58, "low": 149.58, "close": 149.58, "amount_yi": 0.1066 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49595.15, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 126.424, "quote": { "last": 149.58, "ts": "2026-06-09T14:18:10", "bid1": 149.56, "ask1": 149.58, "bid_qty1": 800, "ask_qty1": 200 }, "previous_state": "TOUCHED", "next_state": "TOUCHED", "vwap_pullback_seen": false, "quote_stale_lock": false } ], "paper_account": { "initial_capital": 1000000.0, "cash": 901603.0, "market_value": 90339.0, "total_value": 991942.0, "unrealized_pnl": 2244.0000000000055, "total_pnl": -8058.0, "total_pnl_pct": -0.805800000000001 }, "paper_positions": [ { "symbol": "SZSE.002138", "name": "顺络电子", "quantity": 800, "sellable_qty": 0, "avg_cost": 60.28, "last_price": 60.45, "market_value": 48360.0, "unrealized_pnl": 136.00000000000136, "unrealized_pnl_pct": 0.282017252820177, "updated_at": "2026-06-09T14:18:12", "position_pct_of_total": 4.875285046907985 }, { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 419.79, "market_value": 41979.0, "unrealized_pnl": 2108.000000000004, "unrealized_pnl_pct": 5.287050738632093, "updated_at": "2026-06-09T14:18:12", "position_pct_of_total": 4.232001467827756 } ], "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": 30.0, "max_shadow_total_position_pct": 20.0, "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": "DEFENSIVE", "dynamic_total_cap_reason": "信号池或 active 龙头承接不足，总仓降到防守档", "dynamic_total_cap": { "enabled": true, "regime": "DEFENSIVE", "reason": "信号池或 active 龙头承接不足，总仓降到防守档", "base_total_position_pct": 60.0, "base_shadow_total_position_pct": 35.0, "effective_total_position_pct": 30.0, "effective_shadow_total_position_pct": 20.0, "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": 0.5714, "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": "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 } }