{ "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": "after_14:30_no_new_upgrade,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": -1.4407, "last": 422.08, "prev_close": 428.25, "vwap": 415.5497 } ] }, "quote_source": "public_http_sina:7/7", "quote_stale_lock": false, "generated_at": "2026-06-09T14:54:54", "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": "2026-06-09T14:54:54", "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": 415.5497, "price_vs_vwap_pct": 1.5715, "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": 1.6835, "prev_amount_yi": 1.0325, "amount_floor_yi": 0.3, "amount_base_hint_yi": 1.0, "energy_ratio": 1.6305, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:52", "open": 421.86, "high": 423.0, "low": 421.86, "close": 423.0, "amount_yi": 0.4516 }, { "time": "14:53", "open": 423.3, "high": 423.3, "low": 422.49, "close": 422.49, "amount_yi": 0.7373 }, { "time": "14:54", "open": 422.02, "high": 422.08, "low": 422.02, "close": 422.08, "amount_yi": 0.4946 } ] }, "suggested_position_pct": 12.0, "target_position_pct": 12.0, "target_amount": 119134.68, "current_position_value": 42202.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 353.926, "quote": { "last": 422.08, "ts": "2026-06-09T14:54:52", "bid1": 422.08, "ask1": 422.89, "bid_qty1": 79, "ask_qty1": 3791 }, "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": "2026-06-09T14:54:54", "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": 14.5628, "price_vs_vwap_pct": 0.1868, "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": 0.2157, "prev_amount_yi": 0.1682, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 1.2824, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:50", "open": 14.59, "high": 14.59, "low": 14.58, "close": 14.58, "amount_yi": 0.0454 }, { "time": "14:51", "open": 14.58, "high": 14.58, "low": 14.58, "close": 14.58, "amount_yi": 0.036 }, { "time": "14:52", "open": 14.59, "high": 14.59, "low": 14.59, "close": 14.59, "amount_yi": 0.0332 }, { "time": "14:53", "open": 14.58, "high": 14.58, "low": 14.58, "close": 14.58, "amount_yi": 0.0625 }, { "time": "14:54", "open": 14.59, "high": 14.59, "low": 14.59, "close": 14.59, "amount_yi": 0.0386 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49639.45, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 14.164, "quote": { "last": 14.59, "ts": "2026-06-09T14:54:51", "bid1": 14.58, "ask1": 14.59, "bid_qty1": 157000, "ask_qty1": 77400 }, "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": "2026-06-09T14:54:54", "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": 5.8024, "price_vs_vwap_pct": 0.131, "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": 0.302, "prev_amount_yi": 0.2077, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 1.454, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:50", "open": 5.8, "high": 5.8, "low": 5.8, "close": 5.8, "amount_yi": 0.07 }, { "time": "14:51", "open": 5.8, "high": 5.8, "low": 5.8, "close": 5.8, "amount_yi": 0.0421 }, { "time": "14:52", "open": 5.81, "high": 5.81, "low": 5.81, "close": 5.81, "amount_yi": 0.0491 }, { "time": "14:53", "open": 5.81, "high": 5.81, "low": 5.81, "close": 5.81, "amount_yi": 0.0538 }, { "time": "14:54", "open": 5.8, "high": 5.81, "low": 5.8, "close": 5.81, "amount_yi": 0.087 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49639.45, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 5.538, "quote": { "last": 5.81, "ts": "2026-06-09T14:54:52", "bid1": 5.8, "ask1": 5.81, "bid_qty1": 1066100, "ask_qty1": 107500 }, "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": "2026-06-09T14:54:54", "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": 51.4323, "price_vs_vwap_pct": 4.3119, "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": 4.242, "prev_amount_yi": 2.817, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 1.5059, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:50", "open": 53.58, "high": 53.61, "low": 53.58, "close": 53.61, "amount_yi": 0.8203 }, { "time": "14:51", "open": 53.69, "high": 53.8, "low": 53.69, "close": 53.8, "amount_yi": 0.8284 }, { "time": "14:52", "open": 53.82, "high": 53.82, "low": 53.81, "close": 53.81, "amount_yi": 0.8644 }, { "time": "14:53", "open": 53.82, "high": 53.87, "low": 53.82, "close": 53.87, "amount_yi": 0.5647 }, { "time": "14:54", "open": 53.7, "high": 53.7, "low": 53.65, "close": 53.65, "amount_yi": 1.1642 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49639.45, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 45.906, "quote": { "last": 53.65, "ts": "2026-06-09T14:54:53", "bid1": 53.65, "ask1": 53.66, "bid_qty1": 87300, "ask_qty1": 1700 }, "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": "2026-06-09T14:54:54", "sim_reason": "trigger_touched_but_above_exec_high", "qty": 800, "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": 52.4521, "price_vs_vwap_pct": 5.6583, "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": 0.7772, "prev_amount_yi": 0.5455, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 1.4247, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:50", "open": 55.3, "high": 55.3, "low": 55.25, "close": 55.25, "amount_yi": 0.1959 }, { "time": "14:51", "open": 55.35, "high": 55.37, "low": 55.35, "close": 55.37, "amount_yi": 0.1552 }, { "time": "14:52", "open": 55.36, "high": 55.36, "low": 55.33, "close": 55.33, "amount_yi": 0.1358 }, { "time": "14:53", "open": 55.34, "high": 55.39, "low": 55.34, "close": 55.39, "amount_yi": 0.1158 }, { "time": "14:54", "open": 55.37, "high": 55.42, "low": 55.37, "close": 55.42, "amount_yi": 0.1745 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49639.45, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 46.174, "quote": { "last": 55.42, "ts": "2026-06-09T14:54:52", "bid1": 55.41, "ask1": 55.42, "bid_qty1": 1800, "ask_qty1": 500 }, "previous_state": "TOUCHED", "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": "2026-06-09T14:54:54", "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": 59.2582, "price_vs_vwap_pct": 3.3275, "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": 61.23, "ts": "2026-06-09T14:54:51", "bid1": 61.23, "ask1": 0.0, "bid_qty1": 1733766, "ask_qty1": 0 }, "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": "2026-06-09T14:54:54", "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": 140.3525, "price_vs_vwap_pct": 6.9806, "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": 2.0204, "prev_amount_yi": 0.6728, "amount_floor_yi": 0.5, "amount_base_hint_yi": 1.0, "energy_ratio": 3.003, "ratio_min": 1.05, "template_key": "BREAK_PREV_HIGH", "bars": [ { "time": "14:50", "open": 149.68, "high": 149.74, "low": 149.68, "close": 149.74, "amount_yi": 0.1439 }, { "time": "14:51", "open": 149.99, "high": 150.1, "low": 149.99, "close": 150.1, "amount_yi": 0.4274 }, { "time": "14:52", "open": 150.15, "high": 150.15, "low": 150.15, "close": 150.15, "amount_yi": 0.7163 }, { "time": "14:53", "open": 150.15, "high": 150.15, "low": 150.14, "close": 150.14, "amount_yi": 0.4755 }, { "time": "14:54", "open": 150.15, "high": 150.15, "low": 150.15, "close": 150.15, "amount_yi": 0.2573 } ] }, "suggested_position_pct": 6.0, "target_position_pct": 5.0, "target_amount": 49639.45, "current_position_value": 0.0, "cash_before_order": 901603.0, "sizing_reason": "position_sized_by_target_pct", "ma5": 126.424, "quote": { "last": 150.15, "ts": "2026-06-09T14:54:52", "bid1": 150.15, "ask1": 0.0, "bid_qty1": 195400, "ask_qty1": 0 }, "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": 91192.0, "total_value": 992795.0, "unrealized_pnl": 3096.9999999999973, "total_pnl": -7205.0, "total_pnl_pct": -0.7205000000000017 }, "paper_positions": [ { "symbol": "SZSE.002138", "name": "顺络电子", "quantity": 800, "sellable_qty": 0, "avg_cost": 60.28, "last_price": 61.23, "market_value": 48984.0, "unrealized_pnl": 759.9999999999966, "unrealized_pnl_pct": 1.575978765759789, "updated_at": "2026-06-09T14:54:54", "position_pct_of_total": 4.933949103289199 }, { "symbol": "SHSE.688017", "name": "绿的谐波", "quantity": 100, "sellable_qty": 100, "avg_cost": 398.71, "last_price": 422.08, "market_value": 42208.0, "unrealized_pnl": 2337.0000000000005, "unrealized_pnl_pct": 5.861403024754841, "updated_at": "2026-06-09T14:54:54", "position_pct_of_total": 4.251431564421658 } ], "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": 0.5714, "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": "after_14:30_no_new_upgrade,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 } }