{ "schema_version": "stock-research-2.1.1", "calculation_version": "v19-evidence-1.1.1", "model_version": { "strategy_id": "R15_OPT_UNIFIED_V18", "variant": "v18", "frozen_entry_sha256": "40e74fb9620cbcc36459b3e8e91949a501f8e6e5535bd4a4916ef915019c6f1a", "model_scope": "冻结V18实际使用的CAS、SLEEVE04、z5及原MRC模块；非旧R15协议" }, "stock_required_fields": [ "symbol", "windcode", "name", "sector", "wind_industry", "trade_date", "model_date", "updated_at", "schema_version", "calculation_version", "model_version", "models", "models_history", "v18_continuous_state", "daily_kline", "kline_15min", "kline_60min", "volume_price_windows", "price_structure", "relative_strength", "supply_zone", "volume_price_state", "intraday_structure", "support_quality_5day", "sector_role", "sector_synchronization", "sector_environment", "etf_environment", "sources", "data_quality", "missing_fields", "missing_reasons", "model_version_notes", "research_role", "display_price_basis", "trading_execution", "t_execution", "schema_effective_trade_date" ], "models": [ "CAS", "SLEEVE04", "z5", "MCR" ], "null_policy": "必需数据取不到时字段保留为null，同时missing_fields和missing_reasons；不适用的距离等null另列语义", "minute_retention": "按沪深交易日历最近70个交易日独立滚动，不缩短日线或长期模型窗口", "history_raw_bars_policy": "历史快照只保存指标、四模型结果、来源及质量，不重复原始K线", "immutable_history": true, "semantics": { "MCR": "公开名称；原模型原生名称MRC", "sector_role": "未核验不可从研究池/市值/同行状态推断", "supply_zone": "24箱原始未复权15m HLC3量价代理；不做复权尺度映射", "intraday_support": "VWAP及尾盘量比观测，非真实资金净流入" }, "calculation_methods": { "volume_spike": ">= prior20 mean volume *1.5", "volume_shrink": "<= prior20 mean volume *0.8", "stagnation": "abs(adjusted return1) <=1 percent", "swing_pivot": "2 bars left and 2 right, confirmed only", "VWAP": "sum(unadjusted TURNOVER in CNY)/sum(VOLUME in shares)", "RS": "back-adjusted stock n-session return minus CSI300 price-index return, percentage points" }, "execution_version": "t-watch-1.1.0", "legacy_schema_version": "stock-research-1.0.0", "minute_api": "stocks/{symbol}/intraday/{15m|60m}.json", "execution_api": "stocks/{symbol}/execution/latest.json", "data_quality_flags": [ "good", "partial", "stale", "failed" ], "format": "UTF-8, indent=2, JSON MIME", "calculation_document_url": "https://trend-position-data-6ac4dd8091bc.oss-cn-hangzhou.aliyuncs.com/api/v1/calculation-methods.json", "data_quality": { "trade_date": "2026-10-16", "as_of": "2026-10-16T15:00:00+08:00", "updated_at": "2026-10-16T20:07:15.324973+08:00", "sources": [ { "source": "14只独立Wind2档案" } ], "missing_fields": [ "external_fields" ], "missing_reasons": { "external_fields": "详见各股票与市场/ETF/期货data_quality，不将partial称为全部完整" }, "stale_fields": [], "quality_flag": "partial" }, "field_definitions": { "distance_to_zone_percent": { "field_name": "distance_to_zone_percent", "meaning": "区域中心相对当前真实价的距离", "unit": "percent", "formula": "(zone_center_price-current_price)/current_price*100", "sign_rule": "正：中心在现价上方；负：中心在现价下方；零：相等。区间内位置由zone_direction=inside说明，中心偏离仍按同一公式。", "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "zone_direction": { "field_name": "zone_direction", "meaning": "区域区间相对现价的位置", "unit": "enum", "formula": "priceupper:below; otherwise inside", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00", "allowed_values": [ "above", "below", "inside" ] }, "distance_percent / relative_position.distance_to_{first|second}_{supply|support}_percent": { "field_name": "distance_percent / relative_position.distance_to_{first|second}_{supply|support}_percent", "meaning": "保留旧字段为统一主距离的兼容别名", "unit": "percent", "formula": "same as distance_to_zone_percent", "sign_rule": "与主字段完全相同，不再采用区域中心作分母", "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "distance_to_prior20_high_percent / distance_to_prior60_high_percent": { "field_name": "distance_to_prior20_high_percent / distance_to_prior60_high_percent", "meaning": "历史未复权前高相对现价的距离", "unit": "percent", "formula": "(prior_high-current_price)/current_price*100", "sign_rule": "正为前高在上，负为现价已高于前高", "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "distance_to_vwap_percent": { "field_name": "distance_to_vwap_percent", "meaning": "旧字段保留：现价相对VWAP的偏离，非到供应/承接区距离", "unit": "percent", "formula": "(close-VWAP)/VWAP*100", "sign_rule": "正为现价高于VWAP。不同字段名/含义/公式，与zone距离独立。", "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "VWAP": { "field_name": "VWAP", "meaning": "真实未复权当日量额加权均价", "unit": "CNY/share", "formula": "sum(amount_CNY)/sum(volume_shares)", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "range_position": { "field_name": "range_position", "meaning": "收盘在观察区间高低点中的位置", "unit": "ratio_0_to_1", "formula": "(close-low)/(high-low); high==low -> null", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "price_efficiency": { "field_name": "price_efficiency", "meaning": "单位成交额对应的开收盘涨跌幅；不是净流入", "unit": "percentage_points_per_100_million_CNY", "formula": "100*(close/open-1)/(amount_cny/1e8); amount==0 -> null", "sign_rule": "正为收盘高于开盘，负为低于开盘", "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "supply_zone": { "field_name": "supply_zone", "meaning": "原始未复权15m HLC3分箱代理的观察区域；不是逐笔挂单或真实订单簿", "unit": "CNY", "formula": "recent20/60 sessions; 24 bins; assign bar volume/amount to (high+low+close)/3; no adjusted factor mapping", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "support_zone": { "field_name": "support_zone", "meaning": "原始未复权15m HLC3分箱代理的观察区域；不是逐笔挂单或真实订单簿", "unit": "CNY", "formula": "recent20/60 sessions; 24 bins; assign bar volume/amount to (high+low+close)/3; no adjusted factor mapping", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "structural_direction": { "field_name": "structural_direction", "meaning": "已确认15m枢轴的客观方向；最后两根不确认", "unit": "enum", "formula": "HH+HL -> HH_HL; LH+LL -> LH_LL; mixed directional pair -> TRANSITION; equal/insufficient confirmed pivots -> RANGE", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00", "allowed_values": [ "HH_HL", "LH_LL", "RANGE", "TRANSITION" ] }, "behavior_state": { "field_name": "behavior_state", "meaning": "结构之外的行为观察；不改变四模型和T指令权限", "unit": "enum", "formula": "priority: closed_below_prior_low_and_vwap -> breakdown; near_supply -> supply_test; near_support -> acceptance_test; LH_LL_with_vwap_reclaim_or_tail_rise -> rebound_turnover; high_volume_down -> risk_release; high_volume_breakout -> breakout_attempt; existing_confirmed_repair_non_LH_LL -> repair; HH_HL_above_vwap_non_DEFENSIVE -> healthy_turnover; else neutral", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00", "allowed_values": [ "rebound_turnover", "healthy_turnover", "supply_test", "acceptance_test", "repair", "risk_release", "breakout_attempt", "breakdown", "neutral" ] }, "acceptance_quality": { "field_name": "acceptance_quality", "meaning": "近5日低点、VWAP与量额证据的承接观察，非主动买盘证明", "unit": "object", "formula": "at least3 higher-low days and at least3 closes above VWAP -> improvement; latest previous-low break and below VWAP -> insufficient; else mixed", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "T_ADD_WATCH": { "field_name": "T_ADD_WATCH", "meaning": "接回观察，须承接+HL+VWAP+趋势权限确认；不是自动订单，不是收益预测", "unit": "enum", "formula": "existing t-watch gates unchanged; reference observed zone span >=5% for WATCH; keep original numeric evidence and null confidence", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "T_REDUCE_WATCH": { "field_name": "T_REDUCE_WATCH", "meaning": "供应附近衰弱证据的减仓观察；不是自动订单，不是收益预测", "unit": "enum", "formula": "existing t-watch gates unchanged; reference observed zone span >=5% for WATCH; keep original numeric evidence and null confidence", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "T_NEUTRAL": { "field_name": "T_NEUTRAL", "meaning": "跨度不足、区域缺失或执行证据未满足时中性观察；不是自动订单，不是收益预测", "unit": "enum", "formula": "existing t-watch gates unchanged; reference observed zone span >=5% for WATCH; keep original numeric evidence and null confidence", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "feature_price_basis": { "field_name": "feature_price_basis", "meaning": "四模型内部后复权/尺度转换特征标注；models_history内部价格继承此口径", "unit": "object", "formula": "existing model features unchanged", "sign_rule": null, "price_basis": "adjusted_internal_model_scale", "usable_for_execution_observation": false, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "display_price_basis": { "field_name": "display_price_basis", "meaning": "当前与历史实际行情价格口径", "unit": "object", "formula": "unadjusted raw market OHLC/VWAP/zone prices, CNY", "sign_rule": null, "price_basis": "unadjusted_market_price", "usable_for_execution_observation": true, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00" }, "research_role": { "field_name": "research_role", "meaning": "固定三研究池内统计角色；非全行业地位", "unit": "enum_or_null", "formula": "same-day frozen protocol research-pool-role-1.0.0; outside fixed pools -> null with reason; preserve historical versions", "sign_rule": null, "price_basis": "not_a_price", "usable_for_execution_observation": false, "automatic_order": false, "updated_at": "2026-10-16T20:07:15.324973+08:00", "allowed_values": [ "leader", "core", "secondary", "rear" ] } }, "schema_effective_trade_date": "2026-10-09", "schema_introduced_at": "2026-10-10T17:16:11.253930+08:00", "applied_trade_date": "2026-10-16", "historical_migration_policy": "旧历史快照原值不变；本次修正为事后字段规范版本，另存版本路径。新规范从2026-10-09数据版本开始；不冒称10月9日已预先形成。", "feature_price_basis": { "type": "adjusted_internal_model_scale", "tradable_price": false, "description": "模型内部后复权/转换价格，仅用于特征；不得作为实际交易价格、支撑位或压力位" }, "display_price_basis": { "type": "unadjusted_market_price", "tradable_price": true, "description": "原始未复权市场价格，人民币元；用于VWAP、区域与执行观察，非保证成交价" }, "structural_direction_values": [ "HH_HL", "LH_LL", "RANGE", "TRANSITION" ], "behavior_state_values": [ "rebound_turnover", "healthy_turnover", "supply_test", "acceptance_test", "repair", "risk_release", "breakout_attempt", "breakdown", "neutral" ], "legacy_alias_policy": "旧字段存在；区域距离旧名统一为主公式别名；legacy_behavior_label仅供旧标签追溯，主字段读取structural_direction和behavior_state。", "api_version": "1.1", "generated_at": "2026-10-16T12:13:57.359042+00:00", "oss_migration": { "api_version": "1.1", "schema_effective_trade_date": "2026-10-16", "minute_retention_sessions": 70, "legacy_history_policy": "Existing canonical and versioned histories preserved byte-for-byte. New thin schema migration stored separately; future new-date histories are frozen once.", "structure_60m_behavior_formula": "LH_LL with last completed four 60m bars rising from first open and close above actual session VWAP -> rebound_turnover; otherwise neutral. Observational metadata only." }, "policy_capital": { "schema_version": "policy-capital-1.0.0", "calculation_version": "policy-style-evidence-1.0.0", "identities": { "national_team": { "display_code": "884196", "wind_code": "884196.WI", "name": "国家队指数", "basket_name": "国家队风格篮子" }, "pension": { "display_code": "8841118", "wind_code": "8841118.WI", "name": "养老金指数", "basket_name": "养老金风格篮子" }, "insurance": { "display_code": "884907", "wind_code": "884907.WI", "name": "险资举牌指数", "basket_name": "险资风格篮子" } }, "history_sessions": 120, "interpretation": "政策/长期资金偏好风格篮子表现观察；不等于对应机构账户净买卖，不计算实际金额仓位。风格映射是待验证研究假设，不代表成份股分类已经核验。", "fields": { "display_code": { "description": "用户显示代码", "unit": null }, "wind_code": { "description": "Wind实际回执核验证券代码；不得猜后缀", "unit": null }, "name": { "description": "Wind实际返回指数名称", "unit": null }, "open/high/low/close": { "description": "Wind价格指数原值；非股票可交易价", "unit": "provider index scale", "tradable_price": false }, "pct_chg": { "formula": "优先Wind当日涨跌幅；无快照时由相邻历史收盘计算并标记来源", "unit": "percent" }, "return_Nd": { "formula": "(close[t]/close[t-N]-1)*100; N=1,5,10,20,60", "unit": "percent" }, "maN": { "formula": "mean(close[t-N+1:t+1]); N=5,10,20,60", "unit": "same index scale" }, "distance_maN_pct": { "formula": "(close/maN-1)*100", "unit": "percent", "sign": "positive above MA" }, "amount_change_Nd": { "formula": "(amount[t]/amount[t-N]-1)*100; N=1,5", "unit": "percent" }, "breadth_ratio": { "formula": "up_count/(up_count+down_count+flat_count)", "unit": "ratio [0,1]", "source": "Wind current-session counts only; no historic backfill" }, "component_median_return/component_equal_weight_return": { "formula": "median/mean component same-day returns; null without verified dated constituents", "unit": "percent" }, "top_5_positive_contributors/top_5_negative_contributors": { "formula": "null unless Wind weights or verified contribution methodology are available; return ranking is not contribution", "unit": "percentage points if calculated" }, "A_minus_B_Nd": { "formula": "A.return_Nd-B.return_Nd", "unit": "percentage points", "sign": "positive A stronger than B" }, "risk_budget_state": { "enum": [ "BROAD_EXPANSION", "DEFENSIVE_SHIFT", "GROWTH_EXPANSION", "LOW_BETA_STABILIZATION", "MIXED", "NEUTRAL" ], "method": "joint 5/10-day basket rankings, at least 2 of MA5/10/20, Wind current breadth majority, both ChiNext/STAR vs HS300 on 5/10 days; direct growth/value evidence when available. Sign and majority conditions are descriptive conventions, not optimized thresholds. Missing/stale evidence does not create a confirmed direction.", "tradable_price": false }, "migration_signal": { "enum": [ "BROAD_RISK_OFF", "BROAD_RISK_ON", "GROWTH_TO_LOW_BETA", "LOW_BETA_TO_GROWTH", "NO_CLEAR_MIGRATION", "TO_DEFENSIVE_CASHFLOW" ], "method": "explicit direction requires joint 5/10 confirmation; single-day leadership alone is NO_CLEAR_MIGRATION", "account_flow": false }, "migration_persistence": { "enum": [ "CONFIRMED", "EARLY", "MATURE", "ONE_DAY", "REVERSING" ], "method": "ONE_DAY=no persistent directional confirmation; EARLY=1/5 align; CONFIRMED=5/10 align; MATURE=5/10/20 align; REVERSING=1/5 reverse 10/20. Directional signals currently require 5/10 confirmation; early/reversing observations do not override that gate." }, "evidence": { "description": "3-5 highest-value observations, no probabilities" }, "source_trade_date": { "description": "real source session; batch trade_date may differ only if explicitly stale" }, "quality_flag": { "enum": [ "good", "partial", "stale", "failed" ] } }, "volume_note": "Wind returned no volume unit in this contract; keep original numeric volume, unit=null, quality partial. Amount is CNY when provider says 元.", "first_data_trade_date": "2026-10-09", "introduced_date": "2026-10-10" }, "data_release_id": "2026-10-16-oss-universe25-4d2065037a391ec6", "pool_extension": { "formal_stock_count": 25, "symbols": [ "159583", "159516" ], "effective_live_session": "2026-10-12", "ETF_minute_retention_sessions": 25, "stock_minute_retention_sessions": 70, "original_schema_version_unchanged": true, "calculation_version_unchanged": true, "models_unchanged": true, "historical_backtest_does_not_backfill_live_decisions": true, "minute_volume_unit": "provider omitted unit; independently checked amount/volume against rounded market AVPRICE; inferred scale explicitly flagged", "60day_minute_profile": "null with missing reason for ETFs; separately labeled partial 25-session proxy", "all_symbols": [ "002371", "601398", "600900", "600941", "601088", "600066", "603456", "000739", "688012", "300502", "300308", "603259", "002821", "002315", "159583", "159516", "600176", "601208", "000636", "603002", "300170", "518680", "300413", "605577", "603386" ], "newly_added_symbols": [ "600176", "601208", "000636", "603002", "300170", "518680", "300413", "605577", "603386" ], "original_sixteen_preserved": true, "shared_primary_api_tree": true, "minute_retention_sessions_by_symbol": { "002371": 30, "601398": 30, "600900": 30, "600941": 30, "601088": 30, "600066": 30, "603456": 30, "000739": 30, "688012": 30, "300502": 30, "300308": 30, "603259": 30, "002821": 30, "002315": 30, "159583": 30, "159516": 30, "600176": 30, "601208": 30, "000636": 30, "603002": 30, "300170": 30, "518680": 30, "300413": 30, "605577": 30, "603386": 30 }, "ETF_minute_retention_scope": [ "159583", "159516" ], "independent_new_accounts": 17000, "minimum_commission_by_new_account": 0.5, "live_frozen_history_start": "2026-10-12" } }