四大宽基 ETF 期权实盘复盘 (2026-11-06)：时效止损与熔断拦截

导语：日内量化交易的胜负手，不仅在于捕捉单边爆发时的乘胜追击，更在于在利润安全垫产生后，以数学纪律动态抬升保本底线，并让亏损截断在毫秒之间。本文基于 2026-11-06 500ETF / 300ETF / 50ETF / 创业板ETF 期权模拟盘柜台的真实平仓台账与报单流水逐笔生成：所有价格、时间、数量与盈亏均来自物理柜台记录，未做任何手工润色。

1. 当日交易战报全景与物理柜台终态对账

📊 2026-11-06 模拟柜台闭环台账汇总 (PAPER)

• 交易标的：500ETF / 300ETF / 50ETF / 创业板ETF 期权

• 数据口径：PAPER 模拟柜台平仓台账 + 报单流水

• 闭环交易：4 笔 (0 胜 / 4 负) | 胜率 0.0%

• 毛盈亏：-¥557.00 CNY

• 手续费(估算)：-¥24.00 CNY

• 全天净盈亏：-¥581.00 CNY

• 盈亏比 (PF)：0.00 (均盈 ¥0.00 / 均亏 -¥145.25)

当日要点

最大单笔盈利：#2 10012440.SHO，净 -¥56.00（出场：HARD_STOP_20PCT_1LOT）；最大单笔亏损：#1 10012474.SHO，净 -¥262.00（出场：HARD_STOP_20PCT_1LOT）。
盈亏结构：0 胜 4 负，均盈 ¥0.00 / 均亏 -¥145.25，盈亏比 0.00。
时段拆分：午前平仓 2 笔净 -¥318.00；午后平仓 2 笔净 -¥263.00。
出场原因贡献：净贡献最高 TIME_STOP_30M (-¥263.00)，最低 HARD_STOP_20PCT_1LOT (-¥318.00)。
平均持仓：32 分钟（仅统计当日开仓的 2 笔）。
手续费拖累：-¥24.00，约占毛盈亏绝对值的 4.3%（模拟盘估算费率）。

1.1 逐笔成交流水表

序号	开仓 → 平仓时间	标的	期权合约	类型	数量	开仓价 → 平仓价	触发信号	出场原因	毛盈亏	手续费	净盈亏	价格涨跌
🔴 #1	隔夜恢复持仓 → 09:36:28	`SH.510500`	`10012474.SHO` 500ETF购11月7000	认购 Call	1 手	0.1020 → 0.0764	`RECOVERED`	`HARD_STOP_20PCT_1LOT`	-¥256.00	-¥6.00	🔴 -¥262.00	-25.10%
🔴 #2	隔夜恢复持仓 → 09:40:20	`SH.510050`	`10012440.SHO` 50ETF购11月2950	认购 Call	1 手	0.0259 → 0.0209	`RECOVERED`	`HARD_STOP_20PCT_1LOT`	-¥50.00	-¥6.00	🔴 -¥56.00	-19.31%
🔴 #3	13:06:11 → 13:42:18	`SH.510500`	`10012473.SHO` 500ETF购11月6750	认购 Call	1 手	0.1769 → 0.1590	`FOX-PM-BOX-CALL`	`TIME_STOP_30M`	-¥179.00	-¥6.00	🔴 -¥185.00	-10.12%
🔴 #4	13:27:13 → 13:55:54	`SH.510300`	`10012530.SHO` 300ETF沽11月4100	认沽 Put	1 手	0.0698 → 0.0626	`FOX-PM-BOX-PUT`	`TIME_STOP_30M`	-¥72.00	-¥6.00	🔴 -¥78.00	-10.32%

口径说明：毛盈亏 = (平仓价 − 开仓价) × 数量 × 合约乘数；净盈亏 = 毛盈亏 − 手续费。本表手续费为模拟柜台按固定费率估算值 (非券商/交易所实际扣费)。模拟盘与实盘的手续费、滑点与成交优先级不同，本表仅反映模拟盘台账，不可直接等同实盘收益。

「隔夜恢复持仓」表示该仓位由盘前风控自愈接管，开仓价为接管时的持仓成本，开仓时间不在当日台账内。

2. 底层标的量化微观罗盘与三大时段演变

2.1 每日微观结构罗盘 (Daily Matrix Snapshot)

度量维度 (Metric)	物理数值 (Value)	结构化判定与因果解析 (Attribution)
标的与交易日	`SH.510500` · `2026-11-06`	全天真实样本: 50 根 5min Bar · 成交总量: 5,404,281
日内价格形态	开: `6.7840` 高: `6.7840` 低: `6.5810` 收: `6.6290`	涨跌幅: -2.28% · 日内振幅: `0.2030`
20 EMA 偏离度	均线位: `6.6437` · 偏离: `-0.0147`	均线磁吸回归评估，处于健康波段轨道
开盘区间 (ORB)	ORH (前15分高): `6.7840` · ORL (前15分低): `6.5810`	突破判定: 震荡收敛于开盘区间内 (ORB Range Bound)
多空主导格局	强空头控制 (Always-In Short)	尾盘收于当日 23.6% 低分位中枢下方

2.2 三大时段因果演变实录

早盘开盘定价与流动性博弈 (09:30 - 10:15)：开盘前 15 分钟市场集中释放隔夜信息与情绪定价，成交量占全天约 30%。系统依托 ORB15 开盘高低点区间探测真实方向，执行了 2 笔试仓与波段交易；
盘中中枢蓄势与 VWAP 缩量拉锯 (10:15 - 13:30)：指数在日内均价线（VWAP）附近展开多空收敛测试，波动率（IV）出现均值回归挤压，策略保持耐心观望，规避频繁来回抽打；
午后破位延伸与强平收官 (13:30 - 15:00)：午后关键动能穿透关键轨道，系统执行了 2 笔顺势狙击与移动追踪止盈；并在 14:55:00 EOD 强平守卫触发下清空全量仓位，实现 100% Flat 零隔夜风险。

500ETF (SH.510500) 5分钟 K线与期权开平仓时点

{
  "symbol": "SH.510500",
  "title": "500ETF (SH.510500) 5分钟 K线与期权开平仓时点",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 6.784,
      "high": 6.784,
      "low": 6.581,
      "close": 6.643,
      "volume": 1132036
    },
    {
      "time": "2026-11-06 09:35",
      "open": 6.643,
      "high": 6.65,
      "low": 6.624,
      "close": 6.638,
      "volume": 210076
    },
    {
      "time": "2026-11-06 09:40",
      "open": 6.642,
      "high": 6.643,
      "low": 6.592,
      "close": 6.618,
      "volume": 159364
    },
    {
      "time": "2026-11-06 09:45",
      "open": 6.617,
      "high": 6.633,
      "low": 6.609,
      "close": 6.626,
      "volume": 148187
    },
    {
      "time": "2026-11-06 09:50",
      "open": 6.632,
      "high": 6.674,
      "low": 6.631,
      "close": 6.674,
      "volume": 135757
    },
    {
      "time": "2026-11-06 09:55",
      "open": 6.673,
      "high": 6.686,
      "low": 6.659,
      "close": 6.67,
      "volume": 119235
    },
    {
      "time": "2026-11-06 10:00",
      "open": 6.67,
      "high": 6.681,
      "low": 6.656,
      "close": 6.665,
      "volume": 155569
    },
    {
      "time": "2026-11-06 10:05",
      "open": 6.665,
      "high": 6.672,
      "low": 6.651,
      "close": 6.66,
      "volume": 62218
    },
    {
      "time": "2026-11-06 10:10",
      "open": 6.66,
      "high": 6.684,
      "low": 6.653,
      "close": 6.678,
      "volume": 75453
    },
    {
      "time": "2026-11-06 10:15",
      "open": 6.678,
      "high": 6.678,
      "low": 6.655,
      "close": 6.655,
      "volume": 90707
    },
    {
      "time": "2026-11-06 10:20",
      "open": 6.656,
      "high": 6.704,
      "low": 6.65,
      "close": 6.697,
      "volume": 152403
    },
    {
      "time": "2026-11-06 10:25",
      "open": 6.696,
      "high": 6.706,
      "low": 6.689,
      "close": 6.702,
      "volume": 80803
    },
    {
      "time": "2026-11-06 10:30",
      "open": 6.7,
      "high": 6.714,
      "low": 6.69,
      "close": 6.711,
      "volume": 150600
    },
    {
      "time": "2026-11-06 10:35",
      "open": 6.714,
      "high": 6.73,
      "low": 6.71,
      "close": 6.721,
      "volume": 94134
    },
    {
      "time": "2026-11-06 10:40",
      "open": 6.72,
      "high": 6.72,
      "low": 6.694,
      "close": 6.695,
      "volume": 92774
    },
    {
      "time": "2026-11-06 10:45",
      "open": 6.695,
      "high": 6.71,
      "low": 6.68,
      "close": 6.71,
      "volume": 55365
    },
    {
      "time": "2026-11-06 10:50",
      "open": 6.71,
      "high": 6.72,
      "low": 6.681,
      "close": 6.682,
      "volume": 45430
    },
    {
      "time": "2026-11-06 10:55",
      "open": 6.682,
      "high": 6.687,
      "low": 6.675,
      "close": 6.678,
      "volume": 43115
    },
    {
      "time": "2026-11-06 11:00",
      "open": 6.676,
      "high": 6.678,
      "low": 6.667,
      "close": 6.671,
      "volume": 31642
    },
    {
      "time": "2026-11-06 11:05",
      "open": 6.671,
      "high": 6.677,
      "low": 6.666,
      "close": 6.674,
      "volume": 28640
    },
    {
      "time": "2026-11-06 11:10",
      "open": 6.674,
      "high": 6.681,
      "low": 6.665,
      "close": 6.67,
      "volume": 38045
    },
    {
      "time": "2026-11-06 11:15",
      "open": 6.67,
      "high": 6.677,
      "low": 6.667,
      "close": 6.67,
      "volume": 17849
    },
    {
      "time": "2026-11-06 11:20",
      "open": 6.67,
      "high": 6.681,
      "low": 6.666,
      "close": 6.677,
      "volume": 47466
    },
    {
      "time": "2026-11-06 11:25",
      "open": 6.674,
      "high": 6.677,
      "low": 6.666,
      "close": 6.669,
      "volume": 30474
    },
    {
      "time": "2026-11-06 11:30",
      "open": 6.669,
      "high": 6.669,
      "low": 6.665,
      "close": 6.667,
      "volume": 3209
    },
    {
      "time": "2026-11-06 13:00",
      "open": 6.667,
      "high": 6.708,
      "low": 6.667,
      "close": 6.682,
      "volume": 94810
    },
    {
      "time": "2026-11-06 13:05",
      "open": 6.68,
      "high": 6.7,
      "low": 6.675,
      "close": 6.698,
      "volume": 49648
    },
    {
      "time": "2026-11-06 13:10",
      "open": 6.694,
      "high": 6.699,
      "low": 6.671,
      "close": 6.671,
      "volume": 35989
    },
    {
      "time": "2026-11-06 13:15",
      "open": 6.67,
      "high": 6.67,
      "low": 6.65,
      "close": 6.656,
      "volume": 108155
    },
    {
      "time": "2026-11-06 13:20",
      "open": 6.655,
      "high": 6.656,
      "low": 6.639,
      "close": 6.642,
      "volume": 88191
    },
    {
      "time": "2026-11-06 13:25",
      "open": 6.642,
      "high": 6.642,
      "low": 6.635,
      "close": 6.639,
      "volume": 42977
    },
    {
      "time": "2026-11-06 13:30",
      "open": 6.64,
      "high": 6.64,
      "low": 6.626,
      "close": 6.633,
      "volume": 41266
    },
    {
      "time": "2026-11-06 13:35",
      "open": 6.636,
      "high": 6.656,
      "low": 6.633,
      "close": 6.654,
      "volume": 58042
    },
    {
      "time": "2026-11-06 13:40",
      "open": 6.654,
      "high": 6.676,
      "low": 6.654,
      "close": 6.659,
      "volume": 63867
    },
    {
      "time": "2026-11-06 13:45",
      "open": 6.658,
      "high": 6.672,
      "low": 6.655,
      "close": 6.672,
      "volume": 25243
    },
    {
      "time": "2026-11-06 13:50",
      "open": 6.672,
      "high": 6.684,
      "low": 6.662,
      "close": 6.664,
      "volume": 40697
    },
    {
      "time": "2026-11-06 13:55",
      "open": 6.665,
      "high": 6.679,
      "low": 6.652,
      "close": 6.654,
      "volume": 37800
    },
    {
      "time": "2026-11-06 14:00",
      "open": 6.656,
      "high": 6.662,
      "low": 6.639,
      "close": 6.639,
      "volume": 57075
    },
    {
      "time": "2026-11-06 14:05",
      "open": 6.639,
      "high": 6.655,
      "low": 6.636,
      "close": 6.645,
      "volume": 76985
    },
    {
      "time": "2026-11-06 14:10",
      "open": 6.644,
      "high": 6.644,
      "low": 6.637,
      "close": 6.64,
      "volume": 54879
    },
    {
      "time": "2026-11-06 14:15",
      "open": 6.641,
      "high": 6.652,
      "low": 6.638,
      "close": 6.65,
      "volume": 100904
    },
    {
      "time": "2026-11-06 14:20",
      "open": 6.65,
      "high": 6.66,
      "low": 6.644,
      "close": 6.654,
      "volume": 105138
    },
    {
      "time": "2026-11-06 14:25",
      "open": 6.654,
      "high": 6.663,
      "low": 6.643,
      "close": 6.644,
      "volume": 212515
    },
    {
      "time": "2026-11-06 14:30",
      "open": 6.643,
      "high": 6.646,
      "low": 6.635,
      "close": 6.635,
      "volume": 121933
    },
    {
      "time": "2026-11-06 14:35",
      "open": 6.636,
      "high": 6.65,
      "low": 6.632,
      "close": 6.642,
      "volume": 77945
    },
    {
      "time": "2026-11-06 14:40",
      "open": 6.643,
      "high": 6.646,
      "low": 6.638,
      "close": 6.64,
      "volume": 65862
    },
    {
      "time": "2026-11-06 14:45",
      "open": 6.639,
      "high": 6.64,
      "low": 6.624,
      "close": 6.626,
      "volume": 207348
    },
    {
      "time": "2026-11-06 14:50",
      "open": 6.625,
      "high": 6.627,
      "low": 6.617,
      "close": 6.626,
      "volume": 284038
    },
    {
      "time": "2026-11-06 14:55",
      "open": 6.626,
      "high": 6.632,
      "low": 6.625,
      "close": 6.632,
      "volume": 94321
    },
    {
      "time": "2026-11-06 15:00",
      "open": 6.629,
      "high": 6.629,
      "low": 6.629,
      "close": 6.629,
      "volume": 58102
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 09:35",
      "price": 6.638,
      "type": "SELL",
      "label": "#1 平仓 -¥262.00"
    },
    {
      "time": "2026-11-06 13:05",
      "price": 6.698,
      "type": "BUY",
      "label": "#3 开仓 10012473.SHO"
    },
    {
      "time": "2026-11-06 13:40",
      "price": 6.659,
      "type": "SELL",
      "label": "#3 平仓 -¥185.00"
    }
  ],
  "lines": []
}

50ETF (SH.510050) 5分钟 K线与期权开平仓时点

{
  "symbol": "SH.510050",
  "title": "50ETF (SH.510050) 5分钟 K线与期权开平仓时点",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 2.93,
      "high": 2.93,
      "low": 2.886,
      "close": 2.897,
      "volume": 1219849
    },
    {
      "time": "2026-11-06 09:35",
      "open": 2.897,
      "high": 2.904,
      "low": 2.896,
      "close": 2.9,
      "volume": 376527
    },
    {
      "time": "2026-11-06 09:40",
      "open": 2.899,
      "high": 2.9,
      "low": 2.893,
      "close": 2.897,
      "volume": 242397
    },
    {
      "time": "2026-11-06 09:45",
      "open": 2.898,
      "high": 2.899,
      "low": 2.895,
      "close": 2.896,
      "volume": 283534
    },
    {
      "time": "2026-11-06 09:50",
      "open": 2.896,
      "high": 2.9,
      "low": 2.895,
      "close": 2.899,
      "volume": 211375
    },
    {
      "time": "2026-11-06 09:55",
      "open": 2.899,
      "high": 2.902,
      "low": 2.896,
      "close": 2.898,
      "volume": 194204
    },
    {
      "time": "2026-11-06 10:00",
      "open": 2.898,
      "high": 2.9,
      "low": 2.896,
      "close": 2.898,
      "volume": 126434
    },
    {
      "time": "2026-11-06 10:05",
      "open": 2.898,
      "high": 2.899,
      "low": 2.895,
      "close": 2.897,
      "volume": 202617
    },
    {
      "time": "2026-11-06 10:10",
      "open": 2.896,
      "high": 2.9,
      "low": 2.894,
      "close": 2.898,
      "volume": 166938
    },
    {
      "time": "2026-11-06 10:15",
      "open": 2.898,
      "high": 2.898,
      "low": 2.894,
      "close": 2.896,
      "volume": 78234
    },
    {
      "time": "2026-11-06 10:20",
      "open": 2.896,
      "high": 2.9,
      "low": 2.894,
      "close": 2.898,
      "volume": 131422
    },
    {
      "time": "2026-11-06 10:25",
      "open": 2.899,
      "high": 2.9,
      "low": 2.897,
      "close": 2.9,
      "volume": 117295
    },
    {
      "time": "2026-11-06 10:30",
      "open": 2.9,
      "high": 2.903,
      "low": 2.898,
      "close": 2.903,
      "volume": 120239
    },
    {
      "time": "2026-11-06 10:35",
      "open": 2.903,
      "high": 2.905,
      "low": 2.901,
      "close": 2.903,
      "volume": 66025
    },
    {
      "time": "2026-11-06 10:40",
      "open": 2.903,
      "high": 2.903,
      "low": 2.898,
      "close": 2.899,
      "volume": 49984
    },
    {
      "time": "2026-11-06 10:45",
      "open": 2.9,
      "high": 2.904,
      "low": 2.897,
      "close": 2.904,
      "volume": 38704
    },
    {
      "time": "2026-11-06 10:50",
      "open": 2.905,
      "high": 2.906,
      "low": 2.901,
      "close": 2.902,
      "volume": 59665
    },
    {
      "time": "2026-11-06 10:55",
      "open": 2.901,
      "high": 2.904,
      "low": 2.901,
      "close": 2.901,
      "volume": 20506
    },
    {
      "time": "2026-11-06 11:00",
      "open": 2.901,
      "high": 2.902,
      "low": 2.9,
      "close": 2.901,
      "volume": 47546
    },
    {
      "time": "2026-11-06 11:05",
      "open": 2.902,
      "high": 2.902,
      "low": 2.899,
      "close": 2.9,
      "volume": 52333
    },
    {
      "time": "2026-11-06 11:10",
      "open": 2.899,
      "high": 2.902,
      "low": 2.899,
      "close": 2.901,
      "volume": 58066
    },
    {
      "time": "2026-11-06 11:15",
      "open": 2.9,
      "high": 2.902,
      "low": 2.899,
      "close": 2.9,
      "volume": 56245
    },
    {
      "time": "2026-11-06 11:20",
      "open": 2.899,
      "high": 2.901,
      "low": 2.899,
      "close": 2.899,
      "volume": 18222
    },
    {
      "time": "2026-11-06 11:25",
      "open": 2.899,
      "high": 2.899,
      "low": 2.896,
      "close": 2.898,
      "volume": 25947
    },
    {
      "time": "2026-11-06 11:30",
      "open": 2.897,
      "high": 2.897,
      "low": 2.895,
      "close": 2.895,
      "volume": 21447
    },
    {
      "time": "2026-11-06 13:00",
      "open": 2.895,
      "high": 2.903,
      "low": 2.895,
      "close": 2.899,
      "volume": 98944
    },
    {
      "time": "2026-11-06 13:05",
      "open": 2.899,
      "high": 2.9,
      "low": 2.897,
      "close": 2.899,
      "volume": 36812
    },
    {
      "time": "2026-11-06 13:10",
      "open": 2.899,
      "high": 2.9,
      "low": 2.895,
      "close": 2.896,
      "volume": 29668
    },
    {
      "time": "2026-11-06 13:15",
      "open": 2.896,
      "high": 2.896,
      "low": 2.892,
      "close": 2.895,
      "volume": 107594
    },
    {
      "time": "2026-11-06 13:20",
      "open": 2.896,
      "high": 2.896,
      "low": 2.892,
      "close": 2.893,
      "volume": 24355
    },
    {
      "time": "2026-11-06 13:25",
      "open": 2.892,
      "high": 2.895,
      "low": 2.892,
      "close": 2.895,
      "volume": 33391
    },
    {
      "time": "2026-11-06 13:30",
      "open": 2.895,
      "high": 2.895,
      "low": 2.892,
      "close": 2.893,
      "volume": 39147
    },
    {
      "time": "2026-11-06 13:35",
      "open": 2.892,
      "high": 2.897,
      "low": 2.892,
      "close": 2.896,
      "volume": 27696
    },
    {
      "time": "2026-11-06 13:40",
      "open": 2.896,
      "high": 2.9,
      "low": 2.896,
      "close": 2.898,
      "volume": 73044
    },
    {
      "time": "2026-11-06 13:45",
      "open": 2.898,
      "high": 2.901,
      "low": 2.897,
      "close": 2.9,
      "volume": 47774
    },
    {
      "time": "2026-11-06 13:50",
      "open": 2.9,
      "high": 2.903,
      "low": 2.899,
      "close": 2.9,
      "volume": 91662
    },
    {
      "time": "2026-11-06 13:55",
      "open": 2.901,
      "high": 2.902,
      "low": 2.898,
      "close": 2.899,
      "volume": 55513
    },
    {
      "time": "2026-11-06 14:00",
      "open": 2.9,
      "high": 2.9,
      "low": 2.897,
      "close": 2.897,
      "volume": 45229
    },
    {
      "time": "2026-11-06 14:05",
      "open": 2.897,
      "high": 2.898,
      "low": 2.896,
      "close": 2.897,
      "volume": 105619
    },
    {
      "time": "2026-11-06 14:10",
      "open": 2.897,
      "high": 2.897,
      "low": 2.894,
      "close": 2.895,
      "volume": 69997
    },
    {
      "time": "2026-11-06 14:15",
      "open": 2.895,
      "high": 2.898,
      "low": 2.894,
      "close": 2.898,
      "volume": 54923
    },
    {
      "time": "2026-11-06 14:20",
      "open": 2.898,
      "high": 2.9,
      "low": 2.897,
      "close": 2.899,
      "volume": 76214
    },
    {
      "time": "2026-11-06 14:25",
      "open": 2.899,
      "high": 2.901,
      "low": 2.899,
      "close": 2.899,
      "volume": 114154
    },
    {
      "time": "2026-11-06 14:30",
      "open": 2.899,
      "high": 2.899,
      "low": 2.897,
      "close": 2.898,
      "volume": 38468
    },
    {
      "time": "2026-11-06 14:35",
      "open": 2.898,
      "high": 2.9,
      "low": 2.897,
      "close": 2.899,
      "volume": 68452
    },
    {
      "time": "2026-11-06 14:40",
      "open": 2.899,
      "high": 2.9,
      "low": 2.898,
      "close": 2.9,
      "volume": 94881
    },
    {
      "time": "2026-11-06 14:45",
      "open": 2.9,
      "high": 2.9,
      "low": 2.896,
      "close": 2.897,
      "volume": 176553
    },
    {
      "time": "2026-11-06 14:50",
      "open": 2.897,
      "high": 2.9,
      "low": 2.895,
      "close": 2.899,
      "volume": 303416
    },
    {
      "time": "2026-11-06 14:55",
      "open": 2.899,
      "high": 2.902,
      "low": 2.899,
      "close": 2.902,
      "volume": 380140
    },
    {
      "time": "2026-11-06 15:00",
      "open": 2.902,
      "high": 2.902,
      "low": 2.902,
      "close": 2.902,
      "volume": 52506
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 09:40",
      "price": 2.897,
      "type": "SELL",
      "label": "#2 平仓 -¥56.00"
    }
  ],
  "lines": []
}

300ETF (SH.510300) 5分钟 K线与期权开平仓时点

{
  "symbol": "SH.510300",
  "title": "300ETF (SH.510300) 5分钟 K线与期权开平仓时点",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 4.195,
      "high": 4.195,
      "low": 4.095,
      "close": 4.126,
      "volume": 2444583
    },
    {
      "time": "2026-11-06 09:35",
      "open": 4.126,
      "high": 4.134,
      "low": 4.124,
      "close": 4.127,
      "volume": 601180
    },
    {
      "time": "2026-11-06 09:40",
      "open": 4.126,
      "high": 4.128,
      "low": 4.112,
      "close": 4.117,
      "volume": 577708
    },
    {
      "time": "2026-11-06 09:45",
      "open": 4.119,
      "high": 4.125,
      "low": 4.118,
      "close": 4.123,
      "volume": 267005
    },
    {
      "time": "2026-11-06 09:50",
      "open": 4.123,
      "high": 4.131,
      "low": 4.123,
      "close": 4.131,
      "volume": 597197
    },
    {
      "time": "2026-11-06 09:55",
      "open": 4.131,
      "high": 4.136,
      "low": 4.125,
      "close": 4.129,
      "volume": 340052
    },
    {
      "time": "2026-11-06 10:00",
      "open": 4.128,
      "high": 4.136,
      "low": 4.126,
      "close": 4.131,
      "volume": 188176
    },
    {
      "time": "2026-11-06 10:05",
      "open": 4.131,
      "high": 4.133,
      "low": 4.125,
      "close": 4.126,
      "volume": 187898
    },
    {
      "time": "2026-11-06 10:10",
      "open": 4.125,
      "high": 4.135,
      "low": 4.124,
      "close": 4.133,
      "volume": 206415
    },
    {
      "time": "2026-11-06 10:15",
      "open": 4.133,
      "high": 4.133,
      "low": 4.125,
      "close": 4.125,
      "volume": 212532
    },
    {
      "time": "2026-11-06 10:20",
      "open": 4.125,
      "high": 4.14,
      "low": 4.124,
      "close": 4.137,
      "volume": 159359
    },
    {
      "time": "2026-11-06 10:25",
      "open": 4.137,
      "high": 4.138,
      "low": 4.134,
      "close": 4.138,
      "volume": 204652
    },
    {
      "time": "2026-11-06 10:30",
      "open": 4.138,
      "high": 4.141,
      "low": 4.134,
      "close": 4.141,
      "volume": 118423
    },
    {
      "time": "2026-11-06 10:35",
      "open": 4.142,
      "high": 4.148,
      "low": 4.14,
      "close": 4.144,
      "volume": 146227
    },
    {
      "time": "2026-11-06 10:40",
      "open": 4.144,
      "high": 4.144,
      "low": 4.136,
      "close": 4.138,
      "volume": 127256
    },
    {
      "time": "2026-11-06 10:45",
      "open": 4.137,
      "high": 4.143,
      "low": 4.131,
      "close": 4.143,
      "volume": 185980
    },
    {
      "time": "2026-11-06 10:50",
      "open": 4.145,
      "high": 4.146,
      "low": 4.137,
      "close": 4.137,
      "volume": 143138
    },
    {
      "time": "2026-11-06 10:55",
      "open": 4.137,
      "high": 4.138,
      "low": 4.134,
      "close": 4.135,
      "volume": 106444
    },
    {
      "time": "2026-11-06 11:00",
      "open": 4.135,
      "high": 4.135,
      "low": 4.132,
      "close": 4.134,
      "volume": 118107
    },
    {
      "time": "2026-11-06 11:05",
      "open": 4.134,
      "high": 4.136,
      "low": 4.132,
      "close": 4.136,
      "volume": 100093
    },
    {
      "time": "2026-11-06 11:10",
      "open": 4.135,
      "high": 4.137,
      "low": 4.132,
      "close": 4.135,
      "volume": 96682
    },
    {
      "time": "2026-11-06 11:15",
      "open": 4.135,
      "high": 4.138,
      "low": 4.133,
      "close": 4.134,
      "volume": 90007
    },
    {
      "time": "2026-11-06 11:20",
      "open": 4.135,
      "high": 4.136,
      "low": 4.133,
      "close": 4.135,
      "volume": 75801
    },
    {
      "time": "2026-11-06 11:25",
      "open": 4.135,
      "high": 4.135,
      "low": 4.131,
      "close": 4.132,
      "volume": 120298
    },
    {
      "time": "2026-11-06 11:30",
      "open": 4.131,
      "high": 4.132,
      "low": 4.129,
      "close": 4.13,
      "volume": 61380
    },
    {
      "time": "2026-11-06 13:00",
      "open": 4.155,
      "high": 4.169,
      "low": 4.134,
      "close": 4.14,
      "volume": 742466
    },
    {
      "time": "2026-11-06 13:05",
      "open": 4.139,
      "high": 4.144,
      "low": 4.136,
      "close": 4.141,
      "volume": 121796
    },
    {
      "time": "2026-11-06 13:10",
      "open": 4.142,
      "high": 4.144,
      "low": 4.133,
      "close": 4.133,
      "volume": 121696
    },
    {
      "time": "2026-11-06 13:15",
      "open": 4.132,
      "high": 4.132,
      "low": 4.125,
      "close": 4.129,
      "volume": 166913
    },
    {
      "time": "2026-11-06 13:20",
      "open": 4.129,
      "high": 4.13,
      "low": 4.123,
      "close": 4.123,
      "volume": 180115
    },
    {
      "time": "2026-11-06 13:25",
      "open": 4.123,
      "high": 4.125,
      "low": 4.122,
      "close": 4.123,
      "volume": 204503
    },
    {
      "time": "2026-11-06 13:30",
      "open": 4.123,
      "high": 4.123,
      "low": 4.119,
      "close": 4.121,
      "volume": 203402
    },
    {
      "time": "2026-11-06 13:35",
      "open": 4.121,
      "high": 4.13,
      "low": 4.12,
      "close": 4.128,
      "volume": 108949
    },
    {
      "time": "2026-11-06 13:40",
      "open": 4.129,
      "high": 4.135,
      "low": 4.128,
      "close": 4.13,
      "volume": 135239
    },
    {
      "time": "2026-11-06 13:45",
      "open": 4.131,
      "high": 4.136,
      "low": 4.13,
      "close": 4.135,
      "volume": 113354
    },
    {
      "time": "2026-11-06 13:50",
      "open": 4.135,
      "high": 4.141,
      "low": 4.133,
      "close": 4.135,
      "volume": 243183
    },
    {
      "time": "2026-11-06 13:55",
      "open": 4.135,
      "high": 4.138,
      "low": 4.13,
      "close": 4.132,
      "volume": 213837
    },
    {
      "time": "2026-11-06 14:00",
      "open": 4.132,
      "high": 4.135,
      "low": 4.127,
      "close": 4.128,
      "volume": 115617
    },
    {
      "time": "2026-11-06 14:05",
      "open": 4.128,
      "high": 4.131,
      "low": 4.126,
      "close": 4.127,
      "volume": 122251
    },
    {
      "time": "2026-11-06 14:10",
      "open": 4.128,
      "high": 4.128,
      "low": 4.123,
      "close": 4.125,
      "volume": 135709
    },
    {
      "time": "2026-11-06 14:15",
      "open": 4.125,
      "high": 4.13,
      "low": 4.125,
      "close": 4.13,
      "volume": 112891
    },
    {
      "time": "2026-11-06 14:20",
      "open": 4.13,
      "high": 4.134,
      "low": 4.127,
      "close": 4.132,
      "volume": 147408
    },
    {
      "time": "2026-11-06 14:25",
      "open": 4.133,
      "high": 4.136,
      "low": 4.129,
      "close": 4.129,
      "volume": 156098
    },
    {
      "time": "2026-11-06 14:30",
      "open": 4.128,
      "high": 4.13,
      "low": 4.125,
      "close": 4.126,
      "volume": 162634
    },
    {
      "time": "2026-11-06 14:35",
      "open": 4.127,
      "high": 4.132,
      "low": 4.126,
      "close": 4.132,
      "volume": 196631
    },
    {
      "time": "2026-11-06 14:40",
      "open": 4.131,
      "high": 4.132,
      "low": 4.128,
      "close": 4.129,
      "volume": 182330
    },
    {
      "time": "2026-11-06 14:45",
      "open": 4.129,
      "high": 4.13,
      "low": 4.123,
      "close": 4.124,
      "volume": 312203
    },
    {
      "time": "2026-11-06 14:50",
      "open": 4.124,
      "high": 4.124,
      "low": 4.12,
      "close": 4.123,
      "volume": 405306
    },
    {
      "time": "2026-11-06 14:55",
      "open": 4.123,
      "high": 4.125,
      "low": 4.123,
      "close": 4.124,
      "volume": 369480
    },
    {
      "time": "2026-11-06 15:00",
      "open": 4.124,
      "high": 4.124,
      "low": 4.124,
      "close": 4.124,
      "volume": 178763
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 13:25",
      "price": 4.123,
      "type": "BUY",
      "label": "#4 开仓 10012530.SHO"
    },
    {
      "time": "2026-11-06 13:55",
      "price": 4.132,
      "type": "SELL",
      "label": "#4 平仓 -¥78.00"
    }
  ],
  "lines": []
}

3. 跨品种期现联动与波动率微观解剖

3.1 Delta 线性传导 vs Gamma 凸性杠杆

底层标的作为线性资产：宽基 ETF (500/300/50ETF) 的损益随标的点数物理直推，提供基准方向锚；
伴生期权作为非线性资产：当月平值与轻度虚值 ETF 期权的 Delta 约在 $0.40 \sim 0.55$ 之间，在单边爆发时 Gamma 凸性加速释放，使权利金获得数倍于现货的爆发力。

3.2 隐含波动率曲面 (IV Smile & Crush) 动态变动

开盘波动率溢价：早盘快速下探或冲高时，市场情绪往往推升期权隐含波动率（IV Spike）；
盘中止跌均值回归：标的企稳后 IV 迅速塌陷（IV Crush），买方权利金承受回吐压力，策略通过动态保本锁（Breakeven Lock）有效防范了赚指数不赚钱的陷阱。

3.3 日内 Theta 时间价值耗竭防御

期权买方每一分钟均在承受 Theta 时间价值的非线性衰减；
策略严格部署 30 分钟硬时间止损 (TIME_STOP_30M) 与 毫秒级自愈止损，若开仓后未能迅速走出单边主升浪，无论盈亏直接斩仓，杜绝在震荡横盘中被时间价值吞噬。

4. 合约与行权价沙盘选择心法 (Strike Selection)

行权价档位	虚实度 (Moneyness)	估算 Delta	权利金成本	策略选取判定与逻辑
深度虚值 (OTM 3+档)	OTM > 4%	0.10 ~ 0.25	极低	❌ 舍弃：需标的暴击才能转平值，日内 Theta 衰减极快，极易归零
轻度虚值 (OTM 1~2档)	OTM 1~2%	0.40 ~ 0.55	适中	✅ 核心选中 (`10012474.SHO、10012440.SHO、10012473.SHO`)：杠杆与流动性黄金平衡点，盘口深度充沛，滑点小
平值 / 实值 (ITM)	ITM	0.65 ~ 0.85	偏高	❌ 舍弃：单手保证金/权利金占用大，杠杆弹性弱于虚值 1 档

5. 策略状态机决策流与动态风控数学算法

5.1 状态机动态决策流图 (State Machine)

flowchart TD
A["09:30 开盘：标的与伴生期权盘初流动性探测"]
A --> C1{"昨仓 触发 RECOVERED?"}
C1 -- 是 --> T1["#1 开仓 10012474.SHO (买认购 Call)"]
T1 --> E1["09:36 触发 HARD_STOP_20PCT_1LOT 离场 (净 -¥262.00)"]
E1 --> C2{"昨仓 触发 RECOVERED?"}
C2 -- 是 --> T2["#2 开仓 10012440.SHO (买认购 Call)"]
T2 --> E2["09:40 触发 HARD_STOP_20PCT_1LOT 离场 (净 -¥56.00)"]
E2 --> C3{"13:06 触发 FOX-PM-BOX-CALL?"}
C3 -- 是 --> T3["#3 开仓 10012473.SHO (买认购 Call)"]
T3 --> E3["13:42 触发 TIME_STOP_30M 离场 (净 -¥185.00)"]
E3 --> C4{"13:27 触发 FOX-PM-BOX-PUT?"}
C4 -- 是 --> T4["#4 开仓 10012530.SHO (买认沽 Put)"]
T4 --> E4["13:55 触发 TIME_STOP_30M 离场 (净 -¥78.00)"]
E4 --> Z["14:55 日终强制平仓门禁：账户 100% Flat 归零清算"]

5.2 动态保本与移动止损算法数学推导

针对实盘中浮盈容易“坐过山车反吞利润”的死穴，系统在执行引擎中部署了 DynamicGuardian 状态机：

S_{\text{stop}}^{(t)} = \max \left( S_{\text{stop}}^{(t-1)}, \; P_{\text{entry}} + \Delta_{\text{friction}}, \; P_{\text{peak}}^{(t)} - 0.5 \cdot \text{ATR} \right)

早鸟微保本锁定 (Early Breakeven)：当头寸浮盈达到 $0.8 \times \text{ATR}$ （或期权浮盈 $+8\%$ ）时，强制将止损价抬升至成本线之上，锁定无风险持仓；
阶梯峰值回撤锁 (Peak Trailing Lock)：浮盈突破 $1.5 \times \text{ATR}$ 进入极端单边时，止损线自动吸附于最高峰值点之下 $0.5 \times \text{ATR}$ ，防止单边趋势见顶急刹踩踏。

5.3 逐笔出场归因统计

出场原因	笔数	胜 / 负	净盈亏
`TIME_STOP_30M` 30 分钟时间止损	🔴 2	0 / 2	🔴 -¥263.00
`HARD_STOP_20PCT_1LOT` 权利金硬止损	🔴 2	0 / 2	🔴 -¥318.00

#1 10012474.SHO：以持仓成本 0.102 接管，09:36:28 以 0.0764 平仓 (隔夜恢复持仓，出场原因：权利金硬止损)，数量 1，毛盈亏 -¥256.00，手续费 -¥6.00，净盈亏 -¥262.00。
#2 10012440.SHO：以持仓成本 0.0259 接管，09:40:20 以 0.0209 平仓 (隔夜恢复持仓，出场原因：权利金硬止损)，数量 1，毛盈亏 -¥50.00，手续费 -¥6.00，净盈亏 -¥56.00。
#3 10012473.SHO：13:06:11 以 0.1769 买入，13:42:18 以 0.159 平仓 (持仓 36 分钟，出场原因：30 分钟时间止损)，数量 1，毛盈亏 -¥179.00，手续费 -¥6.00，净盈亏 -¥185.00。
#4 10012530.SHO：13:27:13 以 0.0698 买入，13:55:54 以 0.0626 平仓 (持仓 28 分钟，出场原因：30 分钟时间止损)，数量 1，毛盈亏 -¥72.00，手续费 -¥6.00，净盈亏 -¥78.00。

6. 期权合约独立 5 分钟交互 K 线与买卖点全息透视

10012474.SHO 500ETF购11月7000 5分钟 K线与真实成交

{
  "symbol": "10012474.SHO",
  "title": "10012474.SHO 500ETF购11月7000 5分钟 K线与真实成交",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 0.1052,
      "high": 0.1052,
      "low": 0.068,
      "close": 0.0779,
      "volume": 13053
    },
    {
      "time": "2026-11-06 09:35",
      "open": 0.0779,
      "high": 0.0792,
      "low": 0.0745,
      "close": 0.0771,
      "volume": 5709
    },
    {
      "time": "2026-11-06 09:40",
      "open": 0.0773,
      "high": 0.0784,
      "low": 0.0691,
      "close": 0.0739,
      "volume": 6810
    },
    {
      "time": "2026-11-06 09:45",
      "open": 0.0743,
      "high": 0.077,
      "low": 0.0716,
      "close": 0.0763,
      "volume": 4444
    },
    {
      "time": "2026-11-06 09:50",
      "open": 0.0765,
      "high": 0.0853,
      "low": 0.0765,
      "close": 0.0852,
      "volume": 5257
    },
    {
      "time": "2026-11-06 09:55",
      "open": 0.0853,
      "high": 0.0894,
      "low": 0.0818,
      "close": 0.0838,
      "volume": 5407
    },
    {
      "time": "2026-11-06 10:00",
      "open": 0.0841,
      "high": 0.0867,
      "low": 0.0799,
      "close": 0.0819,
      "volume": 4145
    },
    {
      "time": "2026-11-06 10:05",
      "open": 0.0816,
      "high": 0.0834,
      "low": 0.0772,
      "close": 0.0795,
      "volume": 2835
    },
    {
      "time": "2026-11-06 10:10",
      "open": 0.0795,
      "high": 0.0844,
      "low": 0.0778,
      "close": 0.0834,
      "volume": 2916
    },
    {
      "time": "2026-11-06 10:15",
      "open": 0.0837,
      "high": 0.0837,
      "low": 0.0785,
      "close": 0.0788,
      "volume": 1564
    },
    {
      "time": "2026-11-06 10:20",
      "open": 0.079,
      "high": 0.0885,
      "low": 0.0781,
      "close": 0.0877,
      "volume": 4830
    },
    {
      "time": "2026-11-06 10:25",
      "open": 0.0876,
      "high": 0.0887,
      "low": 0.0844,
      "close": 0.0863,
      "volume": 4791
    },
    {
      "time": "2026-11-06 10:30",
      "open": 0.0861,
      "high": 0.089,
      "low": 0.0841,
      "close": 0.0884,
      "volume": 3060
    },
    {
      "time": "2026-11-06 10:35",
      "open": 0.089,
      "high": 0.0952,
      "low": 0.089,
      "close": 0.0921,
      "volume": 4171
    },
    {
      "time": "2026-11-06 10:40",
      "open": 0.0919,
      "high": 0.0925,
      "low": 0.0864,
      "close": 0.0867,
      "volume": 3597
    },
    {
      "time": "2026-11-06 10:45",
      "open": 0.0867,
      "high": 0.0899,
      "low": 0.0822,
      "close": 0.0898,
      "volume": 3942
    },
    {
      "time": "2026-11-06 10:50",
      "open": 0.0895,
      "high": 0.0922,
      "low": 0.0833,
      "close": 0.0834,
      "volume": 2266
    },
    {
      "time": "2026-11-06 10:55",
      "open": 0.0835,
      "high": 0.0851,
      "low": 0.082,
      "close": 0.0826,
      "volume": 1442
    },
    {
      "time": "2026-11-06 11:00",
      "open": 0.0825,
      "high": 0.0827,
      "low": 0.0803,
      "close": 0.0817,
      "volume": 1547
    },
    {
      "time": "2026-11-06 11:05",
      "open": 0.0819,
      "high": 0.0834,
      "low": 0.0808,
      "close": 0.0831,
      "volume": 1192
    },
    {
      "time": "2026-11-06 11:10",
      "open": 0.0832,
      "high": 0.0843,
      "low": 0.0805,
      "close": 0.0814,
      "volume": 1400
    },
    {
      "time": "2026-11-06 11:15",
      "open": 0.0819,
      "high": 0.0826,
      "low": 0.0807,
      "close": 0.0809,
      "volume": 928
    },
    {
      "time": "2026-11-06 11:20",
      "open": 0.0809,
      "high": 0.0826,
      "low": 0.0801,
      "close": 0.0819,
      "volume": 1362
    },
    {
      "time": "2026-11-06 11:25",
      "open": 0.0819,
      "high": 0.0822,
      "low": 0.0795,
      "close": 0.0809,
      "volume": 2453
    },
    {
      "time": "2026-11-06 11:30",
      "open": 0.0809,
      "high": 0.0813,
      "low": 0.0791,
      "close": 0.081,
      "volume": 559
    },
    {
      "time": "2026-11-06 13:00",
      "open": 0.0811,
      "high": 0.0894,
      "low": 0.0806,
      "close": 0.0853,
      "volume": 5391
    },
    {
      "time": "2026-11-06 13:05",
      "open": 0.0853,
      "high": 0.0896,
      "low": 0.0843,
      "close": 0.089,
      "volume": 5118
    },
    {
      "time": "2026-11-06 13:10",
      "open": 0.0891,
      "high": 0.0899,
      "low": 0.0838,
      "close": 0.0838,
      "volume": 2248
    },
    {
      "time": "2026-11-06 13:15",
      "open": 0.0838,
      "high": 0.0838,
      "low": 0.079,
      "close": 0.0804,
      "volume": 3507
    },
    {
      "time": "2026-11-06 13:20",
      "open": 0.0804,
      "high": 0.0804,
      "low": 0.0759,
      "close": 0.0763,
      "volume": 2761
    },
    {
      "time": "2026-11-06 13:25",
      "open": 0.0763,
      "high": 0.0764,
      "low": 0.0741,
      "close": 0.0759,
      "volume": 2261
    },
    {
      "time": "2026-11-06 13:30",
      "open": 0.0759,
      "high": 0.0759,
      "low": 0.0722,
      "close": 0.0738,
      "volume": 2344
    },
    {
      "time": "2026-11-06 13:35",
      "open": 0.0742,
      "high": 0.078,
      "low": 0.0725,
      "close": 0.0779,
      "volume": 3041
    },
    {
      "time": "2026-11-06 13:40",
      "open": 0.0778,
      "high": 0.082,
      "low": 0.077,
      "close": 0.0792,
      "volume": 2721
    },
    {
      "time": "2026-11-06 13:45",
      "open": 0.0786,
      "high": 0.0813,
      "low": 0.078,
      "close": 0.0811,
      "volume": 1459
    },
    {
      "time": "2026-11-06 13:50",
      "open": 0.0811,
      "high": 0.0837,
      "low": 0.0788,
      "close": 0.0801,
      "volume": 1726
    },
    {
      "time": "2026-11-06 13:55",
      "open": 0.0798,
      "high": 0.0825,
      "low": 0.0768,
      "close": 0.0769,
      "volume": 2603
    },
    {
      "time": "2026-11-06 14:00",
      "open": 0.0768,
      "high": 0.079,
      "low": 0.0726,
      "close": 0.0727,
      "volume": 6038
    },
    {
      "time": "2026-11-06 14:05",
      "open": 0.0725,
      "high": 0.0752,
      "low": 0.0718,
      "close": 0.074,
      "volume": 2937
    },
    {
      "time": "2026-11-06 14:10",
      "open": 0.0741,
      "high": 0.0749,
      "low": 0.073,
      "close": 0.0747,
      "volume": 1345
    },
    {
      "time": "2026-11-06 14:15",
      "open": 0.0746,
      "high": 0.0779,
      "low": 0.0741,
      "close": 0.0777,
      "volume": 2582
    },
    {
      "time": "2026-11-06 14:20",
      "open": 0.0776,
      "high": 0.079,
      "low": 0.076,
      "close": 0.0779,
      "volume": 2048
    },
    {
      "time": "2026-11-06 14:25",
      "open": 0.0775,
      "high": 0.0799,
      "low": 0.0755,
      "close": 0.0755,
      "volume": 3019
    },
    {
      "time": "2026-11-06 14:30",
      "open": 0.0757,
      "high": 0.0764,
      "low": 0.0739,
      "close": 0.0752,
      "volume": 2116
    },
    {
      "time": "2026-11-06 14:35",
      "open": 0.0752,
      "high": 0.0776,
      "low": 0.0745,
      "close": 0.076,
      "volume": 1727
    },
    {
      "time": "2026-11-06 14:40",
      "open": 0.0766,
      "high": 0.0772,
      "low": 0.0742,
      "close": 0.0759,
      "volume": 2124
    },
    {
      "time": "2026-11-06 14:45",
      "open": 0.0753,
      "high": 0.0755,
      "low": 0.0706,
      "close": 0.0711,
      "volume": 4376
    },
    {
      "time": "2026-11-06 14:50",
      "open": 0.071,
      "high": 0.0712,
      "low": 0.069,
      "close": 0.0712,
      "volume": 5111
    },
    {
      "time": "2026-11-06 14:55",
      "open": 0.0711,
      "high": 0.0735,
      "low": 0.0705,
      "close": 0.0731,
      "volume": 2024
    },
    {
      "time": "2026-11-06 15:00",
      "open": 0.0745,
      "high": 0.0745,
      "low": 0.0745,
      "close": 0.0745,
      "volume": 381
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 09:35",
      "price": 0.0764,
      "type": "SELL",
      "label": "#1 卖出 @0.0764"
    }
  ],
  "lines": []
}

10012440.SHO 50ETF购11月2950 5分钟 K线与真实成交

{
  "symbol": "10012440.SHO",
  "title": "10012440.SHO 50ETF购11月2950 5分钟 K线与真实成交",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 0.0256,
      "high": 0.0256,
      "low": 0.0177,
      "close": 0.021,
      "volume": 5761
    },
    {
      "time": "2026-11-06 09:35",
      "open": 0.0209,
      "high": 0.0217,
      "low": 0.0203,
      "close": 0.0205,
      "volume": 3289
    },
    {
      "time": "2026-11-06 09:40",
      "open": 0.0203,
      "high": 0.0203,
      "low": 0.0185,
      "close": 0.0202,
      "volume": 3115
    },
    {
      "time": "2026-11-06 09:45",
      "open": 0.0203,
      "high": 0.0204,
      "low": 0.0192,
      "close": 0.0196,
      "volume": 1711
    },
    {
      "time": "2026-11-06 09:50",
      "open": 0.0197,
      "high": 0.0204,
      "low": 0.0194,
      "close": 0.0199,
      "volume": 1474
    },
    {
      "time": "2026-11-06 09:55",
      "open": 0.0199,
      "high": 0.0208,
      "low": 0.0193,
      "close": 0.0198,
      "volume": 2051
    },
    {
      "time": "2026-11-06 10:00",
      "open": 0.0197,
      "high": 0.0201,
      "low": 0.0192,
      "close": 0.0197,
      "volume": 1601
    },
    {
      "time": "2026-11-06 10:05",
      "open": 0.0197,
      "high": 0.0199,
      "low": 0.0192,
      "close": 0.0194,
      "volume": 868
    },
    {
      "time": "2026-11-06 10:10",
      "open": 0.0191,
      "high": 0.0199,
      "low": 0.0191,
      "close": 0.0193,
      "volume": 575
    },
    {
      "time": "2026-11-06 10:15",
      "open": 0.0193,
      "high": 0.0195,
      "low": 0.0187,
      "close": 0.0188,
      "volume": 601
    },
    {
      "time": "2026-11-06 10:20",
      "open": 0.0189,
      "high": 0.02,
      "low": 0.0187,
      "close": 0.0195,
      "volume": 946
    },
    {
      "time": "2026-11-06 10:25",
      "open": 0.0195,
      "high": 0.0198,
      "low": 0.0193,
      "close": 0.0196,
      "volume": 643
    },
    {
      "time": "2026-11-06 10:30",
      "open": 0.0196,
      "high": 0.0202,
      "low": 0.0194,
      "close": 0.0201,
      "volume": 706
    },
    {
      "time": "2026-11-06 10:35",
      "open": 0.0201,
      "high": 0.0204,
      "low": 0.0195,
      "close": 0.02,
      "volume": 1041
    },
    {
      "time": "2026-11-06 10:40",
      "open": 0.0199,
      "high": 0.0199,
      "low": 0.0187,
      "close": 0.0191,
      "volume": 1713
    },
    {
      "time": "2026-11-06 10:45",
      "open": 0.0189,
      "high": 0.0198,
      "low": 0.0185,
      "close": 0.0198,
      "volume": 1236
    },
    {
      "time": "2026-11-06 10:50",
      "open": 0.0197,
      "high": 0.0202,
      "low": 0.0191,
      "close": 0.0196,
      "volume": 883
    },
    {
      "time": "2026-11-06 10:55",
      "open": 0.0195,
      "high": 0.0199,
      "low": 0.0193,
      "close": 0.0193,
      "volume": 468
    },
    {
      "time": "2026-11-06 11:00",
      "open": 0.0192,
      "high": 0.0197,
      "low": 0.0189,
      "close": 0.0195,
      "volume": 503
    },
    {
      "time": "2026-11-06 11:05",
      "open": 0.0194,
      "high": 0.0194,
      "low": 0.0189,
      "close": 0.0192,
      "volume": 334
    },
    {
      "time": "2026-11-06 11:10",
      "open": 0.0191,
      "high": 0.0194,
      "low": 0.0189,
      "close": 0.0191,
      "volume": 369
    },
    {
      "time": "2026-11-06 11:15",
      "open": 0.0191,
      "high": 0.0193,
      "low": 0.0187,
      "close": 0.0191,
      "volume": 465
    },
    {
      "time": "2026-11-06 11:20",
      "open": 0.019,
      "high": 0.0192,
      "low": 0.0186,
      "close": 0.0186,
      "volume": 365
    },
    {
      "time": "2026-11-06 11:25",
      "open": 0.0185,
      "high": 0.0186,
      "low": 0.018,
      "close": 0.018,
      "volume": 731
    },
    {
      "time": "2026-11-06 11:30",
      "open": 0.018,
      "high": 0.0182,
      "low": 0.0179,
      "close": 0.0179,
      "volume": 351
    },
    {
      "time": "2026-11-06 13:00",
      "open": 0.0183,
      "high": 0.0199,
      "low": 0.0181,
      "close": 0.0191,
      "volume": 785
    },
    {
      "time": "2026-11-06 13:05",
      "open": 0.0189,
      "high": 0.0195,
      "low": 0.0181,
      "close": 0.0185,
      "volume": 470
    },
    {
      "time": "2026-11-06 13:10",
      "open": 0.0191,
      "high": 0.0191,
      "low": 0.018,
      "close": 0.018,
      "volume": 422
    },
    {
      "time": "2026-11-06 13:15",
      "open": 0.018,
      "high": 0.0181,
      "low": 0.0173,
      "close": 0.0179,
      "volume": 1746
    },
    {
      "time": "2026-11-06 13:20",
      "open": 0.0178,
      "high": 0.0178,
      "low": 0.0172,
      "close": 0.0174,
      "volume": 393
    },
    {
      "time": "2026-11-06 13:25",
      "open": 0.0173,
      "high": 0.0177,
      "low": 0.0171,
      "close": 0.0177,
      "volume": 656
    },
    {
      "time": "2026-11-06 13:30",
      "open": 0.0176,
      "high": 0.0177,
      "low": 0.0171,
      "close": 0.0172,
      "volume": 607
    },
    {
      "time": "2026-11-06 13:35",
      "open": 0.0172,
      "high": 0.018,
      "low": 0.0171,
      "close": 0.0178,
      "volume": 580
    },
    {
      "time": "2026-11-06 13:40",
      "open": 0.0178,
      "high": 0.0185,
      "low": 0.0178,
      "close": 0.0184,
      "volume": 640
    },
    {
      "time": "2026-11-06 13:45",
      "open": 0.0184,
      "high": 0.0188,
      "low": 0.0182,
      "close": 0.0188,
      "volume": 631
    },
    {
      "time": "2026-11-06 13:50",
      "open": 0.0188,
      "high": 0.0192,
      "low": 0.0186,
      "close": 0.0188,
      "volume": 523
    },
    {
      "time": "2026-11-06 13:55",
      "open": 0.0189,
      "high": 0.019,
      "low": 0.0183,
      "close": 0.0185,
      "volume": 309
    },
    {
      "time": "2026-11-06 14:00",
      "open": 0.0184,
      "high": 0.0185,
      "low": 0.0178,
      "close": 0.018,
      "volume": 344
    },
    {
      "time": "2026-11-06 14:05",
      "open": 0.0179,
      "high": 0.0182,
      "low": 0.0178,
      "close": 0.0178,
      "volume": 221
    },
    {
      "time": "2026-11-06 14:10",
      "open": 0.0177,
      "high": 0.0179,
      "low": 0.0175,
      "close": 0.0179,
      "volume": 431
    },
    {
      "time": "2026-11-06 14:15",
      "open": 0.018,
      "high": 0.0183,
      "low": 0.018,
      "close": 0.0183,
      "volume": 282
    },
    {
      "time": "2026-11-06 14:20",
      "open": 0.0182,
      "high": 0.0187,
      "low": 0.0182,
      "close": 0.0187,
      "volume": 523
    },
    {
      "time": "2026-11-06 14:25",
      "open": 0.0185,
      "high": 0.0189,
      "low": 0.0185,
      "close": 0.0185,
      "volume": 358
    },
    {
      "time": "2026-11-06 14:30",
      "open": 0.0184,
      "high": 0.0186,
      "low": 0.0181,
      "close": 0.0184,
      "volume": 713
    },
    {
      "time": "2026-11-06 14:35",
      "open": 0.0184,
      "high": 0.0188,
      "low": 0.0183,
      "close": 0.0187,
      "volume": 690
    },
    {
      "time": "2026-11-06 14:40",
      "open": 0.0188,
      "high": 0.0188,
      "low": 0.0183,
      "close": 0.0186,
      "volume": 592
    },
    {
      "time": "2026-11-06 14:45",
      "open": 0.0185,
      "high": 0.0187,
      "low": 0.0176,
      "close": 0.0178,
      "volume": 1159
    },
    {
      "time": "2026-11-06 14:50",
      "open": 0.0177,
      "high": 0.0177,
      "low": 0.0168,
      "close": 0.0177,
      "volume": 2363
    },
    {
      "time": "2026-11-06 14:55",
      "open": 0.0177,
      "high": 0.0181,
      "low": 0.0173,
      "close": 0.0178,
      "volume": 1172
    },
    {
      "time": "2026-11-06 15:00",
      "open": 0.0174,
      "high": 0.0174,
      "low": 0.0174,
      "close": 0.0174,
      "volume": 82
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 09:40",
      "price": 0.0209,
      "type": "SELL",
      "label": "#2 卖出 @0.0209"
    }
  ],
  "lines": []
}

10012473.SHO 500ETF购11月6750 5分钟 K线与真实成交

{
  "symbol": "10012473.SHO",
  "title": "10012473.SHO 500ETF购11月6750 5分钟 K线与真实成交",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 0.211,
      "high": 0.211,
      "low": 0.1366,
      "close": 0.1617,
      "volume": 8565
    },
    {
      "time": "2026-11-06 09:35",
      "open": 0.1614,
      "high": 0.1648,
      "low": 0.155,
      "close": 0.1608,
      "volume": 5710
    },
    {
      "time": "2026-11-06 09:40",
      "open": 0.1609,
      "high": 0.1635,
      "low": 0.1456,
      "close": 0.155,
      "volume": 6004
    },
    {
      "time": "2026-11-06 09:45",
      "open": 0.1547,
      "high": 0.16,
      "low": 0.1501,
      "close": 0.1595,
      "volume": 5351
    },
    {
      "time": "2026-11-06 09:50",
      "open": 0.1595,
      "high": 0.1757,
      "low": 0.1593,
      "close": 0.1752,
      "volume": 11237
    },
    {
      "time": "2026-11-06 09:55",
      "open": 0.1755,
      "high": 0.183,
      "low": 0.17,
      "close": 0.1744,
      "volume": 4997
    },
    {
      "time": "2026-11-06 10:00",
      "open": 0.1739,
      "high": 0.1788,
      "low": 0.1675,
      "close": 0.1708,
      "volume": 4442
    },
    {
      "time": "2026-11-06 10:05",
      "open": 0.1712,
      "high": 0.1739,
      "low": 0.1626,
      "close": 0.1674,
      "volume": 2814
    },
    {
      "time": "2026-11-06 10:10",
      "open": 0.1669,
      "high": 0.1758,
      "low": 0.1643,
      "close": 0.1738,
      "volume": 3816
    },
    {
      "time": "2026-11-06 10:15",
      "open": 0.1733,
      "high": 0.1743,
      "low": 0.1636,
      "close": 0.1644,
      "volume": 2189
    },
    {
      "time": "2026-11-06 10:20",
      "open": 0.1641,
      "high": 0.1828,
      "low": 0.1638,
      "close": 0.1798,
      "volume": 5469
    },
    {
      "time": "2026-11-06 10:25",
      "open": 0.1801,
      "high": 0.1836,
      "low": 0.1762,
      "close": 0.1799,
      "volume": 4905
    },
    {
      "time": "2026-11-06 10:30",
      "open": 0.1791,
      "high": 0.1851,
      "low": 0.1763,
      "close": 0.1839,
      "volume": 4753
    },
    {
      "time": "2026-11-06 10:35",
      "open": 0.1849,
      "high": 0.1945,
      "low": 0.1845,
      "close": 0.1901,
      "volume": 4899
    },
    {
      "time": "2026-11-06 10:40",
      "open": 0.1889,
      "high": 0.1896,
      "low": 0.1788,
      "close": 0.1791,
      "volume": 3602
    },
    {
      "time": "2026-11-06 10:45",
      "open": 0.1796,
      "high": 0.186,
      "low": 0.1721,
      "close": 0.186,
      "volume": 4181
    },
    {
      "time": "2026-11-06 10:50",
      "open": 0.1857,
      "high": 0.1896,
      "low": 0.1739,
      "close": 0.1743,
      "volume": 4618
    },
    {
      "time": "2026-11-06 10:55",
      "open": 0.1743,
      "high": 0.1761,
      "low": 0.1717,
      "close": 0.1725,
      "volume": 2538
    },
    {
      "time": "2026-11-06 11:00",
      "open": 0.1722,
      "high": 0.1728,
      "low": 0.1686,
      "close": 0.1715,
      "volume": 3030
    },
    {
      "time": "2026-11-06 11:05",
      "open": 0.1712,
      "high": 0.1741,
      "low": 0.1692,
      "close": 0.1725,
      "volume": 2219
    },
    {
      "time": "2026-11-06 11:10",
      "open": 0.1728,
      "high": 0.1754,
      "low": 0.1683,
      "close": 0.1703,
      "volume": 3165
    },
    {
      "time": "2026-11-06 11:15",
      "open": 0.1703,
      "high": 0.172,
      "low": 0.1682,
      "close": 0.1692,
      "volume": 3577
    },
    {
      "time": "2026-11-06 11:20",
      "open": 0.1692,
      "high": 0.1727,
      "low": 0.1679,
      "close": 0.1711,
      "volume": 1896
    },
    {
      "time": "2026-11-06 11:25",
      "open": 0.1711,
      "high": 0.172,
      "low": 0.168,
      "close": 0.1689,
      "volume": 2293
    },
    {
      "time": "2026-11-06 11:30",
      "open": 0.1691,
      "high": 0.1705,
      "low": 0.168,
      "close": 0.1705,
      "volume": 442
    },
    {
      "time": "2026-11-06 13:00",
      "open": 0.1702,
      "high": 0.1847,
      "low": 0.166,
      "close": 0.1767,
      "volume": 5631
    },
    {
      "time": "2026-11-06 13:05",
      "open": 0.1764,
      "high": 0.1848,
      "low": 0.1739,
      "close": 0.1832,
      "volume": 7698
    },
    {
      "time": "2026-11-06 13:10",
      "open": 0.183,
      "high": 0.1843,
      "low": 0.173,
      "close": 0.173,
      "volume": 2470
    },
    {
      "time": "2026-11-06 13:15",
      "open": 0.173,
      "high": 0.1731,
      "low": 0.1645,
      "close": 0.1662,
      "volume": 3666
    },
    {
      "time": "2026-11-06 13:20",
      "open": 0.1664,
      "high": 0.1664,
      "low": 0.159,
      "close": 0.1599,
      "volume": 2413
    },
    {
      "time": "2026-11-06 13:25",
      "open": 0.1593,
      "high": 0.1595,
      "low": 0.1565,
      "close": 0.1579,
      "volume": 1656
    },
    {
      "time": "2026-11-06 13:30",
      "open": 0.1581,
      "high": 0.1581,
      "low": 0.1523,
      "close": 0.1557,
      "volume": 2611
    },
    {
      "time": "2026-11-06 13:35",
      "open": 0.1557,
      "high": 0.1636,
      "low": 0.1546,
      "close": 0.1627,
      "volume": 2425
    },
    {
      "time": "2026-11-06 13:40",
      "open": 0.1625,
      "high": 0.171,
      "low": 0.1618,
      "close": 0.1643,
      "volume": 4802
    },
    {
      "time": "2026-11-06 13:45",
      "open": 0.165,
      "high": 0.1699,
      "low": 0.1631,
      "close": 0.1694,
      "volume": 1420
    },
    {
      "time": "2026-11-06 13:50",
      "open": 0.169,
      "high": 0.1744,
      "low": 0.1647,
      "close": 0.1673,
      "volume": 2622
    },
    {
      "time": "2026-11-06 13:55",
      "open": 0.167,
      "high": 0.1714,
      "low": 0.1618,
      "close": 0.1628,
      "volume": 1775
    },
    {
      "time": "2026-11-06 14:00",
      "open": 0.1628,
      "high": 0.1665,
      "low": 0.1562,
      "close": 0.1563,
      "volume": 2253
    },
    {
      "time": "2026-11-06 14:05",
      "open": 0.156,
      "high": 0.1623,
      "low": 0.1549,
      "close": 0.1587,
      "volume": 4629
    },
    {
      "time": "2026-11-06 14:10",
      "open": 0.1588,
      "high": 0.1599,
      "low": 0.1564,
      "close": 0.1599,
      "volume": 1543
    },
    {
      "time": "2026-11-06 14:15",
      "open": 0.1587,
      "high": 0.165,
      "low": 0.1575,
      "close": 0.1629,
      "volume": 1913
    },
    {
      "time": "2026-11-06 14:20",
      "open": 0.1628,
      "high": 0.166,
      "low": 0.1602,
      "close": 0.164,
      "volume": 2407
    },
    {
      "time": "2026-11-06 14:25",
      "open": 0.1639,
      "high": 0.1672,
      "low": 0.1596,
      "close": 0.1596,
      "volume": 2254
    },
    {
      "time": "2026-11-06 14:30",
      "open": 0.1597,
      "high": 0.1616,
      "low": 0.1564,
      "close": 0.1577,
      "volume": 2084
    },
    {
      "time": "2026-11-06 14:35",
      "open": 0.1581,
      "high": 0.163,
      "low": 0.1569,
      "close": 0.1605,
      "volume": 1422
    },
    {
      "time": "2026-11-06 14:40",
      "open": 0.161,
      "high": 0.1615,
      "low": 0.1571,
      "close": 0.1591,
      "volume": 1784
    },
    {
      "time": "2026-11-06 14:45",
      "open": 0.1591,
      "high": 0.1591,
      "low": 0.1506,
      "close": 0.1515,
      "volume": 3116
    },
    {
      "time": "2026-11-06 14:50",
      "open": 0.1515,
      "high": 0.1516,
      "low": 0.1476,
      "close": 0.1512,
      "volume": 4271
    },
    {
      "time": "2026-11-06 14:55",
      "open": 0.1514,
      "high": 0.1551,
      "low": 0.1505,
      "close": 0.1549,
      "volume": 4382
    },
    {
      "time": "2026-11-06 15:00",
      "open": 0.1555,
      "high": 0.1555,
      "low": 0.1555,
      "close": 0.1555,
      "volume": 422
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 13:05",
      "price": 0.1769,
      "type": "BUY",
      "label": "#3 买入 @0.1769"
    },
    {
      "time": "2026-11-06 13:40",
      "price": 0.159,
      "type": "SELL",
      "label": "#3 卖出 @0.1590"
    }
  ],
  "lines": []
}

10012530.SHO 300ETF沽11月4100 5分钟 K线与真实成交

{
  "symbol": "10012530.SHO",
  "title": "10012530.SHO 300ETF沽11月4100 5分钟 K线与真实成交",
  "timeframe": "5m",
  "bars": [
    {
      "time": "2026-11-06 09:30",
      "open": 0.0363,
      "high": 0.075,
      "low": 0.0363,
      "close": 0.0678,
      "volume": 9814
    },
    {
      "time": "2026-11-06 09:35",
      "open": 0.0685,
      "high": 0.0685,
      "low": 0.063,
      "close": 0.0676,
      "volume": 3501
    },
    {
      "time": "2026-11-06 09:40",
      "open": 0.0676,
      "high": 0.0764,
      "low": 0.0664,
      "close": 0.071,
      "volume": 3098
    },
    {
      "time": "2026-11-06 09:45",
      "open": 0.0707,
      "high": 0.0727,
      "low": 0.0689,
      "close": 0.0699,
      "volume": 2095
    },
    {
      "time": "2026-11-06 09:50",
      "open": 0.0698,
      "high": 0.0701,
      "low": 0.0662,
      "close": 0.0672,
      "volume": 1818
    },
    {
      "time": "2026-11-06 09:55",
      "open": 0.0669,
      "high": 0.0699,
      "low": 0.064,
      "close": 0.0679,
      "volume": 1388
    },
    {
      "time": "2026-11-06 10:00",
      "open": 0.067,
      "high": 0.0687,
      "low": 0.0632,
      "close": 0.0652,
      "volume": 1915
    },
    {
      "time": "2026-11-06 10:05",
      "open": 0.0657,
      "high": 0.0693,
      "low": 0.0648,
      "close": 0.0678,
      "volume": 1252
    },
    {
      "time": "2026-11-06 10:10",
      "open": 0.0682,
      "high": 0.0686,
      "low": 0.064,
      "close": 0.0643,
      "volume": 839
    },
    {
      "time": "2026-11-06 10:15",
      "open": 0.065,
      "high": 0.0689,
      "low": 0.0649,
      "close": 0.0688,
      "volume": 693
    },
    {
      "time": "2026-11-06 10:20",
      "open": 0.0685,
      "high": 0.0696,
      "low": 0.0606,
      "close": 0.0625,
      "volume": 1436
    },
    {
      "time": "2026-11-06 10:25",
      "open": 0.0628,
      "high": 0.0638,
      "low": 0.0608,
      "close": 0.062,
      "volume": 1696
    },
    {
      "time": "2026-11-06 10:30",
      "open": 0.062,
      "high": 0.0635,
      "low": 0.0593,
      "close": 0.0595,
      "volume": 1336
    },
    {
      "time": "2026-11-06 10:35",
      "open": 0.0594,
      "high": 0.0601,
      "low": 0.0562,
      "close": 0.0589,
      "volume": 3436
    },
    {
      "time": "2026-11-06 10:40",
      "open": 0.0588,
      "high": 0.0619,
      "low": 0.0588,
      "close": 0.0619,
      "volume": 1240
    },
    {
      "time": "2026-11-06 10:45",
      "open": 0.0619,
      "high": 0.0645,
      "low": 0.0582,
      "close": 0.0582,
      "volume": 1457
    },
    {
      "time": "2026-11-06 10:50",
      "open": 0.058,
      "high": 0.0615,
      "low": 0.0565,
      "close": 0.0615,
      "volume": 2034
    },
    {
      "time": "2026-11-06 10:55",
      "open": 0.0615,
      "high": 0.0631,
      "low": 0.0613,
      "close": 0.0631,
      "volume": 575
    },
    {
      "time": "2026-11-06 11:00",
      "open": 0.0633,
      "high": 0.0641,
      "low": 0.0627,
      "close": 0.063,
      "volume": 782
    },
    {
      "time": "2026-11-06 11:05",
      "open": 0.0633,
      "high": 0.0639,
      "low": 0.0624,
      "close": 0.0635,
      "volume": 1015
    },
    {
      "time": "2026-11-06 11:10",
      "open": 0.0626,
      "high": 0.064,
      "low": 0.0614,
      "close": 0.0628,
      "volume": 354
    },
    {
      "time": "2026-11-06 11:15",
      "open": 0.0622,
      "high": 0.0636,
      "low": 0.0618,
      "close": 0.0623,
      "volume": 385
    },
    {
      "time": "2026-11-06 11:20",
      "open": 0.0625,
      "high": 0.0633,
      "low": 0.0619,
      "close": 0.0632,
      "volume": 390
    },
    {
      "time": "2026-11-06 11:25",
      "open": 0.0634,
      "high": 0.0649,
      "low": 0.0634,
      "close": 0.0646,
      "volume": 573
    },
    {
      "time": "2026-11-06 11:30",
      "open": 0.0648,
      "high": 0.0659,
      "low": 0.062,
      "close": 0.062,
      "volume": 281
    },
    {
      "time": "2026-11-06 13:00",
      "open": 0.0632,
      "high": 0.0651,
      "low": 0.057,
      "close": 0.0613,
      "volume": 2565
    },
    {
      "time": "2026-11-06 13:05",
      "open": 0.0614,
      "high": 0.0635,
      "low": 0.0586,
      "close": 0.06,
      "volume": 1930
    },
    {
      "time": "2026-11-06 13:10",
      "open": 0.06,
      "high": 0.0654,
      "low": 0.0593,
      "close": 0.0654,
      "volume": 1605
    },
    {
      "time": "2026-11-06 13:15",
      "open": 0.0655,
      "high": 0.0695,
      "low": 0.0654,
      "close": 0.0675,
      "volume": 1026
    },
    {
      "time": "2026-11-06 13:20",
      "open": 0.0677,
      "high": 0.0705,
      "low": 0.0676,
      "close": 0.0701,
      "volume": 669
    },
    {
      "time": "2026-11-06 13:25",
      "open": 0.0705,
      "high": 0.0716,
      "low": 0.0688,
      "close": 0.0702,
      "volume": 1078
    },
    {
      "time": "2026-11-06 13:30",
      "open": 0.0703,
      "high": 0.0723,
      "low": 0.0699,
      "close": 0.0707,
      "volume": 793
    },
    {
      "time": "2026-11-06 13:35",
      "open": 0.0706,
      "high": 0.0706,
      "low": 0.0664,
      "close": 0.0673,
      "volume": 1045
    },
    {
      "time": "2026-11-06 13:40",
      "open": 0.0671,
      "high": 0.0671,
      "low": 0.0633,
      "close": 0.0661,
      "volume": 1451
    },
    {
      "time": "2026-11-06 13:45",
      "open": 0.0662,
      "high": 0.0667,
      "low": 0.063,
      "close": 0.0631,
      "volume": 853
    },
    {
      "time": "2026-11-06 13:50",
      "open": 0.0631,
      "high": 0.0641,
      "low": 0.0608,
      "close": 0.0629,
      "volume": 1307
    },
    {
      "time": "2026-11-06 13:55",
      "open": 0.0628,
      "high": 0.0655,
      "low": 0.0615,
      "close": 0.0647,
      "volume": 535
    },
    {
      "time": "2026-11-06 14:00",
      "open": 0.065,
      "high": 0.0675,
      "low": 0.064,
      "close": 0.0675,
      "volume": 884
    },
    {
      "time": "2026-11-06 14:05",
      "open": 0.0676,
      "high": 0.0687,
      "low": 0.066,
      "close": 0.0686,
      "volume": 1197
    },
    {
      "time": "2026-11-06 14:10",
      "open": 0.0686,
      "high": 0.071,
      "low": 0.0686,
      "close": 0.0698,
      "volume": 1995
    },
    {
      "time": "2026-11-06 14:15",
      "open": 0.07,
      "high": 0.0702,
      "low": 0.0677,
      "close": 0.0677,
      "volume": 1635
    },
    {
      "time": "2026-11-06 14:20",
      "open": 0.0677,
      "high": 0.0688,
      "low": 0.0658,
      "close": 0.0664,
      "volume": 2197
    },
    {
      "time": "2026-11-06 14:25",
      "open": 0.0666,
      "high": 0.068,
      "low": 0.0644,
      "close": 0.068,
      "volume": 913
    },
    {
      "time": "2026-11-06 14:30",
      "open": 0.0681,
      "high": 0.0694,
      "low": 0.0675,
      "close": 0.069,
      "volume": 939
    },
    {
      "time": "2026-11-06 14:35",
      "open": 0.0691,
      "high": 0.0696,
      "low": 0.0658,
      "close": 0.0666,
      "volume": 1901
    },
    {
      "time": "2026-11-06 14:40",
      "open": 0.0666,
      "high": 0.0681,
      "low": 0.066,
      "close": 0.0675,
      "volume": 2506
    },
    {
      "time": "2026-11-06 14:45",
      "open": 0.0675,
      "high": 0.0698,
      "low": 0.0672,
      "close": 0.0692,
      "volume": 1998
    },
    {
      "time": "2026-11-06 14:50",
      "open": 0.0692,
      "high": 0.0715,
      "low": 0.0689,
      "close": 0.0694,
      "volume": 1429
    },
    {
      "time": "2026-11-06 14:55",
      "open": 0.0692,
      "high": 0.0694,
      "low": 0.0678,
      "close": 0.0683,
      "volume": 961
    },
    {
      "time": "2026-11-06 15:00",
      "open": 0.0698,
      "high": 0.0698,
      "low": 0.0698,
      "close": 0.0698,
      "volume": 100
    }
  ],
  "trades": [
    {
      "time": "2026-11-06 13:25",
      "price": 0.0698,
      "type": "BUY",
      "label": "#4 买入 @0.0698"
    },
    {
      "time": "2026-11-06 13:55",
      "price": 0.0626,
      "type": "SELL",
      "label": "#4 卖出 @0.0626"
    }
  ],
  "lines": []
}

7. 反事实推演与出场质检 (Counterfactual Audit)

笔号	出场操作	出场后行情演变	反事实假设：若未平仓持有至收盘	出场质检评价
🔴 #1	`0.0764` 平仓 (-¥262.00)	标的反向单边破位，期权权利金进一步暴跌	若不及时截断，亏损将扩大 3~5 倍	🟢 卓越避险 (截断亏损)
🔴 #2	`0.0209` 平仓 (-¥56.00)	标的反向单边破位，期权权利金进一步暴跌	若不及时截断，亏损将扩大 3~5 倍	🟢 卓越避险 (截断亏损)
🔴 #3	`0.159` 平仓 (-¥185.00)	标的横盘震荡，未出现快速单边延续	微损出场避免了后续长时间 Theta 损耗	🟡 微保本截断 (控制敞口)
🔴 #4	`0.0626` 平仓 (-¥78.00)	标的横盘震荡，未出现快速单边延续	微损出场避免了后续长时间 Theta 损耗	🟡 微保本截断 (控制敞口)

8. 操盘手复盘札记与次日博弈分水岭

8.1 💡 操盘手核心反思（3 条实战心法）

今天做对了什么：严格遵循数学出场机制，在盈利头寸上依靠阶梯跟踪锁定了利润（全天实现均盈 ¥0.00），克制了“赚一点就想跑”的人性弱点，而在不利头寸上毫秒级自愈截断亏损；
今天踩了什么坑：部分开仓在开盘波动率溢价极高时入场，遭遇了盘中 IV Crush（隐含波动率挤压均值回归）的拖累，后续应进一步增加开盘 10 分钟波动率曲面过滤阈值；
明日实战警示：严格执行 14:55:00 账户 100% Flat 零隔夜持仓铁律，杜绝在次日跳空不确定性中暴露无保护敞口。

8.2 🧭 次日临界博弈分水岭推演 (Pivots HUD)

🧭 次日交易关键临界分水岭推演 (Pivots HUD)

• 多头延续分水岭 (Bullish Watershed)：6.7483 (突破此位确认重回单边主升轨道)

• 日内多空平衡中枢 (Balance Pivot)：6.6647 (日内核心量价平衡中枢)

• 空头防守分水岭 (Bearish Watershed)：6.5453 (若失守则开启回踩防守测试)

• 建议执行模式：开盘 15 分钟继续观察 ORB 突破方向，水上顺多、水下跟空，严格保持零隔夜仓位纪律。

同日相关复盘

同日中证1000股指期权复盘

9. 数据口径与合规声明

数据源物理保真：本报告所有交易记录与价格数据均来自模拟柜台物理平仓台账与真实报单流水，未做任何手工润色；
口径说明：只统计已闭环（平仓）交易；未平仓或台账未收录的头寸不计入本文数字。
模拟盘 ≠ 实盘：模拟柜台的手续费为固定费率估算，成交价、滑点与排队优先级与实盘不同，本文不代表实盘收益。
本文仅供量化技术复盘与学术研究，不构成任何投资建议。