Use CTP contract margin rates for position margin and ratio display.

Co-authored-by: Cursor <cursoragent@cursor.com>

install_trading.py

@@ -88,6 +88,7 @@ from vnpy_bridge import (
     _ctp_td_lock,
     ctp_cancel_order,
     ctp_connect,
+    ctp_estimate_margin_one_lot,
     ctp_get_account,
     ctp_get_tick_price,
     ctp_list_active_orders,
@@ -211,6 +212,41 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
             return codes.get("ths_code") or sym
         return sym
 
+    def _resolve_position_margin(
+        *,
+        sym: str,
+        direction: str,
+        lots: int,
+        entry: float,
+        mode: str,
+        ctp: Optional[dict] = None,
+        mon_margin: Optional[float] = None,
+        est_margin: Optional[float] = None,
+    ) -> tuple[Optional[float], str]:
+        """占用保证金：柜台持仓 > CTP 合约率估算 > 本地规格估算 > 库内缓存。"""
+        ctp_margin = float(ctp.get("margin") or 0) if ctp else 0.0
+        if ctp_margin > 0:
+            return round(ctp_margin, 2), "ctp"
+        connected = bool(ctp_status(mode).get("connected"))
+        ths_sym = sym
+        if ctp:
+            ths_sym = _ctp_pos_to_ths_code(ctp) or sym
+        else:
+            codes = ths_to_codes(sym)
+            if codes and codes.get("ths_code"):
+                ths_sym = codes["ths_code"]
+        if connected and ths_sym and entry > 0 and lots > 0:
+            per_lot = ctp_estimate_margin_one_lot(
+                mode, ths_sym, entry, direction=direction,
+            )
+            if per_lot and per_lot > 0:
+                return round(per_lot * lots, 2), "ctp"
+        if est_margin and float(est_margin) > 0:
+            return round(float(est_margin), 2), "estimate"
+        if not connected and mon_margin and float(mon_margin) > 0:
+            return round(float(mon_margin), 2), "db"
+        return None, "estimate"
+
     def _ensure_monitors_from_ctp(conn, mode: str) -> None:
         """CTP 有持仓但本地无监控时，自动补写一条 active 记录供展示。"""
         if not ctp_status(mode).get("connected"):
@@ -611,7 +647,18 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
                 mark = ctp_get_tick_price(mode, sym)
             if mark is None or mark <= 0:
                 mark = entry if entry else None
-            margin = ctp_margin if ctp_margin > 0 else None
+            est = calc_position_metrics(
+                direction, entry, entry, entry, lots, mark or entry, capital, sym,
+            ).get("margin")
+            margin, _src = _resolve_position_margin(
+                sym=sym,
+                direction=direction,
+                lots=lots,
+                entry=entry,
+                mode=mode,
+                ctp=p,
+                est_margin=est,
+            )
             position_pct = None
             if margin and capital > 0:
                 position_pct = round(float(margin) / float(capital) * 100, 2)
@@ -733,20 +780,22 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
             direction, entry, sl if sl is not None else entry,
             tp if tp is not None else entry, lots, mark, capital, sym,
         )
-        if margin is None or float(margin or 0) <= 0:
-            ctp_margin = float(ctp.get("margin") or 0) if ctp else 0.0
-            est_margin = pos_metrics.get("margin")
-            margin = ctp_margin if ctp_margin > 0 else est_margin
-            margin_source = "ctp" if ctp_margin > 0 else "estimate"
-        else:
-            margin_source = "ctp"
-        if position_pct is None or float(position_pct or 0) <= 0:
-            position_pct = (
-                round(float(margin) / capital * 100, 2)
-                if capital > 0 and margin
-                else pos_metrics.get("position_pct")
-            )
-        else:
+        mon_margin = margin
+        margin, margin_source = _resolve_position_margin(
+            sym=sym,
+            direction=direction,
+            lots=lots,
+            entry=entry,
+            mode=mode,
+            ctp=ctp,
+            mon_margin=mon_margin if isinstance(mon_margin, (int, float)) else None,
+            est_margin=pos_metrics.get("margin"),
+        )
+        if margin and capital > 0:
+            position_pct = round(float(margin) / float(capital) * 100, 2)
+        elif position_pct is None or float(position_pct or 0) <= 0:
+            position_pct = pos_metrics.get("position_pct")
+        elif position_pct is not None:
             position_pct = float(position_pct)
         order_st = monitor_order_status(
             mon or {}, mode=mode, ths_code=sym, direction=direction,

vnpy_bridge.py

@@ -976,7 +976,29 @@ class CtpBridge:
     def _lookup_position_margin(self, sym: str, direction: str) -> float:
         return float(self._position_margins.get(self._position_margin_key(sym, direction), 0) or 0)
 
-    def estimate_margin_one_lot(self, ths_code: str, price: float) -> Optional[float]:
+    @staticmethod
+    def _vnpy_sym_to_ths(sym: str, ex_name: str) -> str:
+        import re
+
+        s = (sym or "").strip()
+        if not s:
+            return ""
+        ex = (ex_name or "").upper()
+        m = re.match(r"^([A-Za-z]+)(\d+)$", s)
+        if not m:
+            return s
+        letters, digits = m.group(1), m.group(2)
+        if ex == "CZCE":
+            return letters.upper() + (digits[-3:] if len(digits) >= 4 else digits)
+        return letters.lower() + digits
+
+    def estimate_margin_one_lot(
+        self,
+        ths_code: str,
+        price: float,
+        *,
+        direction: str = "long",
+    ) -> Optional[float]:
         """用 CTP 合约信息估算 1 手保证金（需已连接并完成合约查询）。"""
         if not self._engine or not price or price <= 0:
             return None
@@ -990,7 +1012,13 @@ class CtpBridge:
             mult = float(getattr(contract, "size", 0) or 0)
             long_r = float(getattr(contract, "long_margin_ratio", 0) or 0)
             short_r = float(getattr(contract, "short_margin_ratio", 0) or 0)
-            ratio = max(long_r, short_r)
+            d = (direction or "long").strip().lower()
+            if d == "short" and short_r > 0:
+                ratio = short_r
+            elif d != "short" and long_r > 0:
+                ratio = long_r
+            else:
+                ratio = max(long_r, short_r)
             if mult <= 0 or ratio <= 0:
                 return None
             return round(float(price) * mult * ratio, 2)
@@ -998,6 +1026,34 @@ class CtpBridge:
             logger.debug("estimate_margin_one_lot %s: %s", ths_code, exc)
             return None
 
+    def estimate_position_margin(
+        self,
+        sym: str,
+        ex_name: str,
+        direction: str,
+        lots: int,
+        price: float,
+        *,
+        pos: Any = None,
+    ) -> Optional[float]:
+        """持仓占用保证金：优先 vnpy 字段，其次 CTP 合约保证金率估算。"""
+        if lots <= 0 or price <= 0:
+            return None
+        if pos is not None:
+            raw = float(getattr(pos, "margin", 0) or getattr(pos, "use_margin", 0) or 0)
+            if raw > 0:
+                return round(raw, 2)
+        cached = self._lookup_position_margin(sym, direction)
+        if cached > 0:
+            return round(cached, 2)
+        ths = self._vnpy_sym_to_ths(sym, ex_name)
+        if not ths:
+            return None
+        per_lot = self.estimate_margin_one_lot(ths, price, direction=direction)
+        if per_lot and per_lot > 0:
+            return round(per_lot * lots, 2)
+        return None
+
     def lookup_contract_spec(self, ths_code: str) -> Optional[dict]:
         """从 CTP 合约信息读取乘数与最小变动价位。"""
         if not self._engine:
@@ -1037,17 +1093,20 @@ class CtpBridge:
             sym = getattr(pos, "symbol", "") or ""
             exchange = getattr(pos, "exchange", None)
             ex_name = str(exchange.value if hasattr(exchange, "value") else exchange or "")
-            margin = self._lookup_position_margin(sym, d)
+            price = float(getattr(pos, "price", 0) or 0)
+            margin = self.estimate_position_margin(
+                sym, ex_name, d, vol, price, pos=pos,
+            )
             open_time = self._lookup_position_open_time(sym, d) or None
             out.append({
                 "symbol": sym,
                 "exchange": ex_name,
                 "direction": d,
                 "lots": vol,
-                "avg_price": float(getattr(pos, "price", 0) or 0),
+                "avg_price": price,
                 "pnl": float(getattr(pos, "pnl", 0) or 0),
                 "frozen": int(getattr(pos, "frozen", 0) or 0),
-                "margin": round(margin, 2) if margin > 0 else None,
+                "margin": margin,
                 "open_time": open_time,
             })
         return out
@@ -1471,12 +1530,18 @@ def ctp_get_tick_detail(mode: str, ths_code: str) -> dict[str, Any]:
         return {}
 
 
-def ctp_estimate_margin_one_lot(mode: str, ths_code: str, price: float) -> Optional[float]:
+def ctp_estimate_margin_one_lot(
+    mode: str,
+    ths_code: str,
+    price: float,
+    *,
+    direction: str = "long",
+) -> Optional[float]:
     b = get_bridge()
     if b.connected_mode != mode or not b.ping():
         return None
     try:
-        return b.estimate_margin_one_lot(ths_code, price)
+        return b.estimate_margin_one_lot(ths_code, price, direction=direction)
     except Exception as exc:
         logger.debug("ctp_estimate_margin_one_lot: %s", exc)
         return None