From 038eb9a40367e443cd0c51e562156e29a268df2d Mon Sep 17 00:00:00 2001 From: dekun Date: Fri, 26 Jun 2026 11:14:01 +0800 Subject: [PATCH] Use CTP contract margin rates for position margin and ratio display. Co-authored-by: Cursor --- install_trading.py | 79 +++++++++++++++++++++++++++++++++++++--------- vnpy_bridge.py | 79 ++++++++++++++++++++++++++++++++++++++++++---- 2 files changed, 136 insertions(+), 22 deletions(-) diff --git a/install_trading.py b/install_trading.py index bf56ca2..401bd18 100644 --- a/install_trading.py +++ b/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, diff --git a/vnpy_bridge.py b/vnpy_bridge.py index 0733e20..6db8881 100644 --- a/vnpy_bridge.py +++ b/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