Fix SHFE close by retrying alternate today/yesterday offset on CTP reject.
Split mixed positions and auto-fallback when vnpy td/yd volumes disagree with the exchange. Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+229
-69
@@ -986,48 +986,183 @@ class CtpBridge:
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logger.debug("find position: %s", exc)
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return None
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def _resolve_close_offset(self, sym: str, ex_name: str, hold_direction: str, lots: int) -> Any:
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def _position_td_yd(
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self, sym: str, ex_name: str, hold_direction: str,
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) -> tuple[int, int, int, int]:
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"""返回 (今仓, 昨仓, 冻结, 总持仓)。"""
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sym_l = (sym or "").lower()
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hold = (hold_direction or "long").strip().lower()
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for p in self._collect_positions():
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ps = (p.get("symbol") or "").lower()
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if ps != sym_l:
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continue
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if (p.get("direction") or "long").strip().lower() != hold:
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continue
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vol = int(p.get("lots") or 0)
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td = int(p.get("td_volume") or 0)
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yd = int(p.get("yd_volume") or 0)
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frozen = int(p.get("frozen") or 0)
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if td + yd <= 0 and vol > 0:
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td = max(0, vol - yd)
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return td, yd, frozen, vol
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pos = self._find_position(sym, ex_name, hold_direction)
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if not pos:
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return 0, 0, 0, 0
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vol = int(getattr(pos, "volume", 0) or 0)
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yd = int(getattr(pos, "yd_volume", 0) or 0)
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td_attr = getattr(pos, "today_volume", None)
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if td_attr is not None:
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td = int(td_attr or 0)
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yd = max(0, vol - td)
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else:
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td = max(0, vol - yd)
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frozen = int(getattr(pos, "frozen", 0) or 0)
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return td, yd, frozen, vol
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def _resolve_close_legs(
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self, sym: str, ex_name: str, hold_direction: str, lots: int,
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) -> list[tuple[Any, int]]:
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from vnpy.trader.constant import Offset
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ex_u = (ex_name or "").upper()
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# 上期所/能源中心/郑商所/中金所须区分平今/平昨；大商所等可用通用 CLOSE
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lots = max(1, int(lots or 1))
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if ex_u not in ("CZCE", "CFFEX", "SHFE", "INE"):
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return Offset.CLOSE
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pos = self._find_position(sym, ex_u, hold_direction)
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if not pos:
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for p in self._collect_positions():
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ps = (p.get("symbol") or "").lower()
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if ps != sym.lower():
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return [(Offset.CLOSE, lots)]
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td, yd, frozen, vol = self._position_td_yd(sym, ex_name, hold_direction)
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td_close = max(0, td)
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yd_close = max(0, yd)
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if frozen > 0:
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cut = min(frozen, td_close)
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td_close -= cut
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frozen -= cut
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yd_close = max(0, yd_close - frozen)
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logger.debug(
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"close legs %s %s hold=%s lots=%s td=%s yd=%s frozen=%s vol=%s",
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sym, ex_u, hold_direction, lots, td_close, yd_close, frozen, vol,
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)
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legs: list[tuple[Any, int]] = []
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remain = lots
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if td_close > 0 and remain > 0:
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take = min(remain, td_close)
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legs.append((Offset.CLOSETODAY, take))
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remain -= take
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if yd_close > 0 and remain > 0:
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take = min(remain, yd_close)
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legs.append((Offset.CLOSEYESTERDAY, take))
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remain -= take
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if remain > 0:
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# vnpy 今昨拆分不可靠时，先按今仓尝试，拒单后自动改平昨
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legs.append((Offset.CLOSETODAY, remain))
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return legs if legs else [(Offset.CLOSETODAY, lots)]
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def _resolve_close_offset(self, sym: str, ex_name: str, hold_direction: str, lots: int) -> Any:
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legs = self._resolve_close_legs(sym, ex_name, hold_direction, lots)
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return legs[0][0]
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def _wait_order_terminal(self, vt_orderid: str, *, timeout: float = 2.5) -> dict[str, Any]:
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if not self._engine or not vt_orderid:
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return {"pending": True}
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deadline = time.time() + max(0.5, float(timeout))
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while time.time() < deadline:
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try:
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order = self._engine.get_order(vt_orderid)
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except Exception:
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order = None
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if order is None:
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time.sleep(0.08)
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continue
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status_s = str(getattr(order, "status", "") or "")
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traded = int(getattr(order, "traded", 0) or 0)
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vol = int(getattr(order, "volume", 0) or 0)
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if traded > 0 and (
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"ALLTRADED" in status_s or "全部成交" in status_s or traded >= vol
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):
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return {"filled": True, "traded": traded, "status": status_s}
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if traded > 0:
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return {"partial": True, "traded": traded, "status": status_s}
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if any(x in status_s for x in ("REJECTED", "拒单")):
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return {"rejected": True, "status": status_s}
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if any(x in status_s for x in ("CANCELLED", "已撤销")):
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return {"cancelled": True, "status": status_s}
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time.sleep(0.1)
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return {"pending": True}
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def _send_close_leg(
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self,
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*,
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ths_code: str,
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sym: str,
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ex_name: str,
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exchange: Any,
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direction: Any,
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lots: int,
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primary_off: Any,
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order_type: Any,
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price: float,
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tick: float,
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use_market: bool,
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) -> str:
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from vnpy.trader.constant import Offset, OrderType
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from vnpy.trader.object import OrderRequest
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lots = max(1, int(lots))
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alt_off = (
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Offset.CLOSEYESTERDAY
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if primary_off == Offset.CLOSETODAY
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else Offset.CLOSETODAY
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)
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ex_u = (ex_name or "").upper()
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candidates = [primary_off]
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if ex_u in ("SHFE", "INE", "CZCE", "CFFEX") and alt_off != primary_off:
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candidates.append(alt_off)
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last_vt = ""
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for idx, off in enumerate(candidates):
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lp = float(price)
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if use_market:
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lp = self._aggressive_limit_price(
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ths_code, sym, ex_name, direction, tick, lp,
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)
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else:
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lp = round_to_tick(lp, tick)
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if lp <= 0:
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raise ValueError("委托价格无效，请检查行情或手动填写价格")
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req = OrderRequest(
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symbol=sym,
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exchange=exchange,
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direction=direction,
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type=order_type,
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volume=lots,
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price=lp,
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offset=off,
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)
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logger.info(
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"CTP 报单 %s %s %s %s手 @%s offset=%s type=%s",
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sym, ex_name, direction, lots, lp, off, order_type,
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)
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with _ctp_td_lock:
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vt_orderid = self._engine.send_order(req, GATEWAY_NAME)
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if not vt_orderid:
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if idx + 1 < len(candidates):
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logger.warning("CTP close no order id offset=%s, try alternate", off)
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continue
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if (p.get("direction") or "long") != hold_direction:
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continue
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td = int(p.get("td_volume") or 0)
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yd = int(p.get("yd_volume") or 0)
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if td >= lots:
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return Offset.CLOSETODAY
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if yd >= lots:
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return Offset.CLOSEYESTERDAY
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if td + yd >= lots:
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return Offset.CLOSETODAY
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break
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if ex_u in ("SHFE", "INE", "CZCE"):
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return Offset.CLOSETODAY
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return Offset.CLOSE
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vol = int(getattr(pos, "volume", 0) or 0)
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yd = int(getattr(pos, "yd_volume", 0) or 0)
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td = max(0, vol - yd)
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if td >= lots:
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return Offset.CLOSETODAY
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if yd >= lots:
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# 夜盘仓在 vnpy 常记在 yd，日盘平昨易报「平昨仓位不足」→ 上期所/能源优先平今
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if ex_u in ("SHFE", "INE"):
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return Offset.CLOSETODAY
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return Offset.CLOSEYESTERDAY
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if td + yd >= lots:
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return Offset.CLOSETODAY
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if ex_u in ("SHFE", "INE", "CZCE"):
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return Offset.CLOSETODAY
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return Offset.CLOSE
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raise RuntimeError(
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"CTP 拒单或未返回委托号（请检查合约代码、价格是否为最小变动价位整数倍）"
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)
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last_vt = str(vt_orderid)
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state = self._wait_order_terminal(last_vt)
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if state.get("filled") or state.get("partial"):
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return last_vt
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if state.get("rejected") and idx + 1 < len(candidates):
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logger.warning(
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"CTP close rejected offset=%s status=%s, retry alternate",
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off, state.get("status"),
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)
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continue
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if state.get("pending"):
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return last_vt
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if state.get("rejected"):
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raise RuntimeError(f"CTP 平仓被拒 offset={off} status={state.get('status')}")
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return last_vt
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def _aggressive_limit_price(
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self,
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@@ -2256,44 +2391,69 @@ class CtpBridge:
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if offset in ("open", "open_long", "open_short"):
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d = Direction.LONG if direction == "long" or offset == "open_long" else Direction.SHORT
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off = Offset.OPEN
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use_market = (order_type or "limit").lower() == "market"
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if use_market:
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ot = OrderType.FAK
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price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price)
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else:
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ot = OrderType.LIMIT
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price = round_to_tick(float(price), tick)
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if price <= 0:
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raise ValueError("委托价格无效，请检查行情或手动填写价格")
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req = OrderRequest(
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symbol=sym,
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exchange=exchange,
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direction=d,
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type=ot,
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volume=lots,
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price=price,
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offset=off,
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)
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logger.info(
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"CTP 报单 %s %s %s %s手 @%s offset=%s type=%s",
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sym, ex_name, d, lots, price, off, ot,
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)
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with _ctp_td_lock:
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vt_orderid = self._engine.send_order(req, GATEWAY_NAME)
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if not vt_orderid:
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raise RuntimeError(
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"CTP 拒单或未返回委托号（请检查合约代码、价格是否为最小变动价位整数倍）"
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)
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return str(vt_orderid)
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elif offset in ("close", "close_long", "close_short"):
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hold = "long" if direction == "long" or offset == "close_long" else "short"
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if hold == "long":
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d = Direction.SHORT
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else:
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d = Direction.LONG
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off = self._resolve_close_offset(sym, ex_name, hold, lots)
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else:
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raise ValueError(f"未知开平: {offset}")
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use_market = (order_type or "limit").lower() == "market"
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if use_market:
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ot = OrderType.FAK
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price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price)
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else:
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ot = OrderType.LIMIT
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price = round_to_tick(float(price), tick)
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if price <= 0:
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raise ValueError("委托价格无效，请检查行情或手动填写价格")
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req = OrderRequest(
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symbol=sym,
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exchange=exchange,
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direction=d,
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type=ot,
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volume=lots,
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price=price,
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offset=off,
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)
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logger.info(
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"CTP 报单 %s %s %s %s手 @%s offset=%s type=%s",
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sym, ex_name, d, lots, price, off, ot,
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)
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with _ctp_td_lock:
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vt_orderid = self._engine.send_order(req, GATEWAY_NAME)
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if not vt_orderid:
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raise RuntimeError("CTP 拒单或未返回委托号（请检查合约代码、价格是否为最小变动价位整数倍）")
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return str(vt_orderid)
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use_market = (order_type or "limit").lower() == "market"
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if use_market:
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ot = OrderType.FAK
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else:
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ot = OrderType.LIMIT
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price = round_to_tick(float(price), tick)
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if use_market:
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price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price)
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if price <= 0:
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raise ValueError("委托价格无效，请检查行情或手动填写价格")
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close_legs = self._resolve_close_legs(sym, ex_name, hold, lots)
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last_vt = ""
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for off, leg_lots in close_legs:
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last_vt = self._send_close_leg(
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ths_code=ths_code,
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sym=sym,
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ex_name=ex_name,
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exchange=exchange,
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direction=d,
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lots=leg_lots,
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primary_off=off,
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order_type=ot,
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price=price,
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tick=tick,
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use_market=use_market,
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)
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return last_vt
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raise ValueError(f"未知开平: {offset}")
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def cancel_order(self, vt_orderid: str) -> bool:
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if not self._engine or not vt_orderid:
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