Fix roll margin validation and SHFE close offset for night positions.

Use CTP account margin for roll cap checks and prefer close-today on SHFE when yesterday close is rejected.

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

modules/ctp/vnpy_bridge.py

@@ -1015,10 +1015,19 @@ class CtpBridge:
             return Offset.CLOSE
         vol = int(getattr(pos, "volume", 0) or 0)
         yd = int(getattr(pos, "yd_volume", 0) or 0)
-        today = max(0, vol - yd)
+        td = max(0, vol - yd)
-        if today >= lots:
+        if td >= lots:
+            return Offset.CLOSETODAY
+        if yd >= lots:
+            # 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
+            if ex_u in ("SHFE", "INE"):
                 return Offset.CLOSETODAY
             return Offset.CLOSEYESTERDAY
+        if td + yd >= lots:
+            return Offset.CLOSETODAY
+        if ex_u in ("SHFE", "INE", "CZCE"):
+            return Offset.CLOSETODAY
+        return Offset.CLOSE
 
     def _aggressive_limit_price(
         self,

modules/trading/install.py

@@ -28,6 +28,7 @@ from modules.trading.position_sizing import (
     calc_lots_by_risk,
     calc_margin_usage_pct,
     cap_lots_for_margin_budget,
+    current_margin_usage_pct,
     calc_order_tick_metrics,
     normalize_sizing_mode,
 )
@@ -1973,6 +1974,11 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         ).fetchone()["n"]
         if int(pending_n or 0) > 0:
             return False, "已有监控中的加仓腿"
+        cap_err = _validate_roll_margin(
+            conn, mode=mode, mon=mon, preview=preview, capital=_capital(conn),
+        )
+        if cap_err:
+            return False, cap_err
         try:
             result = execute_order(
                 conn,
@@ -4508,8 +4514,15 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         conn = get_db()
         init_strategy_tables(conn)
         mode = get_trading_mode(get_setting)
+        capital = _capital(conn)
+        preview2, merr = _apply_roll_margin_cap(
+            preview, conn=conn, mode=mode, mon=mon, capital=capital,
+        )
+        if merr:
+            conn.close()
+            return False, merr
         ok, msg = _commit_roll_fill(
-            conn, mon=mon, preview=preview, add_mode=leg.get("add_mode") or ADD_MODE_MARKET,
+            conn, mon=mon, preview=preview2, add_mode=leg.get("add_mode") or ADD_MODE_MARKET,
             mode=mode, pending_leg_id=int(leg["id"]),
         )
         conn.close()
@@ -4536,6 +4549,20 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
 
     app._check_roll_monitors = _check_roll_monitors
 
+    def _validate_roll_margin(
+        conn,
+        *,
+        mode: str,
+        mon: dict,
+        preview: dict,
+        capital: float,
+    ) -> Optional[str]:
+        """滚仓提交前：用柜台保证金复核是否超过滚仓上限。"""
+        _, merr = _apply_roll_margin_cap(
+            preview, conn=conn, mode=mode, mon=mon, capital=capital,
+        )
+        return merr
+
     def _apply_roll_margin_cap(
         preview: dict,
         *,
@@ -4558,9 +4585,21 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         mult = int(get_contract_spec(sym).get("mult") or 1)
         roll_pct = get_roll_max_margin_pct(get_setting)
         add_lots = int(preview.get("add_lots") or 0)
-        positions = _positions_for_monitor_restore(mode, allow_ctp=False)
+        positions = _positions_for_monitor_restore(mode, allow_ctp=True)
+        acct_margin = 0.0
+        if ctp_status(mode).get("connected"):
+            acct_margin = float(ctp_account_margin_used(mode) or 0)
+        current_usage = current_margin_usage_pct(
+            positions, capital, trading_mode=mode, account_margin_used=acct_margin,
+        )
+        if current_usage > roll_pct:
+            return preview, (
+                f"当前保证金占用 {current_usage:g}% 已超过滚仓上限 {roll_pct:g}%，"
+                "请先减仓或提高上限后再加仓"
+            )
         capped, usage = cap_lots_for_margin_budget(
-            positions, capital, sym, direction, price, add_lots, roll_pct, trading_mode=mode,
+            positions, capital, sym, direction, price, add_lots, roll_pct,
+            trading_mode=mode, account_margin_used=acct_margin,
         )
         if capped < 1:
             return preview, f"滚仓后保证金占用将超过上限 {roll_pct:g}%"

modules/trading/position_sizing.py

@@ -233,6 +233,22 @@ def calc_margin_usage_pct(
     return round(total / cap * 100.0, 2)
 
 
+def current_margin_usage_pct(
+    positions: list[dict],
+    capital: float,
+    *,
+    trading_mode: str | None = None,
+    account_margin_used: float | None = None,
+) -> float:
+    """当前保证金占权益（%）；优先采用柜台账户占用，避免本地估算偏低。"""
+    cap = float(capital or 0)
+    usage = calc_margin_usage_pct(positions, cap, trading_mode=trading_mode)
+    acct = float(account_margin_used or 0)
+    if cap > 0 and acct > 0:
+        usage = max(usage, round(acct / cap * 100.0, 2))
+    return usage
+
+
 def cap_lots_for_margin_budget(
     positions: list[dict],
     capital: float,
@@ -242,29 +258,28 @@ def cap_lots_for_margin_budget(
     desired_lots: int,
     max_margin_pct: float,
     trading_mode: str | None = None,
+    account_margin_used: float | None = None,
 ) -> tuple[int, float]:
     """在保证金上限内，返回可加仓手数及占用比例。"""
+    cap = float(capital or 0)
     desired = max(0, int(desired_lots or 0))
-    if desired <= 0:
+    baseline_usage = current_margin_usage_pct(
-        return 0, calc_margin_usage_pct(positions, capital, trading_mode=trading_mode)
+        positions, cap, trading_mode=trading_mode, account_margin_used=account_margin_used,
-    for lots in range(desired, 0, -1):
-        usage = calc_margin_usage_pct(
-            positions,
-            capital,
-            extra_symbol=symbol,
-            extra_lots=lots,
-            extra_price=price,
-            extra_direction=direction,
-            trading_mode=trading_mode,
     )
+    if desired <= 0:
+        return 0, baseline_usage
+    if cap <= 0:
+        return 0, baseline_usage
+    baseline_margin = baseline_usage / 100.0 * cap
+    per_lot = 0.0
+    for lots in range(desired, 0, -1):
+        per_lot, _, _ = margin_one_lot(
+            symbol, price, direction=direction, trading_mode=trading_mode,
+        )
+        if per_lot <= 0:
+            spec = get_contract_spec(symbol)
+            per_lot = price * spec["mult"] * spec["margin_rate"]
+        usage = round((baseline_margin + per_lot * lots) / cap * 100.0, 2)
         if usage <= max_margin_pct:
             return lots, usage
-    return 0, calc_margin_usage_pct(
+    return 0, round((baseline_margin + per_lot * desired) / cap * 100.0, 2)
-        positions,
-        capital,
-        extra_symbol=symbol,
-        extra_lots=desired,
-        extra_price=price,
-        extra_direction=direction,
-        trading_mode=trading_mode,
-    )