feat: 行情K线优先CTP tick聚合，修复手续费同步主力列表解析

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

app.py

@@ -428,13 +428,30 @@ def build_market_quote_payload(
         if codes:
             market_code = codes.get("market_code", "") or market_code
             sina_code = codes.get("sina_code", "") or sina_code
-    price = fetch_price(symbol, market_code, sina_code)
+    quote_source = "sina"
+    price = None
+    prev_close = None
+    try:
+        from vnpy_bridge import ctp_status, ctp_get_tick_detail
+        from trading_context import get_trading_mode
+
+        mode = get_trading_mode(get_setting)
+        if ctp_status(mode).get("connected"):
+            detail = ctp_get_tick_detail(mode, symbol)
+            if detail.get("price"):
+                price = detail["price"]
+                quote_source = "ctp"
+            if detail.get("pre_close") is not None:
+                prev_close = detail["pre_close"]
+    except Exception:
+        pass
+    if price is None:
+        price = fetch_price(symbol, market_code, sina_code)
     name = symbol
     codes = ths_to_codes(symbol)
     if codes:
         name = codes.get("name", symbol)
-    prev_close = None
+    if prev_close is None and sina_code:
-    if sina_code:
         from market import fetch_raw_for_volume
         raw = fetch_raw_for_volume(sina_code)
         if raw and raw.get("prev_close") is not None:
@@ -444,6 +461,7 @@ def build_market_quote_payload(
         "name": name,
         "price": price,
         "prev_close": prev_close,
+        "quote_source": quote_source,
     }
 
 
@@ -643,9 +661,15 @@ def background_task():
 
 
 def start_background_threads():
+    from trading_context import get_trading_mode
+
     threading.Thread(target=background_task, daemon=True).start()
     threading.Thread(
-        target=lambda: kline_hub.worker_loop(DB_PATH, build_market_quote_payload),
+        target=lambda: kline_hub.worker_loop(
+            DB_PATH,
+            build_market_quote_payload,
+            get_mode_fn=lambda: get_trading_mode(get_setting),
+        ),
         daemon=True,
     ).start()
     threading.Thread(target=refresh_main_index, daemon=True).start()
@@ -1397,11 +1421,21 @@ def market_page():
     valid = {p["key"] for p in MARKET_PERIODS}
     if period not in valid:
         period = "15m"
+    ctp_st = {}
+    try:
+        from vnpy_bridge import ctp_status
+        from trading_context import get_trading_mode
+
+        ctp_st = ctp_status(get_trading_mode(get_setting))
+    except Exception:
+        pass
     return render_template(
         "market.html",
         symbol=symbol,
         period=period,
         market_periods=MARKET_PERIODS,
+        quote_label=get_quote_source_label(ctp_connected=bool(ctp_st.get("connected"))),
+        ctp_connected=bool(ctp_st.get("connected")),
     )
 
 
@@ -1413,7 +1447,11 @@ def api_kline():
     if not symbol:
         return jsonify({"error": "请提供合约代码"}), 400
     try:
-        data = fetch_market_klines(symbol, period, DB_PATH)
+        from trading_context import get_trading_mode
+
+        data = fetch_market_klines(
+            symbol, period, DB_PATH, trading_mode=get_trading_mode(get_setting),
+        )
     except Exception as exc:
         app.logger.warning("kline api failed: %s", exc)
         return jsonify({"error": str(exc)}), 500
@@ -1437,9 +1475,14 @@ def api_kline_stream():
         return jsonify({"error": "请提供合约代码"}), 400
 
     def generate():
+        from trading_context import get_trading_mode
+
+        mode = get_trading_mode(get_setting)
         sub = kline_hub.subscribe(symbol, period, market_code, sina_code)
         try:
-            kline_data = fetch_market_klines(symbol, period, DB_PATH)
+            kline_data = fetch_market_klines(
+                symbol, period, DB_PATH, trading_mode=mode,
+            )
             if kline_data.get("bars"):
                 yield sse_format("kline", kline_data)
             yield sse_format(

ctp_fee_sync.py

@@ -35,6 +35,28 @@ def ctp_commission_to_fee_fields(data: dict, ths_code: str) -> dict:
     }
 
 
+def _collect_main_ths_codes() -> list[str]:
+    """从主力列表收集同花顺合约代码（供 CTP 手续费查询）。"""
+    from datetime import date
+
+    from symbols import PRODUCTS, build_ths_code, list_main_contracts_grouped
+
+    symbols: list[str] = []
+    for group in list_main_contracts_grouped():
+        for item in group.get("items") or []:
+            ths = (item.get("ths_code") or item.get("ths") or item.get("code") or "").strip()
+            if ths and not ths.endswith("888"):
+                symbols.append(ths)
+
+    if symbols:
+        return symbols
+
+    today = date.today()
+    for p in PRODUCTS:
+        symbols.append(build_ths_code(p, today.year, today.month))
+    return symbols
+
+
 def sync_fees_from_ctp(mode: str, *, max_symbols: int = 80) -> tuple[int, str]:
     """CTP 已连接时，按主力合约查询手续费并写入 fee_rates（source=ctp）。"""
     bridge = get_bridge()
@@ -45,15 +67,7 @@ def sync_fees_from_ctp(mode: str, *, max_symbols: int = 80) -> tuple[int, str]:
     if not bridge.ping():
         return 0, "CTP 连接无效，请重连"
 
-    from symbols import list_main_contracts_grouped
+    symbols = _collect_main_ths_codes()[:max_symbols]
-
-    mains = list_main_contracts_grouped()
-    symbols: list[str] = []
-    for g in mains:
-        ths = (g.get("ths") or g.get("code") or "").strip()
-        if ths:
-            symbols.append(ths)
-    symbols = symbols[:max_symbols]
 
     if not symbols:
         return 0, "无主力合约列表"

ctp_kline.py

@@ -0,0 +1,84 @@
+"""CTP tick 聚合 K 线（1 分钟为基础，再合成各周期）。"""
+from __future__ import annotations
+
+import logging
+from typing import Optional
+
+from kline_chart import (
+    PERIOD_MINUTES,
+    _aggregate_bars,
+    _bar_datetime,
+    _merge_bars,
+    _timeshare_session,
+    _weekly_from_daily,
+)
+
+logger = logging.getLogger(__name__)
+
+PERIOD_AGG = {
+    "2m": 2,
+    "3m": 3,
+    "5m": 5,
+    "15m": 15,
+    "30m": 30,
+    "1h": 60,
+    "2h": 120,
+    "4h": 240,
+}
+
+
+def _daily_from_1m(bars_1m: list) -> list:
+    if not bars_1m:
+        return []
+    buckets: dict[str, list] = {}
+    for bar in bars_1m:
+        dt = _bar_datetime(bar)
+        if not dt:
+            continue
+        key = dt.strftime("%Y-%m-%d")
+        buckets.setdefault(key, []).append(bar)
+    out = []
+    for day in sorted(buckets.keys()):
+        chunk = buckets[day]
+        merged = _merge_bars(chunk)
+        merged["d"] = day + " 15:00:00"
+        out.append(merged)
+    return out
+
+
+def compose_period_bars(bars_1m: list, period: str) -> list:
+    p = (period or "15m").lower()
+    if p == "timeshare":
+        return _timeshare_session(bars_1m)
+    if p in ("1d", "d"):
+        return _daily_from_1m(bars_1m)
+    if p == "w":
+        return _weekly_from_daily(_daily_from_1m(bars_1m))
+    if p == "1m":
+        return list(bars_1m)
+    n = PERIOD_AGG.get(p)
+    if n:
+        return _aggregate_bars(bars_1m, n)
+    if p in PERIOD_MINUTES:
+        try:
+            n = int(PERIOD_MINUTES[p])
+            return _aggregate_bars(bars_1m, n)
+        except (TypeError, ValueError):
+            pass
+    return list(bars_1m)
+
+
+def fetch_ctp_klines(symbol: str, period: str, mode: str) -> Optional[list]:
+    """CTP 已连接时由 tick 聚合 K 线；失败返回 None。"""
+    try:
+        from vnpy_bridge import ctp_status, get_bridge
+
+        if not ctp_status(mode).get("connected"):
+            return None
+        bars_1m = get_bridge().get_kline_bars_1m(symbol, mode=mode)
+        if not bars_1m:
+            return None
+        return compose_period_bars(bars_1m, period)
+    except Exception as exc:
+        logger.debug("fetch_ctp_klines %s %s: %s", symbol, period, exc)
+        return None

kline_chart.py

@@ -221,6 +221,9 @@ def fetch_market_klines(
     period: str,
     db_path: Optional[str] = None,
     force_remote: bool = False,
+    *,
+    trading_mode: Optional[str] = None,
+    prefer_ctp: bool = True,
 ) -> dict:
     chart_sym = ths_to_sina_chart_symbol(symbol)
     p = (period or "15m").lower()
@@ -232,8 +235,32 @@ def fetch_market_klines(
     bars: list = []
     source = "remote"
     cached_at = None
+    ctp_connected = False
 
-    if db_path and chart_sym and not force_remote:
+    if prefer_ctp:
+        try:
+            from ctp_kline import fetch_ctp_klines
+            from vnpy_bridge import ctp_status
+
+            mode = trading_mode
+            if not mode:
+                try:
+                    from app import get_setting
+                    from trading_context import get_trading_mode
+
+                    mode = get_trading_mode(get_setting)
+                except Exception:
+                    mode = "simulation"
+            ctp_connected = bool(ctp_status(mode).get("connected"))
+            if ctp_connected:
+                ctp_bars = fetch_ctp_klines(symbol, p, mode)
+                if ctp_bars:
+                    bars = ctp_bars
+                    source = "ctp"
+        except Exception as exc:
+            logger.debug("ctp kline fetch failed %s %s: %s", symbol, p, exc)
+
+    if not bars and db_path and chart_sym and not force_remote:
         try:
             conn = connect_db(db_path)
             cached = get_cached_entry(conn, chart_sym, p)
@@ -250,7 +277,7 @@ def fetch_market_klines(
         if remote_bars:
             bars = remote_bars
             source = "remote"
-            if db_path and chart_sym:
+            if db_path and chart_sym and not ctp_connected:
                 try:
                     conn = connect_db(db_path)
                     ensure_kline_tables(conn)
@@ -290,6 +317,7 @@ def fetch_market_klines(
         "prev_close": prev_close,
         "source": source,
         "cached_at": cached_at,
+        "ctp_connected": ctp_connected,
     }
 
 

kline_stream.py

@@ -114,7 +114,12 @@ class KlineStreamHub:
             logger.warning("kline refresh check failed: %s", exc)
             return True
 
-    def worker_loop(self, db_path: str, quote_fn: Callable[..., dict]) -> None:
+    def worker_loop(
+        self,
+        db_path: str,
+        quote_fn: Callable[..., dict],
+        get_mode_fn: Optional[Callable[[], str]] = None,
+    ) -> None:
         while True:
             try:
                 subs = self._snapshot_subs()
@@ -123,7 +128,11 @@ class KlineStreamHub:
                         continue
                     try:
                         kline_data = fetch_market_klines(
-                            sub.symbol, sub.period, db_path, force_remote=True,
+                            sub.symbol,
+                            sub.period,
+                            db_path,
+                            force_remote=True,
+                            trading_mode=get_mode_fn() if get_mode_fn else None,
                         )
                         if kline_data.get("bars"):
                             self.publish(sub, "kline", kline_data)

static/js/market.js

@@ -574,6 +574,12 @@
         }
     }
 
+    function klineSourceLabel(src) {
+        if (src === 'ctp') return 'CTP';
+        if (src === 'local') return '本地缓存';
+        return '新浪';
+    }
+
     function updateRefreshHint(disconnected) {
         var el = document.getElementById('market-refresh-hint');
         if (!el) return;
@@ -589,7 +595,10 @@
             el.textContent = '';
             return;
         }
-        var src = lastData && lastData.source === 'local' ? ' · 本地缓存' : '';
+        var src = '';
+        if (lastData && lastData.source) {
+            src = ' · ' + klineSourceLabel(lastData.source);
+        }
         if (isTradingSession()) {
             el.textContent = '交易中 · 后台刷新 · SSE 推送（约1秒）' + src;
         } else {
@@ -614,6 +623,9 @@
         if (priceEl) {
             priceEl.textContent = data.price != null ? Number(data.price).toFixed(2) : '—';
         }
+        if (data.quote_source && lastData) {
+            updateQuoteMeta(Object.assign({}, lastData, { quote_source: data.quote_source }));
+        }
         if (data.prev_close != null) {
             lastPrevClose = data.prev_close;
             updatePrevCloseDisplay(data.prev_close);
@@ -689,7 +701,13 @@
     function updateQuoteMeta(data) {
         var meta = document.getElementById('market-quote-meta');
         if (meta) {
-            meta.textContent = data.count ? ('共 ' + data.count + ' 根 · ' + periodLabel(data.period)) : '';
+            var parts = [];
+            if (data.count) parts.push('共 ' + data.count + ' 根 · ' + periodLabel(data.period));
+            if (data.source) parts.push('K线 ' + klineSourceLabel(data.source));
+            if (data.quote_source) {
+                parts.push('报价 ' + (data.quote_source === 'ctp' ? 'CTP' : '新浪'));
+            }
+            meta.textContent = parts.join(' · ');
         }
         var nameEl = document.getElementById('market-quote-name');
         var hiddenName = document.getElementById('market-symbol-name');

templates/market.html

@@ -45,7 +45,7 @@
         <div class="market-chart-empty" id="market-chart-empty">请选择合约并点击「查看」</div>
         <div class="market-chart-loading" id="market-chart-loading">连接中…</div>
     </div>
-    <p class="hint">数据来源：新浪财经。拖拽左右平移、滚轮缩放；按住图表上下拖动可平移价格轴。可视区内自动标注最高/最低价。</p>
+    <p class="hint">数据来源：{% if ctp_connected %}CTP 柜台 tick 聚合（实时价与 K 线）{% else %}CTP 未连接时 K 线与报价回退新浪{% endif %}。拖拽左右平移、滚轮缩放；按住图表上下拖动可平移价格轴。可视区内自动标注最高/最低价。</p>
 </div>
 
 <style>

vnpy_bridge.py

@@ -5,6 +5,7 @@ import logging
 import os
 import threading
 import time
+from collections import deque
 from typing import Any, Optional
 
 from locale_fix import ensure_process_locale
@@ -91,6 +92,8 @@ class CtpBridge:
         self._commission_hooked = False
         self._subscribed: set[str] = set()
         self._tick_hooked = False
+        self._bar_generators: dict[str, Any] = {}
+        self._bars_1m: dict[str, deque] = {}
         self._init_engine()
 
     def _init_engine(self) -> None:
@@ -241,6 +244,12 @@ class CtpBridge:
         bridge = self
 
         def on_rsp(data: dict, error: dict, reqid: int, last: bool) -> None:
+            if error and int(error.get("ErrorID") or 0) != 0:
+                logger.debug(
+                    "CTP commission error reqid=%s: %s",
+                    reqid,
+                    error.get("ErrorMsg") or error,
+                )
             if data and data.get("InstrumentID"):
                 bridge._commission_results[reqid] = dict(data)
             ev = bridge._commission_waiters.get(reqid)
@@ -255,8 +264,7 @@ class CtpBridge:
         if self._connected_mode != mode or not self._engine:
             return {}
         try:
-            from ctp_symbol import ths_to_vnpy_symbol
+            sym, ex_name = ths_to_vnpy_symbol(ths_code)
-            sym, _ = ths_to_vnpy_symbol(ths_code)
             gw = self._engine.get_gateway(GATEWAY_NAME)
             td = gw.td_api
         except Exception as exc:
@@ -275,6 +283,7 @@ class CtpBridge:
             "BrokerID": td.brokerid,
             "InvestorID": td.userid,
             "InstrumentID": sym,
+            "ExchangeID": ex_name,
         }
         ret = td.reqQryInstrumentCommissionRate(req, reqid)
         if ret != 0:
@@ -315,11 +324,160 @@ class CtpBridge:
             logger.debug("lookup tick: %s", exc)
         return None
 
+    def _bar_to_dict(self, bar: Any) -> dict:
+        dt = getattr(bar, "datetime", None)
+        d_str = dt.strftime("%Y-%m-%d %H:%M:%S") if dt else ""
+        return {
+            "d": d_str,
+            "o": float(getattr(bar, "open_price", 0) or 0),
+            "h": float(getattr(bar, "high_price", 0) or 0),
+            "l": float(getattr(bar, "low_price", 0) or 0),
+            "c": float(getattr(bar, "close_price", 0) or 0),
+            "v": float(getattr(bar, "volume", 0) or 0),
+        }
+
+    def _ensure_bar_generator(self, sym: str, ex_name: str) -> None:
+        key = self._tick_key(sym, ex_name)
+        if key in self._bar_generators:
+            return
+        self._bars_1m[key] = deque(maxlen=4000)
+
+        def on_bar(bar: Any) -> None:
+            row = self._bar_to_dict(bar)
+            if row.get("d"):
+                self._bars_1m[key].append(row)
+
+        try:
+            from vnpy.trader.utility import BarGenerator
+
+            self._bar_generators[key] = BarGenerator(on_bar=on_bar)
+        except ImportError:
+            logger.debug("BarGenerator unavailable")
+
+    def _find_tick(self, symbol: str, ex_name: str) -> Any:
+        if not self._engine:
+            return None
+        sym_l = symbol.lower()
+        ex_u = ex_name.upper()
+        try:
+            for tick in self._engine.get_all_ticks():
+                ts = (getattr(tick, "symbol", "") or "").lower()
+                te = getattr(tick, "exchange", None)
+                te_s = str(te.value if hasattr(te, "value") else te or "").upper()
+                if ts == sym_l and te_s == ex_u:
+                    return tick
+        except Exception as exc:
+            logger.debug("find tick: %s", exc)
+        return None
+
+    def _tick_to_bar(self, symbol: str, ex_name: str) -> Optional[dict]:
+        tick = self._find_tick(symbol, ex_name)
+        if not tick:
+            return None
+        lp = self._price_from_tick(tick)
+        if not lp or lp <= 0:
+            return None
+        dt = getattr(tick, "datetime", None)
+        d_str = dt.strftime("%Y-%m-%d %H:%M:%S") if dt else ""
+        if not d_str:
+            from datetime import datetime
+            from zoneinfo import ZoneInfo
+
+            d_str = datetime.now(ZoneInfo("Asia/Shanghai")).strftime("%Y-%m-%d %H:%M:%S")
+        o = float(getattr(tick, "open_price", 0) or lp)
+        h = float(getattr(tick, "high_price", 0) or lp)
+        lo = float(getattr(tick, "low_price", 0) or lp)
+        return {
+            "d": d_str,
+            "o": o,
+            "h": h,
+            "l": lo,
+            "c": lp,
+            "v": float(getattr(tick, "volume", 0) or 0),
+        }
+
+    def _on_tick(self, tick: Any) -> None:
+        sym = (getattr(tick, "symbol", "") or "").lower()
+        te = getattr(tick, "exchange", None)
+        ex_s = str(te.value if hasattr(te, "value") else te or "").upper()
+        key = self._tick_key(sym, ex_s)
+        bg = self._bar_generators.get(key)
+        if not bg:
+            return
+        try:
+            bg.update_tick(tick)
+        except Exception as exc:
+            logger.debug("bar gen tick: %s", exc)
+
     def _ensure_tick_handler(self) -> None:
         if self._tick_hooked or not self._ee:
             return
+        try:
+            from vnpy.trader.event import EVENT_TICK
+        except ImportError:
+            return
+
+        def process_tick(event: Any) -> None:
+            self._on_tick(event.data)
+
+        self._ee.register(EVENT_TICK, process_tick)
         self._tick_hooked = True
 
+    def get_kline_bars_1m(self, ths_code: str, *, mode: str) -> list[dict]:
+        """订阅合约并返回 1 分钟 K 线（含正在形成的 bar）。"""
+        if self._connected_mode != mode or not self._engine:
+            return []
+        try:
+            sym, ex_name = ths_to_vnpy_symbol(ths_code)
+        except Exception:
+            return []
+        key = self._tick_key(sym, ex_name)
+        self._ensure_bar_generator(sym, ex_name)
+        self.subscribe_symbol(ths_code)
+        for _ in range(12):
+            if self._bars_1m.get(key) and len(self._bars_1m[key]) > 0:
+                break
+            if self._lookup_tick(sym, ex_name):
+                break
+            time.sleep(0.2)
+        bars_1m = list(self._bars_1m.get(key, []))
+        bg = self._bar_generators.get(key)
+        if bg and getattr(bg, "bar", None):
+            forming = self._bar_to_dict(bg.bar)
+            if forming.get("d"):
+                if not bars_1m or bars_1m[-1]["d"] != forming["d"]:
+                    bars_1m.append(forming)
+                else:
+                    bars_1m[-1] = forming
+        if not bars_1m:
+            tick_bar = self._tick_to_bar(sym, ex_name)
+            if tick_bar:
+                bars_1m = [tick_bar]
+        return bars_1m
+
+    def get_tick_detail(self, ths_code: str, *, mode: str) -> dict[str, Any]:
+        if self._connected_mode != mode or not self._engine:
+            return {}
+        try:
+            sym, ex_name = ths_to_vnpy_symbol(ths_code)
+        except Exception:
+            return {}
+        self.subscribe_symbol(ths_code)
+        for _ in range(8):
+            tick = self._find_tick(sym, ex_name)
+            if tick:
+                price = self._price_from_tick(tick)
+                try:
+                    pre_close = float(getattr(tick, "pre_close", 0) or 0)
+                except (TypeError, ValueError):
+                    pre_close = 0.0
+                return {
+                    "price": price,
+                    "pre_close": pre_close if pre_close > 0 else None,
+                }
+            time.sleep(0.2)
+        return {}
+
     def subscribe_symbol(self, ths_code: str) -> None:
         if not self._engine or not self._connected_mode:
             return
@@ -328,6 +486,7 @@ class CtpBridge:
 
             sym, ex_name = ths_to_vnpy_symbol(ths_code)
             key = self._tick_key(sym, ex_name)
+            self._ensure_bar_generator(sym, ex_name)
             if key in self._subscribed:
                 return
             exchange = to_vnpy_exchange(ex_name)
@@ -564,6 +723,17 @@ def ctp_get_tick_price(mode: str, ths_code: str) -> Optional[float]:
         return None
 
 
+def ctp_get_tick_detail(mode: str, ths_code: str) -> dict[str, Any]:
+    b = get_bridge()
+    if b.connected_mode != mode:
+        return {}
+    try:
+        return b.get_tick_detail(ths_code, mode=mode)
+    except Exception as exc:
+        logger.debug("ctp_get_tick_detail: %s", exc)
+        return {}
+
+
 def get_ctp_balance(mode: str) -> Optional[float]:
     try:
         acc = ctp_get_account(mode)