Fix roll first-lots display and make market add use pending orders.

Store initial_lots on roll groups, submit market roll as CTP pending legs with cancel closing empty groups, and backfill first-lots for existing active groups.

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

modules/strategy/strategy_db.py

@@ -130,6 +130,8 @@ ROLL_LEG_EXTRA_COLUMNS = (
     "ALTER TABLE roll_legs ADD COLUMN last_mark_price REAL",
     "ALTER TABLE roll_legs ADD COLUMN invalidated_reason TEXT",
     "ALTER TABLE roll_legs ADD COLUMN capital_snapshot REAL",
+    "ALTER TABLE roll_legs ADD COLUMN vt_order_id TEXT",
+    "ALTER TABLE roll_groups ADD COLUMN initial_lots INTEGER",
     "ALTER TABLE trade_order_monitors ADD COLUMN risk_percent REAL",
 )
 

modules/strategy/strategy_roll_monitor_lib.py

@@ -50,6 +50,25 @@ def roll_sync_after_external_close(conn, *, monitor_id: int) -> None:
     )
 
 
+def close_roll_group_if_idle(conn, gid: int) -> None:
+    """无已成交腿且无 pending 腿时关闭滚仓组（如市价挂单撤单后）。"""
+    gid = int(gid)
+    filled = int(conn.execute(
+        "SELECT COUNT(*) AS n FROM roll_legs WHERE roll_group_id=? AND status=?",
+        (gid, LEG_STATUS_FILLED),
+    ).fetchone()["n"] or 0)
+    pending = int(conn.execute(
+        "SELECT COUNT(*) AS n FROM roll_legs WHERE roll_group_id=? AND status=?",
+        (gid, LEG_STATUS_PENDING),
+    ).fetchone()["n"] or 0)
+    if filled > 0 or pending > 0:
+        return
+    conn.execute(
+        "UPDATE roll_groups SET status='closed', updated_at=? WHERE id=? AND status='active'",
+        (_now(), gid),
+    )
+
+
 def cancel_roll_leg(conn, leg_id: int) -> tuple[bool, str]:
     row = conn.execute(
         "SELECT * FROM roll_legs WHERE id=? AND status=?",
@@ -57,10 +76,12 @@ def cancel_roll_leg(conn, leg_id: int) -> tuple[bool, str]:
     ).fetchone()
     if not row:
         return False, "仅可删除监控中的腿"
+    leg = dict(row)
     conn.execute(
         "UPDATE roll_legs SET status=? WHERE id=?",
         (LEG_STATUS_CANCELLED, int(leg_id)),
     )
+    close_roll_group_if_idle(conn, int(leg["roll_group_id"]))
     return True, "已删除"
 
 
@@ -89,6 +110,9 @@ def check_roll_monitors(
     ).fetchall()
     for raw in rows:
         leg = dict(raw)
+        mode = (leg.get("add_mode") or "").strip().lower()
+        if mode == ADD_MODE_MARKET:
+            continue
         if (leg.get("mon_status") or "").strip().lower() != "active":
             _invalidate_leg(conn, leg, "监控已结束")
             continue