Fix CTP position average price using OpenCost instead of PositionCost.

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

modules/ctp/vnpy_bridge.py

@@ -342,6 +342,8 @@ class CtpBridge:
         self._last_position_query_ts: float = 0.0
         self._position_margins: dict[str, float] = {}
         self._position_open_times: dict[str, str] = {}
+        self._position_open_avg: dict[str, float] = {}
+        self._position_open_cost_acc: dict[str, dict[str, float]] = {}
         self._margin_hooked = False
         self._trade_hooked = False
         self._trade_query_results: list[dict[str, Any]] = []
@@ -524,7 +526,7 @@ class CtpBridge:
             sym = getattr(pos, "symbol", "") or ""
             exchange = getattr(pos, "exchange", None)
             ex_name = str(exchange.value if hasattr(exchange, "value") else exchange or "")
-            price = float(getattr(pos, "price", 0) or 0)
+            price = self._position_avg_from_vnpy(pos, sym=sym, ex_name=ex_name, direction=d)
             yd = int(getattr(pos, "yd_volume", 0) or 0)
             td = max(0, vol - yd)
             margin = self.estimate_position_margin(sym, ex_name, d, vol, price, pos=pos)
@@ -1214,6 +1216,13 @@ class CtpBridge:
             def on_rsp_position(
                 data: dict, error: dict, reqid: int, last: bool,
             ) -> None:
+                try:
+                    if data:
+                        bridge._ingest_position_open_cost(data)
+                    if last:
+                        bridge._finalize_position_open_cost_acc()
+                except Exception as exc:
+                    logger.debug("position open avg cache: %s", exc)
                 ret = orig_pos(data, error, reqid, last)
                 if last:
                     now = time.monotonic()
@@ -1620,6 +1629,79 @@ class CtpBridge:
     def _position_margin_key(self, sym: str, direction: str) -> str:
         return f"{(sym or '').lower()}:{(direction or 'long').strip().lower()}"
 
+    @staticmethod
+    def _direction_from_ctp_posi(posi: Any) -> str:
+        s = str(posi or "").strip().upper()
+        if s in ("2", "SHORT", "NET_SHORT"):
+            return "short"
+        return "long"
+
+    def _contract_mult(self, sym: str, ex_name: str = "") -> float:
+        ths = self._vnpy_sym_to_ths(sym, ex_name) or sym
+        try:
+            return float(get_contract_spec(ths).get("mult") or 0)
+        except Exception:
+            return 0.0
+
+    def _ingest_position_open_cost(self, data: dict) -> None:
+        """累积 CTP 持仓回报 OpenCost，用于计算开仓均价（柜台 开仓均价）。"""
+        if not data or not data.get("InstrumentID"):
+            return
+        vol = int(data.get("Position") or 0)
+        if vol <= 0:
+            return
+        open_cost = float(data.get("OpenCost") or 0)
+        if open_cost <= 0:
+            return
+        sym = str(data["InstrumentID"])
+        direction = self._direction_from_ctp_posi(data.get("PosiDirection"))
+        mult = self._contract_mult(sym)
+        if mult <= 0:
+            return
+        key = self._position_margin_key(sym, direction)
+        acc = self._position_open_cost_acc.setdefault(
+            key, {"open_cost": 0.0, "vol": 0.0, "mult": mult},
+        )
+        acc["open_cost"] += open_cost
+        acc["vol"] += float(vol)
+        acc["mult"] = mult
+
+    def _finalize_position_open_cost_acc(self) -> None:
+        for key, acc in list(self._position_open_cost_acc.items()):
+            vol = float(acc.get("vol") or 0)
+            mult = float(acc.get("mult") or 0)
+            open_cost = float(acc.get("open_cost") or 0)
+            if vol > 0 and mult > 0 and open_cost > 0:
+                self._position_open_avg[key] = open_cost / (vol * mult)
+        self._position_open_cost_acc.clear()
+
+    def _lookup_position_open_avg(self, sym: str, direction: str) -> float:
+        return float(
+            self._position_open_avg.get(self._position_margin_key(sym, direction), 0) or 0
+        )
+
+    def _position_avg_from_vnpy(
+        self,
+        pos: Any,
+        *,
+        sym: str,
+        ex_name: str,
+        direction: str,
+    ) -> float:
+        cached = self._lookup_position_open_avg(sym, direction)
+        if cached > 0:
+            return cached
+        try:
+            from modules.ctp.ctp_entry_price import compute_open_avg_from_trades
+
+            trades = self.list_trades()
+            trade_avg = compute_open_avg_from_trades(sym, direction, trades)
+            if trade_avg > 0:
+                return trade_avg
+        except Exception as exc:
+            logger.debug("position avg from trades: %s", exc)
+        return float(getattr(pos, "price", 0) or 0)
+
     def _lookup_position_open_time(self, sym: str, direction: str) -> str:
         return (self._position_open_times.get(self._position_margin_key(sym, direction)) or "").strip()
 
@@ -1825,7 +1907,9 @@ class CtpBridge:
             sym = getattr(pos, "symbol", "") or ""
             exchange = getattr(pos, "exchange", None)
             ex_name = str(exchange.value if hasattr(exchange, "value") else exchange or "")
-            price = float(getattr(pos, "price", 0) or 0)
+            price = self._position_avg_from_vnpy(
+                pos, sym=sym, ex_name=ex_name, direction=d,
+            )
             margin = self.estimate_position_margin(
                 sym, ex_name, d, vol, price, pos=pos,
             )