Prefer CTP PnL-consistent entry when vnpy avg differs from SimNow.

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

ctp_entry_price.py

@@ -1,12 +1,14 @@
 # Copyright (c) 2025-2026 马建军. All rights reserved.
 # 详见 LICENSE.zh-CN.txt
 
-"""CTP 持仓均价：成交加权 / 柜台持仓价（滚仓加仓后以柜台为准）。"""
+"""CTP 持仓均价：成交加权 / 柜台持仓价 / 盈亏一致校正。"""
 from __future__ import annotations
 
 from typing import Any, Optional
 
+from contract_specs import get_contract_spec
 from ctp_symbol import ths_to_vnpy_symbol
+from symbols import ths_to_codes
 
 
 def symbols_match(ctp_sym: str, ths: str) -> bool:
@@ -31,6 +33,47 @@ def symbols_match(ctp_sym: str, ths: str) -> bool:
     return False
 
 
+def _ths_code(sym: str) -> str:
+    codes = ths_to_codes(sym) or {}
+    return codes.get("ths_code") or sym
+
+
+def round_to_tick(price: float, sym: str) -> float:
+    tick = float(get_contract_spec(_ths_code(sym)).get("tick_size") or 1.0)
+    if tick <= 0:
+        return round(price, 2)
+    return round(round(price / tick) * tick, 4)
+
+
+def entry_from_ctp_pnl(
+    ctp: dict[str, Any],
+    tick: Optional[float],
+    *,
+    ths_sym: str = "",
+) -> Optional[float]:
+    """用柜台持仓盈亏 + 现价反推均价（与 SimNow 浮动盈亏一致）。"""
+    if not tick or tick <= 0:
+        return None
+    lots = int(ctp.get("lots") or 0)
+    if lots <= 0:
+        return None
+    pnl = float(ctp.get("pnl") or 0)
+    if not pnl:
+        return None
+    sym = ths_sym or (ctp.get("symbol") or "")
+    mult = float(get_contract_spec(_ths_code(sym)).get("mult") or 10)
+    if mult <= 0:
+        return None
+    direction = (ctp.get("direction") or "long").strip().lower()
+    if direction == "long":
+        derived = tick - pnl / (mult * lots)
+    else:
+        derived = tick + pnl / (mult * lots)
+    if derived <= 0:
+        return None
+    return round_to_tick(derived, sym)
+
+
 def avg_from_trades(
     trades: list[dict[str, Any]],
     sym: str,
@@ -67,7 +110,7 @@ def avg_from_trades(
         return None
     if expect_lots > 0 and vol != expect_lots:
         return None
-    return round(cost / vol, 4)
+    return round_to_tick(cost / vol, sym)
 
 
 def resolve_ctp_entry(
@@ -75,17 +118,34 @@ def resolve_ctp_entry(
     direction: str,
     ctp: Optional[dict[str, Any]],
     trades: Optional[list[dict[str, Any]]] = None,
+    *,
+    tick: Optional[float] = None,
 ) -> tuple[float, str]:
-    """均价：成交加权 > 柜台 PositionCost 持仓价。"""
+    """均价：成交加权 > 盈亏一致校正 > 柜台持仓价。"""
     if not ctp:
         return 0.0, "none"
     direction = (direction or "long").strip().lower()
     lots = int(ctp.get("lots") or 0)
+
     if trades:
         trade_avg = avg_from_trades(trades, sym, direction, expect_lots=lots)
         if trade_avg and trade_avg > 0:
             return float(trade_avg), "trades"
+
     pos_avg = float(ctp.get("avg_price") or 0)
     if pos_avg > 0:
+        pos_avg = round_to_tick(pos_avg, sym)
+
+    pnl_avg = entry_from_ctp_pnl(ctp, tick, ths_sym=sym)
+    tick_sz = float(get_contract_spec(_ths_code(sym)).get("tick_size") or 1.0)
+
+    if pnl_avg and pos_avg > 0:
+        if abs(pnl_avg - pos_avg) >= max(tick_sz * 0.5, 0.01):
+            return float(pnl_avg), "pnl"
         return pos_avg, "ctp"
+
+    if pos_avg > 0:
+        return pos_avg, "ctp"
+    if pnl_avg and pnl_avg > 0:
+        return float(pnl_avg), "pnl"
     return 0.0, "none"

ctp_trading_state.py

@@ -34,43 +34,6 @@ def parse_position_key(key: str) -> tuple[str, str, str]:
     return "", (key or "").lower(), "long"
 
 
-def avg_price_from_ctp_pnl(
-    row: dict[str, Any],
-    tick: Optional[float],
-) -> Optional[float]:
-    """用柜台持仓盈亏 + 现价快照反推开仓均价（与 SimNow 浮动盈亏一致）。"""
-    if not tick or tick <= 0:
-        return None
-    lots = int(row.get("lots") or 0)
-    if lots <= 0:
-        return None
-    pnl = float(row.get("pnl") or 0)
-    if not pnl:
-        return None
-    sym = (row.get("symbol") or "").strip()
-    if not sym:
-        return None
-    try:
-        from contract_specs import get_contract_spec
-        from symbols import ths_to_codes
-
-        codes = ths_to_codes(sym) or {}
-        ths = codes.get("ths_code") or sym
-        mult = float(get_contract_spec(ths).get("mult") or 10)
-    except Exception:
-        mult = 10.0
-    if mult <= 0:
-        return None
-    direction = (row.get("direction") or "long").strip().lower()
-    if direction == "long":
-        derived = tick - pnl / (mult * lots)
-    else:
-        derived = tick + pnl / (mult * lots)
-    if derived <= 0:
-        return None
-    return round(derived, 2)
-
-
 def reconcile_position_avg(
     old: Optional[dict[str, Any]],
     new: dict[str, Any],
@@ -80,7 +43,7 @@ def reconcile_position_avg(
     ths_sym: str = "",
 ) -> dict[str, Any]:
     """手数不变时锁定均价；滚仓/加仓（手数变化）时以柜台加权均价为准。"""
-    from ctp_entry_price import resolve_ctp_entry
+    from ctp_entry_price import entry_from_ctp_pnl, resolve_ctp_entry
 
     row = dict(new)
     lots = int(row.get("lots") or 0)
@@ -89,6 +52,7 @@ def reconcile_position_avg(
     direction = (row.get("direction") or "long").strip().lower()
     old_lots = int(old.get("lots") or 0) if old else 0
     lots_changed = not old or old_lots != lots
+    sym = ths_sym or (row.get("symbol") or "")
 
     if (
         not lots_changed
@@ -96,12 +60,22 @@ def reconcile_position_avg(
         and old.get("avg_price_locked")
         and float(old.get("avg_price") or 0) > 0
     ):
-        row["avg_price"] = float(old["avg_price"])
+        locked = float(old["avg_price"])
+        corrected, _ = resolve_ctp_entry(sym, direction, row, trades, tick=tick)
+        pnl_entry = entry_from_ctp_pnl(row, tick, ths_sym=sym)
+        if corrected > 0 and abs(corrected - locked) >= 0.5:
+            row["avg_price"] = corrected
+            row["avg_price_locked"] = True
+            return row
+        if pnl_entry and abs(pnl_entry - locked) >= 0.5:
+            row["avg_price"] = pnl_entry
+            row["avg_price_locked"] = True
+            return row
+        row["avg_price"] = locked
         row["avg_price_locked"] = True
         return row
 
-    sym = ths_sym or (row.get("symbol") or "")
-    entry, _src = resolve_ctp_entry(sym, direction, row, trades)
+    entry, _src = resolve_ctp_entry(sym, direction, row, trades, tick=tick)
     if entry > 0:
         row["avg_price"] = entry
         row["avg_price_locked"] = True
@@ -111,13 +85,6 @@ def reconcile_position_avg(
     if pos_avg > 0:
         row["avg_price"] = pos_avg
         row["avg_price_locked"] = lots_changed or bool(tick)
-        return row
-
-    if not lots_changed:
-        refined = avg_price_from_ctp_pnl(row, tick)
-        if refined and refined > 0:
-            row["avg_price"] = refined
-            row["avg_price_locked"] = True
     return row
 
 
@@ -207,18 +174,37 @@ class CtpTradingState:
             return dict(row) if row else None
 
     def try_lock_entry_prices(self) -> bool:
-        """有 tick 后一次性校正未锁定的持仓均价。"""
+        """有 tick 后校正持仓均价（含已锁定但与柜台盈亏不一致的）。"""
+        from ctp_entry_price import resolve_ctp_entry
+
         changed = False
         with self._lock:
             for pk, row in list(self._positions.items()):
-                if row.get("avg_price_locked"):
+                ex = row.get("exchange") or ""
+                sym = row.get("symbol") or ""
+                tick = self.get_tick_price(ex, sym)
+                if not tick or tick <= 0:
                     continue
-                tick = self.get_tick_price(row.get("exchange") or "", row.get("symbol") or "")
-                refined = avg_price_from_ctp_pnl(row, tick)
-                if not refined or refined <= 0:
+                ths = sym
+                try:
+                    from vnpy_bridge import CtpBridge
+                    ths = CtpBridge._vnpy_sym_to_ths(sym, ex) or sym
+                except Exception:
+                    pass
+                entry, _ = resolve_ctp_entry(
+                    ths,
+                    row.get("direction") or "long",
+                    row,
+                    tick=tick,
+                )
+                if not entry or entry <= 0:
                     continue
+                current = float(row.get("avg_price") or 0)
+                if row.get("avg_price_locked") and current > 0:
+                    if abs(entry - current) < 0.5:
+                        continue
                 updated = dict(row)
-                updated["avg_price"] = refined
+                updated["avg_price"] = entry
                 updated["avg_price_locked"] = True
                 self._positions[pk] = updated
                 changed = True

install_trading.py

@@ -564,7 +564,9 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
                 continue
             if not _match_ctp_symbol(p.get("symbol") or "", sym):
                 continue
-            entry, _ = resolve_ctp_entry(sym, direction, p, trades)
+            entry, _ = resolve_ctp_entry(
+                sym, direction, p, trades, tick=ctp_get_tick_price(mode, sym),
+            )
             if entry > 0:
                 return float(entry)
         return fallback
@@ -578,12 +580,14 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         if not ctp:
             return 0.0, "none"
         trades: list = []
+        tick = None
         if ctp_status(mode).get("connected"):
             try:
                 trades = ctp_list_trades(mode)
             except Exception:
                 pass
-        return resolve_ctp_entry(sym, direction, ctp, trades)
+            tick = ctp_get_tick_price(mode, sym)
+        return resolve_ctp_entry(sym, direction, ctp, trades, tick=tick)
 
     def _open_commission_from_ctp_trades(
         mode: str, sym: str, direction: str,
@@ -1874,7 +1878,8 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
                     return
                 mode = get_trading_mode(get_setting)
                 if trading_state.try_lock_entry_prices():
-                    _push_position_snapshot_async(fast=True)
+                    _push_position_snapshot_async(fast=False)
+                    return
                 payload = _build_position_quotes_payload(mode)
                 if payload.get("quotes"):
                     position_hub.push_event("position_quotes", payload)

vnpy_bridge.py

@@ -464,19 +464,34 @@ class CtpBridge:
             td = max(0, vol - yd)
             margin = self.estimate_position_margin(sym, ex_name, d, vol, price, pos=pos)
             open_time = self._lookup_position_open_time(sym, d) or None
-            return {
+            pnl = float(getattr(pos, "pnl", 0) or 0)
+            row = {
                 "symbol": sym,
                 "exchange": ex_name,
                 "direction": d,
                 "lots": vol,
                 "avg_price": price,
-                "pnl": float(getattr(pos, "pnl", 0) or 0),
+                "pnl": pnl,
                 "frozen": int(getattr(pos, "frozen", 0) or 0),
                 "margin": margin,
                 "open_time": open_time,
                 "yd_volume": yd,
                 "td_volume": td,
             }
+            try:
+                from ctp_entry_price import entry_from_ctp_pnl, round_to_tick
+                from ctp_trading_state import trading_state
+
+                ths = CtpBridge._vnpy_sym_to_ths(sym, ex_name) or sym
+                tick = trading_state.get_tick_price(ex_name, sym)
+                pnl_entry = entry_from_ctp_pnl(row, tick, ths_sym=ths)
+                if pnl_entry and price > 0 and abs(pnl_entry - price) >= 0.5:
+                    row["avg_price"] = pnl_entry
+                elif price > 0:
+                    row["avg_price"] = round_to_tick(price, ths)
+            except Exception as exc:
+                logger.debug("position avg refine: %s", exc)
+            return row
         except Exception as exc:
             logger.debug("position_row_from_vnpy: %s", exc)
             return None