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

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

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