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

Co-authored-by: Cursor <cursoragent@cursor.com>
2026-06-30 10:51:16 +08:00
parent e6208e403e
commit d07fc4b70d
4 changed files with 128 additions and 62 deletions
@@ -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