Persist CTP margin, ratio, and fees to DB; use exchange commission in trade logs.
Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
+33
-5
@@ -49,6 +49,12 @@ def _to_ths_code(symbol: str) -> str:
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return sym.lower()
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def _allocate_commission(total_comm: float, matched: int, total_lots: int) -> float:
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if total_comm <= 0 or matched <= 0 or total_lots <= 0:
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return 0.0
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return round(total_comm * matched / total_lots, 2)
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def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
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"""按 FIFO 将开/平仓成交配对为完整回合。"""
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stacks: dict[tuple[str, str], list[dict[str, Any]]] = defaultdict(list)
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@@ -70,25 +76,41 @@ def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
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stacks[key].append({
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**t,
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"remaining": lots,
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"commission_remaining": float(t.get("commission") or 0),
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})
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continue
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close_lots_total = lots
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close_lots_left = lots
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close_price = float(t.get("price") or 0)
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close_time = t.get("datetime") or ""
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close_trade_id = str(t.get("trade_id") or "")
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close_comm_total = float(t.get("commission") or 0)
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while close_lots_left > 0 and stacks[key]:
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open_t = stacks[key][0]
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matched = min(close_lots_left, int(open_t.get("remaining") or 0))
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open_rem = int(open_t.get("remaining") or 0)
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matched = min(close_lots_left, open_rem)
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if matched <= 0:
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stacks[key].pop(0)
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continue
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open_t["remaining"] = int(open_t.get("remaining") or 0) - matched
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open_comm_rem = float(open_t.get("commission_remaining") or 0)
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open_comm_share = (
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_allocate_commission(open_comm_rem, matched, open_rem)
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if open_rem > 0 else 0.0
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)
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close_comm_share = _allocate_commission(
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close_comm_total, matched, close_lots_total,
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)
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open_t["remaining"] = open_rem - matched
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open_t["commission_remaining"] = round(
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max(0.0, open_comm_rem - open_comm_share), 2,
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)
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if open_t["remaining"] <= 0:
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stacks[key].pop(0)
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close_lots_left -= matched
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open_trade_id = str(open_t.get("trade_id") or "")
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ctp_key = f"{open_trade_id}|{close_trade_id}|{sym}|{pos_dir}|{matched}"
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trip_fee = round(open_comm_share + close_comm_share, 2)
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trips.append({
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"ctp_trade_key": ctp_key,
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"symbol": sym,
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@@ -101,6 +123,8 @@ def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
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"close_time": close_time,
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"open_trade_id": open_trade_id,
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"close_trade_id": close_trade_id,
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"fee": trip_fee,
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"fee_from_ctp": trip_fee > 0,
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})
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return trips
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@@ -202,9 +226,13 @@ def sync_trade_logs_from_ctp(
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direction, entry, sl_f, tp_f, lots, close_px, capital, ths,
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)
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pnl = float(metrics.get("float_pnl") or 0)
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fee = calc_round_trip_fee(
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ths, entry, close_px, lots, open_time, close_time, trading_mode=trading_mode,
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)
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trip_fee = float(trip.get("fee") or 0)
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if trip_fee > 0:
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fee = round(trip_fee, 2)
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else:
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fee = calc_round_trip_fee(
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ths, entry, close_px, lots, open_time, close_time, trading_mode=trading_mode,
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)
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pnl_net = round(pnl - fee, 2)
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margin_pct = metrics.get("position_pct")
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equity_after = calc_equity_after(capital, pnl_net)
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+46
-1
@@ -299,6 +299,37 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
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row["position_pct"] = round(margin / capital * 100, 2)
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return rows
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def _persist_ctp_snapshot_to_monitors(
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conn,
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rows: list[dict],
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mode: str,
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) -> None:
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"""将柜台校正后的保证金、仓位占比、已扣开仓手续费写入 trade_order_monitors。"""
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if not ctp_status(mode).get("connected"):
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return
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ensure_monitor_order_columns(conn)
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for row in rows:
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mid = row.get("monitor_id")
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if not mid or row.get("order_state") == "pending":
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continue
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margin = row.get("margin")
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position_pct = row.get("position_pct")
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open_fee = row.get("est_fee")
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if margin is None and position_pct is None and open_fee is None:
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continue
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try:
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execute_retry(
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conn,
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"""UPDATE trade_order_monitors SET
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margin=COALESCE(?, margin),
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position_pct=COALESCE(?, position_pct),
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open_fee=COALESCE(?, open_fee)
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WHERE id=? AND status='active'""",
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(margin, position_pct, open_fee, int(mid)),
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)
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except Exception as exc:
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logger.debug("persist monitor ctp snapshot %s: %s", mid, exc)
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def _ensure_monitors_from_ctp(conn, mode: str) -> None:
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"""CTP 有持仓但本地无监控时，自动补写一条 active 记录供展示。"""
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if not ctp_status(mode).get("connected"):
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@@ -742,10 +773,18 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
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position_pct = None
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if margin and capital > 0:
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position_pct = round(float(margin) / float(capital) * 100, 2)
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open_commission = _open_commission_from_ctp_trades(mode, sym, direction)
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if open_commission is None:
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fee_info = calc_fee_breakdown(
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sym, entry, entry, lots, open_time_val or "", "",
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trading_mode=mode,
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)
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open_commission = fee_info.get("open_fee")
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execute_retry(
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conn,
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"""UPDATE trade_order_monitors SET lots=?, entry_price=?,
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open_time=?, margin=?, position_pct=?, mark_price=?, float_pnl=?
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open_time=?, margin=?, position_pct=?, mark_price=?, float_pnl=?,
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open_fee=?
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WHERE id=?""",
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(
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lots,
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@@ -755,6 +794,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
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position_pct,
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float(mark) if mark else None,
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float_pnl,
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open_commission,
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mid,
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),
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)
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@@ -854,6 +894,10 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
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sym, entry, close_est, lots, open_time or now_iso, now_iso, trading_mode=mode,
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)
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open_commission = _open_commission_from_ctp_trades(mode, sym, direction)
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if open_commission is None and mon and mon.get("open_fee") is not None:
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cached_fee = float(mon.get("open_fee") or 0)
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if cached_fee > 0:
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open_commission = cached_fee
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if open_commission is not None:
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display_fee = open_commission
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fee_source = "ctp"
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@@ -1170,6 +1214,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
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_ensure_monitors_from_ctp(conn, mode)
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rows = _build_trading_live_rows(conn, fast=fast)
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rows = _apply_account_margin_to_rows(rows, mode, capital)
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_persist_ctp_snapshot_to_monitors(conn, rows, mode)
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pending_orders = _build_pending_orders(conn, mode)
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risk = get_risk_status(conn, active_count=_effective_active_position_count(conn, mode))
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return {
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@@ -53,6 +53,7 @@ MONITOR_ORDER_COLUMNS = (
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"ALTER TABLE trade_order_monitors ADD COLUMN float_pnl REAL",
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"ALTER TABLE trade_order_monitors ADD COLUMN vt_order_id TEXT",
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"ALTER TABLE trade_order_monitors ADD COLUMN order_price REAL",
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"ALTER TABLE trade_order_monitors ADD COLUMN open_fee REAL",
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)
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TRADE_RESULTS = ("止损", "止盈", "移动止盈", "保本止盈", "手动平仓")
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