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Persist CTP margin, ratio, and fees to DB; use exchange commission in trade logs.

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-06-26 11:36:56 +08:00
parent 9a55c61678
commit d3955309d9
3 changed files with 80 additions and 6 deletions
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ctp_trade_sync.py
+33 -5
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@@ -49,6 +49,12 @@ def _to_ths_code(symbol: str) -> str:
return sym.lower()
def _allocate_commission(total_comm: float, matched: int, total_lots: int) -> float:
if total_comm <= 0 or matched <= 0 or total_lots <= 0:
return 0.0
return round(total_comm * matched / total_lots, 2)
def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
"""按 FIFO 将开/平仓成交配对为完整回合。"""
stacks: dict[tuple[str, str], list[dict[str, Any]]] = defaultdict(list)
@@ -70,25 +76,41 @@ def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
stacks[key].append({
**t,
"remaining": lots,
"commission_remaining": float(t.get("commission") or 0),
})
continue
close_lots_total = lots
close_lots_left = lots
close_price = float(t.get("price") or 0)
close_time = t.get("datetime") or ""
close_trade_id = str(t.get("trade_id") or "")
close_comm_total = float(t.get("commission") or 0)
while close_lots_left > 0 and stacks[key]:
open_t = stacks[key][0]
matched = min(close_lots_left, int(open_t.get("remaining") or 0))
open_rem = int(open_t.get("remaining") or 0)
matched = min(close_lots_left, open_rem)
if matched <= 0:
stacks[key].pop(0)
continue
open_t["remaining"] = int(open_t.get("remaining") or 0) - matched
open_comm_rem = float(open_t.get("commission_remaining") or 0)
open_comm_share = (
_allocate_commission(open_comm_rem, matched, open_rem)
if open_rem > 0 else 0.0
)
close_comm_share = _allocate_commission(
close_comm_total, matched, close_lots_total,
)
open_t["remaining"] = open_rem - matched
open_t["commission_remaining"] = round(
max(0.0, open_comm_rem - open_comm_share), 2,
)
if open_t["remaining"] <= 0:
stacks[key].pop(0)
close_lots_left -= matched
open_trade_id = str(open_t.get("trade_id") or "")
ctp_key = f"{open_trade_id}|{close_trade_id}|{sym}|{pos_dir}|{matched}"
trip_fee = round(open_comm_share + close_comm_share, 2)
trips.append({
"ctp_trade_key": ctp_key,
"symbol": sym,
@@ -101,6 +123,8 @@ def build_round_trips(trades: list[dict[str, Any]]) -> list[dict[str, Any]]:
"close_time": close_time,
"open_trade_id": open_trade_id,
"close_trade_id": close_trade_id,
"fee": trip_fee,
"fee_from_ctp": trip_fee > 0,
})
return trips
@@ -202,9 +226,13 @@ def sync_trade_logs_from_ctp(
direction, entry, sl_f, tp_f, lots, close_px, capital, ths,
)
pnl = float(metrics.get("float_pnl") or 0)
fee = calc_round_trip_fee(
ths, entry, close_px, lots, open_time, close_time, trading_mode=trading_mode,
)
trip_fee = float(trip.get("fee") or 0)
if trip_fee > 0:
fee = round(trip_fee, 2)
else:
fee = calc_round_trip_fee(
ths, entry, close_px, lots, open_time, close_time, trading_mode=trading_mode,
)
pnl_net = round(pnl - fee, 2)
margin_pct = metrics.get("position_pct")
equity_after = calc_equity_after(capital, pnl_net)