Use VeighNa OffsetConverter for SHFE close today/yesterday split.

Feed CTP PositionDate-corrected positions to converter like CTA engine sell/cover.

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

docs/CTP_LIVE.md

@@ -113,13 +113,13 @@ CTP_LIVE_ENV=实盘
 | `offset=close_long` + 持多 | Direction.**SHORT**（卖平） | 见下表 |
 | `offset=close_short` + 持空 | Direction.**LONG**（买平） | 见下表 |
 
-**开平标志** 由 `_resolve_close_offset()` 按 **交易所规则** 自动选择（与 SimNow/实盘 CTP 规范一致）：
+**开平标志** 由 VeighNa **`OffsetConverter`**（`vnpy/trader/converter.py`）自动转换：策略层发 `Offset.CLOSE`，框架按今/昨仓拆单为 `CLOSETODAY` / `CLOSEYESTERDAY`（与 CTA 引擎 `sell()`/`cover()` 一致）。持仓今昨数据来自 CTP `OnRspQryInvestorPosition` 的 **PositionDate** 字段，修正 vnpy 网关合并误差后喂给 OffsetConverter。
 
 | 交易所 | 规则 |
 |--------|------|
 | **大商所（DCE）** 等 | 使用通用 **CLOSE** |
-| **上期所（SHFE）、能源（INE）、郑商所（CZCE）、中金所（CFFEX）** | 区分 **平今 CLOSETODAY** / **平昨 CLOSEYESTERDAY** |
+| **上期所（SHFE）、能源（INE）** | OffsetConverter 按今/昨可平量自动拆单 |
-| 选择依据 | CTP `OnRspQryInvestorPosition` 的 **PositionDate**（1=今仓、2=昨仓）；上期所今昨为**两条独立回报**，与同花顺/快期一致 |
+| 持仓来源 | CTP **PositionDate**（1=今仓、2=昨仓）缓存，修正 `PositionData.yd_volume` |
 
 这与国内期货公司 CTP 客户端、快期等 **标准投机平仓逻辑** 一致。
 

modules/ctp/vnpy_bridge.py

@@ -315,6 +315,16 @@ def _is_long_direction(direction_obj: Any) -> bool:
     return "LONG" in s.upper() or "多" in s
 
 
+class _OmsContractAdapter:
+    """VeighNa OffsetConverter 仅需 get_contract，用 MainEngine 适配。"""
+
+    def __init__(self, main_engine: Any) -> None:
+        self._engine = main_engine
+
+    def get_contract(self, vt_symbol: str) -> Any:
+        return self._engine.get_contract(vt_symbol)
+
+
 class CtpBridge:
     def __init__(self) -> None:
         self._engine = None
@@ -347,6 +357,7 @@ class CtpBridge:
         self._last_open_cost_query_ts: float = 0.0
         self._ctp_pos_legs: dict[str, dict[str, Any]] = {}
         self._ctp_pos_leg_query_active = False
+        self._offset_converter: Any = None
         self._margin_hooked = False
         self._trade_hooked = False
         self._trade_query_results: list[dict[str, Any]] = []
@@ -394,6 +405,7 @@ class CtpBridge:
                 from modules.ctp.ctp_trading_state import trading_state
 
                 pos = event.data
+                self._sync_offset_converter_position(pos)
                 row = self._position_row_from_vnpy(pos)
                 if row:
                     sym = row.get("symbol") or ""
@@ -445,6 +457,11 @@ class CtpBridge:
                 from modules.ctp.ctp_trading_state import trading_state
 
                 order = event.data
+                if self._offset_converter:
+                    try:
+                        self._offset_converter.update_order(order)
+                    except Exception as exc:
+                        logger.debug("offset converter order: %s", exc)
                 row = self._order_row_from_vnpy(order)
                 if not row:
                     return
@@ -476,6 +493,11 @@ class CtpBridge:
         def _on_trade(event) -> None:
             try:
                 trade = event.data
+                if self._offset_converter:
+                    try:
+                        self._offset_converter.update_trade(trade)
+                    except Exception as exc:
+                        logger.debug("offset converter trade: %s", exc)
                 row = self._trade_row_from_vnpy(trade)
                 if row and row.get("offset") == "open":
                     sym = row.get("symbol") or ""
@@ -680,6 +702,7 @@ class CtpBridge:
         self._margin_rate_hooked = False
         self._ctp_pos_legs.clear()
         self._ctp_pos_leg_query_active = False
+        self._offset_converter = None
         self._last_position_query_ts = 0.0
         self._last_instruments_ready_ts = 0.0
         try:
@@ -1091,6 +1114,50 @@ class CtpBridge:
         frozen = int(getattr(pos, "frozen", 0) or 0)
         return td, yd, frozen, vol
 
+    def _ensure_offset_converter(self) -> None:
+        if self._offset_converter or not self._engine:
+            return
+        try:
+            from vnpy.trader.converter import OffsetConverter
+        except ImportError:
+            logger.debug("vnpy OffsetConverter unavailable")
+            return
+        self._offset_converter = OffsetConverter(_OmsContractAdapter(self._engine))
+        try:
+            for pos in self._engine_collection_items(self._engine.get_all_positions()):
+                self._sync_offset_converter_position(pos)
+        except Exception as exc:
+            logger.debug("offset converter seed: %s", exc)
+
+    def _patch_position_yd_from_ctp(self, pos: Any) -> None:
+        """用 CTP PositionDate 回报修正 vnpy PositionData.yd_volume，供 OffsetConverter 使用。"""
+        sym = str(getattr(pos, "symbol", "") or "")
+        hold = "long" if _is_long_direction(getattr(pos, "direction", None)) else "short"
+        ctp = self._position_td_yd_from_ctp_legs(sym, hold)
+        if ctp is None:
+            return
+        td, yd, _, vol = ctp
+        try:
+            pos.yd_volume = yd
+            cur_vol = int(getattr(pos, "volume", 0) or 0)
+            if vol > 0 and cur_vol != vol:
+                pos.volume = vol
+        except Exception as exc:
+            logger.debug("patch position yd: %s", exc)
+
+    def _sync_offset_converter_position(self, pos: Any) -> None:
+        self._ensure_offset_converter()
+        if not self._offset_converter or not pos:
+            return
+        try:
+            vol = int(getattr(pos, "volume", 0) or 0)
+            if vol <= 0:
+                return
+            self._patch_position_yd_from_ctp(pos)
+            self._offset_converter.update_position(pos)
+        except Exception as exc:
+            logger.debug("offset converter position: %s", exc)
+
     def _refresh_ctp_position_legs_for_close(
         self, sym: str, hold_direction: str, *, timeout: float = 3.0,
     ) -> bool:
@@ -1108,54 +1175,7 @@ class CtpBridge:
             time.sleep(0.1)
         return False
 
-    def _resolve_close_legs(
+    def _submit_close_orders(
-        self, sym: str, ex_name: str, hold_direction: str, lots: int,
-    ) -> list[tuple[Any, int]]:
-        from vnpy.trader.constant import Offset
-
-        ex_u = (ex_name or "").upper()
-        lots = max(1, int(lots or 1))
-        if ex_u not in ("CZCE", "CFFEX", "SHFE", "INE"):
-            return [(Offset.CLOSE, lots)]
-        hold = (hold_direction or "long").strip().lower()
-        if ex_u in ("SHFE", "INE"):
-            self._refresh_ctp_position_legs_for_close(sym, hold)
-        ctp_legs = self._position_td_yd_from_ctp_legs(sym, hold)
-        td, yd, frozen, vol = self._position_td_yd(sym, ex_name, hold_direction)
-        td_close = max(0, td)
-        yd_close = max(0, yd)
-        if frozen > 0:
-            cut = min(frozen, td_close)
-            td_close -= cut
-            frozen -= cut
-            yd_close = max(0, yd_close - frozen)
-        logger.info(
-            "close legs %s %s hold=%s want=%s td=%s yd=%s frozen=%s source=%s",
-            sym, ex_u, hold, lots, td_close, yd_close, frozen,
-            "ctp_position_date" if ctp_legs is not None else "vnpy_fallback",
-        )
-        legs: list[tuple[Any, int]] = []
-        remain = lots
-        if td_close > 0 and remain > 0:
-            take = min(remain, td_close)
-            legs.append((Offset.CLOSETODAY, take))
-            remain -= take
-        if yd_close > 0 and remain > 0:
-            take = min(remain, yd_close)
-            legs.append((Offset.CLOSEYESTERDAY, take))
-            remain -= take
-        if remain > 0:
-            raise ValueError(
-                f"可平仓位不足：今仓可平{td_close}手、昨仓可平{yd_close}手，"
-                f"需平{lots}手（请检查未成交平仓挂单是否占用仓位）"
-            )
-        return legs if legs else [(Offset.CLOSETODAY, lots)]
-
-    def _resolve_close_offset(self, sym: str, ex_name: str, hold_direction: str, lots: int) -> Any:
-        legs = self._resolve_close_legs(sym, ex_name, hold_direction, lots)
-        return legs[0][0]
-
-    def _send_close_leg(
         self,
         *,
         ths_code: str,
@@ -1163,25 +1183,39 @@ class CtpBridge:
         ex_name: str,
         exchange: Any,
         direction: Any,
+        hold: str,
         lots: int,
-        primary_off: Any,
         order_type: Any,
         price: float,
         tick: float,
         use_market: bool,
     ) -> str:
+        """平仓：VeighNa OffsetConverter 自动拆分平今/平昨（与 CTA 引擎一致）。"""
+        from vnpy.trader.constant import Offset
         from vnpy.trader.object import OrderRequest
 
         lots = max(1, int(lots))
+        ex_u = (ex_name or "").upper()
+        if ex_u in ("SHFE", "INE"):
+            self._refresh_ctp_position_legs_for_close(sym, hold)
+        self._ensure_offset_converter()
+        if self._offset_converter:
+            for pos in self._engine_collection_items(self._engine.get_all_positions()):
+                ps = (getattr(pos, "symbol", "") or "").lower()
+                if ps != sym.lower():
+                    continue
+                pd = "long" if _is_long_direction(getattr(pos, "direction", None)) else "short"
+                if pd == hold:
+                    self._sync_offset_converter_position(pos)
+
         lp = float(price)
         if use_market:
-            lp = self._aggressive_limit_price(
+            lp = self._aggressive_limit_price(ths_code, sym, ex_name, direction, tick, lp)
-                ths_code, sym, ex_name, direction, tick, lp,
-            )
         else:
             lp = round_to_tick(lp, tick)
         if lp <= 0:
             raise ValueError("委托价格无效，请检查行情或手动填写价格")
+
         req = OrderRequest(
             symbol=sym,
             exchange=exchange,
@@ -1189,19 +1223,48 @@ class CtpBridge:
             type=order_type,
             volume=lots,
             price=lp,
-            offset=primary_off,
+            offset=Offset.CLOSE,
         )
-        logger.info(
+        if not self._offset_converter:
-            "CTP 报单 %s %s %s %s手 @%s offset=%s type=%s",
+            raise RuntimeError("VeighNa OffsetConverter 未初始化，无法平仓")
-            sym, ex_name, direction, lots, lp, primary_off, order_type,
+        req_list = self._offset_converter.convert_order_request(req, lock=False, net=False)
-        )
+        if not req_list:
-        with _ctp_td_lock:
+            raise ValueError(
-            vt_orderid = self._engine.send_order(req, GATEWAY_NAME)
+                "可平仓位不足（OffsetConverter 返回空列表，请检查挂单冻结或持仓同步）"
-        if not vt_orderid:
-            raise RuntimeError(
-                "CTP 拒单或未返回委托号（请检查合约代码、价格是否为最小变动价位整数倍）"
             )
-        return str(vt_orderid)
+        logger.info(
+            "OffsetConverter %s %s close %s手 -> %s",
+            sym,
+            hold,
+            lots,
+            [f"{getattr(r.offset, 'value', r.offset)}:{int(r.volume)}" for r in req_list],
+        )
+        last_vt = ""
+        for sub in req_list:
+            sub_price = lp
+            if use_market:
+                sub_price = self._aggressive_limit_price(
+                    ths_code, sym, ex_name, sub.direction, tick, float(price),
+                )
+            else:
+                sub_price = round_to_tick(float(sub.price or lp), tick)
+            sub.price = sub_price
+            logger.info(
+                "CTP 报单 %s %s %s %s手 @%s offset=%s type=%s",
+                sym, ex_name, sub.direction, sub.volume, sub_price, sub.offset, order_type,
+            )
+            with _ctp_td_lock:
+                vt_orderid = self._engine.send_order(sub, GATEWAY_NAME)
+            if not vt_orderid:
+                raise RuntimeError(
+                    "CTP 拒单或未返回委托号（请检查合约代码、价格是否为最小变动价位整数倍）"
+                )
+            last_vt = str(vt_orderid)
+            try:
+                self._offset_converter.update_order_request(sub, last_vt)
+            except Exception as exc:
+                logger.debug("offset converter order req: %s", exc)
+        return last_vt
 
     def _aggressive_limit_price(
         self,
@@ -2481,23 +2544,19 @@ class CtpBridge:
                 price = self._aggressive_limit_price(ths_code, sym, ex_name, d, tick, price)
             if price <= 0:
                 raise ValueError("委托价格无效，请检查行情或手动填写价格")
-            close_legs = self._resolve_close_legs(sym, ex_name, hold, lots)
+            return self._submit_close_orders(
-            last_vt = ""
+                ths_code=ths_code,
-            for off, leg_lots in close_legs:
+                sym=sym,
-                last_vt = self._send_close_leg(
+                ex_name=ex_name,
-                    ths_code=ths_code,
+                exchange=exchange,
-                    sym=sym,
+                direction=d,
-                    ex_name=ex_name,
+                hold=hold,
-                    exchange=exchange,
+                lots=lots,
-                    direction=d,
+                order_type=ot,
-                    lots=leg_lots,
+                price=price,
-                    primary_off=off,
+                tick=tick,
-                    order_type=ot,
+                use_market=use_market,
-                    price=price,
+            )
-                    tick=tick,
-                    use_market=use_market,
-                )
-            return last_vt
         raise ValueError(f"未知开平: {offset}")
 
     def cancel_order(self, vt_orderid: str) -> bool: