Fix roll average entry: CTP trade-weighted avg, sync after fill, live entry for preview.

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

ctp_entry_price.py

@@ -0,0 +1,91 @@
+# Copyright (c) 2025-2026 马建军. All rights reserved.
+# 详见 LICENSE.zh-CN.txt
+
+"""CTP 持仓均价：成交加权 / 柜台持仓价（滚仓加仓后以柜台为准）。"""
+from __future__ import annotations
+
+from typing import Any, Optional
+
+from ctp_symbol import ths_to_vnpy_symbol
+
+
+def symbols_match(ctp_sym: str, ths: str) -> bool:
+    a = (ctp_sym or "").lower()
+    b = (ths or "").lower()
+    if a == b:
+        return True
+    if a and b and a.split(".")[0] == b.split(".")[0]:
+        return True
+    try:
+        vnpy_sym, _ = ths_to_vnpy_symbol(ths)
+        if a == vnpy_sym.lower():
+            return True
+    except Exception:
+        pass
+    try:
+        vnpy_sym, _ = ths_to_vnpy_symbol(ctp_sym)
+        if vnpy_sym.lower() == b.split(".")[0]:
+            return True
+    except Exception:
+        pass
+    return False
+
+
+def avg_from_trades(
+    trades: list[dict[str, Any]],
+    sym: str,
+    direction: str,
+    *,
+    expect_lots: int = 0,
+) -> Optional[float]:
+    """按成交回报移动加权均价（滚仓多笔开仓后应与柜台一致）。"""
+    direction = (direction or "long").strip().lower()
+    vol = 0
+    cost = 0.0
+    for t in sorted(trades, key=lambda x: (x.get("datetime") or "", x.get("trade_id") or "")):
+        if not symbols_match(t.get("symbol") or "", sym):
+            continue
+        off = (t.get("offset") or "").strip().lower()
+        pos_dir = (
+            t.get("position_direction") or t.get("direction") or "long"
+        ).strip().lower()
+        if pos_dir != direction:
+            continue
+        lots = int(t.get("lots") or 0)
+        px = float(t.get("price") or 0)
+        if lots <= 0 or px <= 0:
+            continue
+        if off == "open":
+            cost += px * lots
+            vol += lots
+        elif off == "close" and vol > 0:
+            avg = cost / vol
+            dec = min(lots, vol)
+            cost -= avg * dec
+            vol -= dec
+    if vol <= 0:
+        return None
+    if expect_lots > 0 and vol != expect_lots:
+        return None
+    return round(cost / vol, 4)
+
+
+def resolve_ctp_entry(
+    sym: str,
+    direction: str,
+    ctp: Optional[dict[str, Any]],
+    trades: Optional[list[dict[str, Any]]] = None,
+) -> tuple[float, str]:
+    """均价：成交加权 > 柜台 PositionCost 持仓价。"""
+    if not ctp:
+        return 0.0, "none"
+    direction = (direction or "long").strip().lower()
+    lots = int(ctp.get("lots") or 0)
+    if trades:
+        trade_avg = avg_from_trades(trades, sym, direction, expect_lots=lots)
+        if trade_avg and trade_avg > 0:
+            return float(trade_avg), "trades"
+    pos_avg = float(ctp.get("avg_price") or 0)
+    if pos_avg > 0:
+        return pos_avg, "ctp"
+    return 0.0, "none"

ctp_trading_state.py

@@ -12,6 +12,9 @@ from typing import Any, Callable, Optional
 
 logger = logging.getLogger(__name__)
 
+CALIBRATE_INTERVAL_SEC = 30.0
+
+
 def position_key(exchange: str, symbol: str, direction: str) -> str:
     """统一持仓键：exchange|symbol|direction"""
     ex = (exchange or "").strip().upper()
@@ -72,16 +75,24 @@ def reconcile_position_avg(
     old: Optional[dict[str, Any]],
     new: dict[str, Any],
     tick: Optional[float],
+    *,
+    trades: Optional[list[dict[str, Any]]] = None,
+    ths_sym: str = "",
 ) -> dict[str, Any]:
-    """手数不变时锁定均价；新开/加仓时用柜台盈亏快照校正一次。"""
+    """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
+
     row = dict(new)
     lots = int(row.get("lots") or 0)
     if lots <= 0:
         return row
+    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
+
     if (
-        old
-        and old_lots == lots
+        not lots_changed
+        and old
         and old.get("avg_price_locked")
         and float(old.get("avg_price") or 0) > 0
     ):
@@ -89,14 +100,24 @@ def reconcile_position_avg(
         row["avg_price_locked"] = True
         return row
 
-    refined = avg_price_from_ctp_pnl(row, tick)
-    pos_avg = float(row.get("avg_price") or 0)
-    if refined and refined > 0:
-        row["avg_price"] = refined
+    sym = ths_sym or (row.get("symbol") or "")
+    entry, _src = resolve_ctp_entry(sym, direction, row, trades)
+    if entry > 0:
+        row["avg_price"] = entry
         row["avg_price_locked"] = True
-    elif pos_avg > 0:
+        return row
+
+    pos_avg = float(row.get("avg_price") or 0)
+    if pos_avg > 0:
         row["avg_price"] = pos_avg
-        row["avg_price_locked"] = bool(tick and refined)
+        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
 
 
@@ -203,7 +224,14 @@ class CtpTradingState:
                 changed = True
         return changed
 
-    def upsert_position(self, row: dict[str, Any], *, notify: bool = True) -> None:
+    def upsert_position(
+        self,
+        row: dict[str, Any],
+        *,
+        notify: bool = True,
+        trades: Optional[list[dict[str, Any]]] = None,
+        ths_sym: str = "",
+    ) -> None:
         lots = int(row.get("lots") or 0)
         ex = row.get("exchange") or ""
         sym = row.get("symbol") or ""
@@ -215,7 +243,9 @@ class CtpTradingState:
                 self._positions.pop(pk, None)
             else:
                 old = self._positions.get(pk)
-                row = reconcile_position_avg(old, dict(row), tick)
+                row = reconcile_position_avg(
+                    old, dict(row), tick, trades=trades, ths_sym=ths_sym or sym,
+                )
                 row["position_key"] = pk
                 self._positions[pk] = row
         if notify:
@@ -262,6 +292,9 @@ class CtpTradingState:
         self,
         orders: list[dict[str, Any]],
         positions: list[dict[str, Any]],
+        *,
+        trades: Optional[list[dict[str, Any]]] = None,
+        ths_for_vnpy_sym: Optional[Callable[[str, str], str]] = None,
     ) -> None:
         """全量校准：以 vnpy 内存为准重建订单/持仓簿。"""
         self.begin_sync()
@@ -283,7 +316,15 @@ class CtpTradingState:
             row["position_key"] = pk
             old = self._positions.get(pk)
             tick = self.get_tick_price(ex, sym)
-            new_positions[pk] = reconcile_position_avg(old, row, tick)
+            ths = sym
+            if ths_for_vnpy_sym:
+                try:
+                    ths = ths_for_vnpy_sym(sym, ex) or sym
+                except Exception:
+                    ths = sym
+            new_positions[pk] = reconcile_position_avg(
+                old, row, tick, trades=trades, ths_sym=ths,
+            )
         with self._lock:
             self._orders = new_orders
             self._positions = new_positions

install_trading.py

@@ -120,6 +120,7 @@ from trading_context import (
     is_ctp_connected,
     trading_mode_label,
 )
+from ctp_entry_price import resolve_ctp_entry
 from ctp_symbol import ths_to_vnpy_symbol
 from ctp_trading_state import position_key, trading_state
 from vnpy_bridge import (
@@ -542,48 +543,31 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
             pass
         return False
 
-    def _ctp_avg_entry_from_trades(
-        mode: str, sym: str, direction: str, *, expect_lots: int = 0,
-    ) -> Optional[float]:
-        """按成交回报加权计算持仓均价（与柜台一致）。"""
+    def _live_entry_price(
+        sym: str,
+        direction: str,
+        mode: str,
+        fallback: float = 0.0,
+    ) -> float:
+        """滚仓/展示用均价：优先柜台成交加权与持仓价。"""
         if not ctp_status(mode).get("connected"):
-            return None
+            return fallback
+        trades: list = []
         try:
-            trades = sorted(
-                ctp_list_trades(mode),
-                key=lambda t: (t.get("datetime") or "", t.get("trade_id") or ""),
-            )
+            trades = ctp_list_trades(mode)
         except Exception:
-            return None
-        direction = (direction or "long").strip().lower()
-        vol = 0
-        cost = 0.0
-        for t in trades:
-            if not _match_ctp_symbol(t.get("symbol") or "", sym):
+            pass
+        for p in trading_state.get_positions() or _ctp_positions(
+            mode, refresh_if_empty=False,
+        ):
+            if (p.get("direction") or "long") != (direction or "long"):
                 continue
-            off = (t.get("offset") or "").strip().lower()
-            pos_dir = (
-                t.get("position_direction") or t.get("direction") or "long"
-            ).strip().lower()
-            if pos_dir != direction:
+            if not _match_ctp_symbol(p.get("symbol") or "", sym):
                 continue
-            lots = int(t.get("lots") or 0)
-            px = float(t.get("price") or 0)
-            if lots <= 0 or px <= 0:
-                continue
-            if off == "open":
-                cost += px * lots
-                vol += lots
-            elif off == "close" and vol > 0:
-                avg = cost / vol
-                dec = min(lots, vol)
-                cost -= avg * dec
-                vol -= dec
-        if vol <= 0:
-            return None
-        if expect_lots > 0 and vol != expect_lots:
-            return None
-        return round(cost / vol, 4)
+            entry, _ = resolve_ctp_entry(sym, direction, p, trades)
+            if entry > 0:
+                return float(entry)
+        return fallback
 
     def _resolve_ctp_entry_price(
         mode: str,
@@ -591,22 +575,15 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         direction: str,
         ctp: Optional[dict],
     ) -> tuple[float, str]:
-        """持仓均价：成交加权 > 柜台持仓价（锁定后不随 tick 变化）。"""
         if not ctp:
             return 0.0, "none"
-        direction = (direction or "long").strip().lower()
-        lots = int(ctp.get("lots") or 0)
-
-        trade_avg = _ctp_avg_entry_from_trades(
-            mode, sym, direction, expect_lots=lots,
-        )
-        if trade_avg and trade_avg > 0:
-            return float(trade_avg), "trades"
-
-        pos_avg = float(ctp.get("avg_price") or 0)
-        if pos_avg > 0:
-            return pos_avg, "ctp"
-        return 0.0, "none"
+        trades: list = []
+        if ctp_status(mode).get("connected"):
+            try:
+                trades = ctp_list_trades(mode)
+            except Exception:
+                pass
+        return resolve_ctp_entry(sym, direction, ctp, trades)
 
     def _open_commission_from_ctp_trades(
         mode: str, sym: str, direction: str,
@@ -3172,6 +3149,9 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         spec = get_contract_spec(sym)
         capital = _capital(conn)
         mark = _roll_mark_price(sym, mon, mode)
+        entry_existing = _live_entry_price(
+            sym, mon["direction"], mode, float(mon.get("entry_price") or 0),
+        )
         add_mode = (d.get("add_mode") or ADD_MODE_MARKET).strip().lower()
         if add_mode in FIB_MODES:
             return None, "斐波加仓已停用，请选市价或突破"
@@ -3183,7 +3163,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
             direction=mon["direction"],
             symbol=sym,
             qty_existing=float(mon["lots"]),
-            entry_existing=float(mon["entry_price"]),
+            entry_existing=entry_existing,
             initial_take_profit=float(mon["take_profit"] or 0),
             add_mode=add_mode,
             new_stop_loss=float(d.get("new_stop_loss") or 0),
@@ -3283,8 +3263,44 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
             f"滚仓成交 {sym} {add_mode_label(add_mode)} +{preview['add_lots']}手 "
             f"新止损 {new_sl} 合计 {new_lots}手"
         )
+        _schedule_roll_entry_sync(mon_id, sym, mon["direction"], mode)
         return True, "成交"
 
+    def _schedule_roll_entry_sync(
+        mon_id: int, sym: str, direction: str, mode: str,
+    ) -> None:
+        """滚仓成交后从柜台同步加权均价到手数监控。"""
+        def _run() -> None:
+            import time as _time
+
+            _time.sleep(1.5)
+            try:
+                conn = get_db()
+                try:
+                    init_strategy_tables(conn)
+                    capital = _capital(conn)
+                    synced = False
+                    for p in trading_state.get_positions() or _ctp_positions(mode):
+                        if (p.get("direction") or "long") != (direction or "long"):
+                            continue
+                        if not _match_ctp_symbol(p.get("symbol") or "", sym):
+                            continue
+                        _sync_monitor_from_ctp(
+                            conn, mon_id, sym, direction, mode, ctp=p, capital=capital,
+                        )
+                        synced = True
+                        break
+                    if synced:
+                        commit_retry(conn)
+                finally:
+                    conn.close()
+                if synced:
+                    _push_position_snapshot_async(fast=False)
+            except Exception as exc:
+                logger.debug("roll entry sync: %s", exc)
+
+        threading.Thread(target=_run, daemon=True, name="roll-entry-sync").start()
+
     def _submit_roll_pending(
         conn,
         *,
@@ -3358,6 +3374,7 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
                 fill_roll_leg_fn=_fill_roll_leg_cb,
                 is_trading_session_fn=is_trading_session,
                 get_risk_budget_fn=lambda: get_fixed_amount(get_setting),
+                get_entry_price_fn=lambda sym, d, fb: _live_entry_price(sym, d, mode, fb),
             )
             conn.commit()
         finally:
@@ -3380,7 +3397,9 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
         direction = (mon.get("direction") or "long").strip().lower()
         price = float(preview.get("add_price") or 0)
         qty_existing = float(mon.get("lots") or 0)
-        entry_existing = float(mon.get("entry_price") or 0)
+        entry_existing = _live_entry_price(
+            sym, direction, mode, float(mon.get("entry_price") or 0),
+        )
         mult = int(get_contract_spec(sym).get("mult") or 1)
         roll_pct = get_roll_max_margin_pct(get_setting)
         add_lots = int(preview.get("add_lots") or 0)

strategy/strategy_roll_monitor_lib.py

@@ -71,6 +71,7 @@ def check_roll_monitors(
     fill_roll_leg_fn: Callable[[dict, dict, dict, dict], tuple[bool, str]],
     is_trading_session_fn: Callable[[], bool],
     get_risk_budget_fn: Callable[[], float],
+    get_entry_price_fn: Optional[Callable[[str, str, float], float]] = None,
 ) -> None:
     """扫描 pending 滚仓腿，标记价穿越则重算手数并市价成交。"""
     if not is_trading_session_fn():
@@ -114,6 +115,12 @@ def check_roll_monitors(
             "entry_price": leg["mon_entry"],
             "take_profit": leg["mon_tp"] or leg["initial_take_profit"],
         }
+        entry_fb = float(leg["mon_entry"] or 0)
+        entry_existing = (
+            get_entry_price_fn(sym, direction, entry_fb)
+            if get_entry_price_fn
+            else entry_fb
+        )
         grp = {
             "id": leg["roll_group_id"],
             "order_monitor_id": leg["order_monitor_id"],
@@ -124,7 +131,7 @@ def check_roll_monitors(
             direction=direction,
             symbol=sym,
             qty_existing=float(leg["mon_lots"] or 0),
-            entry_existing=float(leg["mon_entry"] or 0),
+            entry_existing=entry_existing,
             initial_take_profit=float(leg["mon_tp"] or leg["initial_take_profit"] or 0),
             add_mode=mode,
             new_stop_loss=float(leg["new_stop_loss"] or 0),

vnpy_bridge.py

@@ -326,7 +326,14 @@ class CtpBridge:
                 pos = event.data
                 row = self._position_row_from_vnpy(pos)
                 if row:
-                    trading_state.upsert_position(row, notify=False)
+                    sym = row.get("symbol") or ""
+                    ex = row.get("exchange") or ""
+                    ths = CtpBridge._vnpy_sym_to_ths(sym, ex) or sym
+                    with _ctp_td_lock:
+                        trades = self.list_trades()
+                    trading_state.upsert_position(
+                        row, notify=False, trades=trades, ths_sym=ths,
+                    )
                 sym = getattr(pos, "symbol", "") or ""
                 d = "long" if _is_long_direction(getattr(pos, "direction", None)) else "short"
                 vol = int(getattr(pos, "volume", 0) or 0)
@@ -482,7 +489,13 @@ class CtpBridge:
             with _ctp_td_lock:
                 orders = self.list_active_orders()
                 positions = self._collect_positions()
-            trading_state.calibrate_from_lists(orders, positions)
+                trades = self.list_trades()
+            trading_state.calibrate_from_lists(
+                orders,
+                positions,
+                trades=trades,
+                ths_for_vnpy_sym=lambda s, e: CtpBridge._vnpy_sym_to_ths(s, e) or s,
+            )
         except Exception as exc:
             logger.debug("calibrate trading state: %s", exc)