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"