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

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

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