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Resolve position average entry from CTP trades and PnL instead of stale monitor cache.

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Co-authored-by: Cursor <cursoragent@cursor.com>
This commit is contained in:
dekun
2026-06-30 09:59:02 +08:00
parent 2f58159372
commit fb23ee891c
3 changed files with 100 additions and 12 deletions
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install_trading.py
+100 -7
View File
@@ -542,6 +542,85 @@ 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）。"""
if not ctp_status(mode).get("connected"):
return None
try:
trades = sorted(
ctp_list_trades(mode),
key=lambda t: (t.get("datetime") or "", t.get("trade_id") or ""),
)
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):
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_price(
mode: str,
sym: str,
direction: str,
ctp: Optional[dict],
*,
mark: Optional[float] = None,
) -> tuple[float, str]:
"""持仓均价：成交加权 > 柜台浮盈反推 > vnpy 缓存。"""
if not ctp:
return 0.0, "none"
direction = (direction or "long").strip().lower()
lots = int(ctp.get("lots") or 0)
pos_avg = float(ctp.get("avg_price") 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"
pnl = float(ctp.get("pnl") or 0)
if mark and mark > 0 and lots > 0 and pnl != 0:
mult = float(get_contract_spec(sym).get("mult") or 10)
if mult > 0:
if direction == "long":
derived = mark - pnl / (mult * lots)
else:
derived = mark + pnl / (mult * lots)
if derived > 0:
return round(derived, 2), "pnl"
if pos_avg > 0:
return pos_avg, "ctp"
return 0.0, "none"
def _open_commission_from_ctp_trades(
mode: str, sym: str, direction: str,
) -> Optional[float]:
@@ -1082,6 +1161,11 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
mark = ctp_get_tick_price(mode, sym)
if mark is None or mark <= 0:
mark = entry if entry else None
resolved_entry, _src = _resolve_ctp_entry_price(
mode, sym, direction, p, mark=mark,
)
if resolved_entry > 0:
entry = resolved_entry
float_pnl = None
if mark and entry and lots > 0:
float_pnl = calc_position_metrics(
@@ -1183,9 +1267,17 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
ctp_lots = int(ctp.get("lots") or 0)
if ctp_lots > 0:
lots = ctp_lots
ctp_avg = float(ctp.get("avg_price") or 0)
if ctp_avg > 0:
entry = ctp_avg
ths_sym = _ctp_pos_to_ths_code(ctp) or sym
mark_for_entry = mark
if (mark_for_entry is None or float(mark_for_entry or 0) <= 0) and ctp_status(mode).get("connected"):
mark_for_entry = ctp_get_tick_price(mode, ths_sym)
resolved_entry, _entry_src = _resolve_ctp_entry_price(
mode, ths_sym, direction, ctp, mark=mark_for_entry,
)
if resolved_entry > 0:
entry = resolved_entry
elif float(ctp.get("avg_price") or 0) > 0:
entry = float(ctp.get("avg_price") or 0)
ctp_margin = float(ctp.get("margin") or 0)
if (margin is None or float(margin or 0) <= 0) and ctp_margin > 0:
margin = ctp_margin
@@ -1782,12 +1874,14 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
if not ths:
continue
direction = (p.get("direction") or "long").strip().lower()
entry = float(p.get("avg_price") or 0)
if entry <= 0:
continue
mark = ctp_get_tick_price(mode, ths)
if not mark or mark <= 0:
continue
entry, _ = _resolve_ctp_entry_price(
mode, ths, direction, p, mark=mark,
)
if entry <= 0:
continue
mult = float(get_contract_spec(ths).get("mult") or 10)
if direction == "long":
float_pnl = round((mark - entry) * mult * lots, 2)
@@ -1801,7 +1895,6 @@ def install_trading(app, *, login_required, require_nav, get_db, get_setting, se
"position_key": row_key,
"mark_price": mark,
"current_price": mark,
"entry_price": entry,
"float_pnl": float_pnl,
})
return {"ok": True, "quotes": quotes}
static/js/dashboard.js
-3
View File
@@ -832,15 +832,12 @@
if (isPhoneLayout() && posMobileCache[key]) {
var cached = posMobileCache[key];
if (q.mark_price != null) cached.current_price = q.mark_price;
if (q.entry_price != null) cached.entry_price = q.entry_price;
if (q.float_pnl != null) cached.float_pnl = q.float_pnl;
}
var row = findPosRow(key);
if (!row) return;
var entryEl = row.querySelector('.dash-p-entry');
var markEl = row.querySelector('.dash-p-mark');
var pnlEl = row.querySelector('.dash-p-pnl');
if (entryEl && q.entry_price != null) entryEl.textContent = fmtNum(q.entry_price);
if (markEl && q.mark_price != null) markEl.textContent = fmtNum(q.mark_price);
if (pnlEl && q.float_pnl != null) {
pnlEl.textContent = fmtPnl(q.float_pnl);
static/js/trade.js
-2
View File
@@ -216,11 +216,9 @@
data.quotes.forEach(function (q) {
var card = findPosCardByKey(q.key || q.position_key);
if (!card) return;
var entryEl = card.querySelector('.pos-q-entry');
var markEl = card.querySelector('.pos-q-mark');
var pnlEl = card.querySelector('.pos-q-pnl');
var pnlWrap = card.querySelector('.pos-q-pnl-wrap');
if (entryEl && q.entry_price != null) entryEl.textContent = fmtNum(q.entry_price);
if (markEl && q.mark_price != null) markEl.textContent = fmtNum(q.mark_price);
if (pnlEl && q.float_pnl != null) {
var pnl = q.float_pnl;