fix: 止盈止损委托校验现价并在平仓后撤余单

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

sl_tp_guard.py

@@ -9,6 +9,8 @@ from typing import Any, Callable, Optional
 from contract_specs import get_contract_spec
 from ctp_symbol import ths_to_vnpy_symbol
 from vnpy_bridge import (
+    ctp_cancel_order,
+    ctp_get_tick_price,
     ctp_list_active_orders,
     ctp_list_positions,
     ctp_status,
@@ -60,6 +62,26 @@ def _price_near(a: float, b: float, tick: float) -> bool:
     return abs(float(a) - float(b)) <= max(tick * 0.501, 1e-9)
 
 
+def _is_resting_exit_price(
+    hold_direction: str,
+    kind: str,
+    exit_price: float,
+    mark: Optional[float],
+    tick: float,
+) -> bool:
+    """限价平仓单是否会挂在盘口（而非立即成交）。"""
+    if mark is None or mark <= 0:
+        return True
+    buf = max(tick * 0.5, 1e-9)
+    if hold_direction == "long":
+        if kind == "sl":
+            return exit_price < mark - buf
+        return exit_price > mark + buf
+    if kind == "sl":
+        return exit_price > mark + buf
+    return exit_price < mark - buf
+
+
 def _find_close_order(
     active_orders: list[dict],
     *,
@@ -114,6 +136,95 @@ def _order_still_active(active_orders: list[dict], vt_order_id: str) -> bool:
     return False
 
 
+def cancel_monitor_exit_orders(
+    conn,
+    mon: dict,
+    *,
+    mode: str,
+) -> int:
+    """撤销该监控对应的止盈止损平仓挂单。"""
+    ensure_monitor_order_columns(conn)
+    if not ctp_status(mode).get("connected"):
+        return 0
+    sym = (mon.get("symbol") or "").strip()
+    direction = (mon.get("direction") or "long").strip().lower()
+    tick = _tick_size(sym)
+    active = ctp_list_active_orders(mode)
+    cancelled = 0
+    seen: set[str] = set()
+
+    def _try_cancel(vt_id: str) -> None:
+        nonlocal cancelled
+        oid = str(vt_id or "").strip()
+        if not oid or oid in seen:
+            return
+        seen.add(oid)
+        if ctp_cancel_order(mode, oid):
+            cancelled += 1
+
+    for kind, price_key in (("sl", "stop_loss"), ("tp", "take_profit")):
+        raw = mon.get(price_key)
+        try:
+            px = float(raw) if raw is not None else None
+        except (TypeError, ValueError):
+            px = None
+        stored = str(mon.get(f"{kind}_vt_order_id") or "")
+        if stored:
+            _try_cancel(stored)
+        if px is not None:
+            found = _find_close_order(
+                active, ths_code=sym, hold_direction=direction, price=px, tick=tick,
+            )
+            if found:
+                _try_cancel(str(found.get("order_id") or ""))
+
+    if cancelled:
+        conn.execute(
+            "UPDATE trade_order_monitors SET sl_vt_order_id=NULL, tp_vt_order_id=NULL WHERE id=?",
+            (mon["id"],),
+        )
+        conn.commit()
+    return cancelled
+
+
+def reconcile_monitors_without_position(conn, mode: str) -> int:
+    """持仓已平时：关闭监控并撤销残留止盈止损挂单。"""
+    if not ctp_status(mode).get("connected"):
+        return 0
+    positions = ctp_list_positions(mode)
+    position_keys: set[tuple[str, str]] = set()
+    for p in positions:
+        if int(p.get("lots") or 0) <= 0:
+            continue
+        sym = (p.get("symbol") or "").lower()
+        direction = p.get("direction") or "long"
+        position_keys.add((sym, direction))
+
+    closed = 0
+    for r in conn.execute("SELECT * FROM trade_order_monitors WHERE status='active'").fetchall():
+        mon = dict(r)
+        ms = mon.get("symbol") or ""
+        md = mon.get("direction") or "long"
+        matched = False
+        for ps, pd in position_keys:
+            if pd != md:
+                continue
+            if _match_symbol(ps, ms):
+                matched = True
+                break
+        if matched:
+            continue
+        try:
+            cancel_monitor_exit_orders(conn, mon, mode=mode)
+        except Exception as exc:
+            logger.warning("cancel exit orders monitor=%s: %s", mon.get("id"), exc)
+        conn.execute("UPDATE trade_order_monitors SET status='closed' WHERE id=?", (mon["id"],))
+        closed += 1
+    if closed:
+        conn.commit()
+    return closed
+
+
 def place_monitor_exit_orders(
     conn,
     mon: dict,
@@ -142,13 +253,20 @@ def place_monitor_exit_orders(
     positions = ctp_list_positions(mode)
     pos = _find_position(positions, sym, direction)
     if not pos:
-        return {"ok": False, "error": "柜台无对应持仓", "placed": []}
+        reconcile_monitors_without_position(conn, mode)
+        return {"ok": False, "error": "柜台无对应持仓（可能已被止盈/止损平掉）", "placed": []}
 
-    lots = int(pos.get("lots") or mon.get("lots") or 1)
+    lots = int(pos.get("lots") or 1)
+    if lots != int(mon.get("lots") or 0):
+        conn.execute("UPDATE trade_order_monitors SET lots=? WHERE id=?", (lots, mon["id"]))
+        conn.commit()
+
+    mark = ctp_get_tick_price(mode, sym)
     active = ctp_list_active_orders(mode)
     tick = _tick_size(sym)
     offset = "close_long" if direction == "long" else "close_short"
     placed: list[str] = []
+    skipped: list[str] = []
     updates: dict[str, Optional[str]] = {}
 
     mid = int(mon.get("id") or 0)
@@ -166,6 +284,14 @@ def place_monitor_exit_orders(
             return
         if mid > 0 and not force and not _can_place_now(mid, kind):
             return
+        if not _is_resting_exit_price(direction, kind, price, mark, tick):
+            hint = f"{'止损' if kind == 'sl' else '止盈'} {price}"
+            if mark:
+                hint += f"（现价 {mark} 会立即成交）"
+            skipped.append(hint)
+            if not force:
+                logger.info("SL/TP skip immediate fill monitor=%s %s mark=%s", mid, kind, mark)
+                return
         try:
             _mark_place_attempt(mid, kind)
             result = execute_order(
@@ -185,11 +311,18 @@ def place_monitor_exit_orders(
         if oid:
             updates[f"{kind}_vt_order_id"] = oid
             placed.append(f"{kind}@{price}")
+        time.sleep(0.3)
+        positions_after = ctp_list_positions(mode)
+        if not _find_position(positions_after, sym, direction):
+            cancel_monitor_exit_orders(conn, mon, mode=mode)
+            reconcile_monitors_without_position(conn, mode)
+            return
 
     sl_id = str(mon.get("sl_vt_order_id") or "")
     tp_id = str(mon.get("tp_vt_order_id") or "")
     _maybe_place("sl", sl_f, sl_id)
-    _maybe_place("tp", tp_f, tp_id)
+    if _find_position(ctp_list_positions(mode), sym, direction):
+        _maybe_place("tp", tp_f, tp_id)
 
     if updates:
         sl_new = updates.get("sl_vt_order_id", mon.get("sl_vt_order_id"))
@@ -200,10 +333,16 @@ def place_monitor_exit_orders(
         )
         conn.commit()
 
-    if not placed and not updates:
+    if not placed and not updates and not skipped:
         return {"ok": True, "message": "无需新委托", "placed": []}
-    msg = "已提交: " + ", ".join(placed) if placed else "委托已在柜台"
-    return {"ok": True, "message": msg, "placed": placed}
+    msg_parts = []
+    if placed:
+        msg_parts.append("已提交: " + ", ".join(placed))
+    elif updates:
+        msg_parts.append("委托已在柜台")
+    if skipped:
+        msg_parts.append("未挂单: " + "; ".join(skipped))
+    return {"ok": True, "message": "；".join(msg_parts), "placed": placed, "skipped": skipped}
 
 
 def monitor_order_status(
@@ -256,6 +395,7 @@ def sync_all_sl_tp_orders(conn, mode: str) -> int:
     ensure_monitor_order_columns(conn)
     if not ctp_status(mode).get("connected"):
         return 0
+    reconcile_monitors_without_position(conn, mode)
     placed_n = 0
     rows = conn.execute(
         "SELECT * FROM trade_order_monitors WHERE status='active'"
@@ -296,6 +436,7 @@ def start_sl_tp_guard_worker(
                     try:
                         if init_tables_fn:
                             init_tables_fn(conn)
+                        reconcile_monitors_without_position(conn, mode)
                         n = sync_all_sl_tp_orders(conn, mode)
                         if n:
                             logger.info("止盈止损守护: 新挂 %d 笔委托", n)