dekun
152 lines
4.4 KiB
Python
152 lines
4.4 KiB
Python
# Copyright (c) 2025-2026 马建军. All rights reserved.
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# 详见 LICENSE.zh-CN.txt
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"""CTP 持仓均价：成交加权 / 柜台持仓价 / 盈亏一致校正。"""
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from __future__ import annotations
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from typing import Any, Optional
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from contract_specs import get_contract_spec
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from ctp_symbol import ths_to_vnpy_symbol
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from symbols import ths_to_codes
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def symbols_match(ctp_sym: str, ths: str) -> bool:
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a = (ctp_sym or "").lower()
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b = (ths or "").lower()
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if a == b:
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return True
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if a and b and a.split(".")[0] == b.split(".")[0]:
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return True
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try:
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vnpy_sym, _ = ths_to_vnpy_symbol(ths)
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if a == vnpy_sym.lower():
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return True
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except Exception:
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pass
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try:
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vnpy_sym, _ = ths_to_vnpy_symbol(ctp_sym)
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if vnpy_sym.lower() == b.split(".")[0]:
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return True
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except Exception:
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pass
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return False
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def _ths_code(sym: str) -> str:
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codes = ths_to_codes(sym) or {}
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return codes.get("ths_code") or sym
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def round_to_tick(price: float, sym: str) -> float:
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tick = float(get_contract_spec(_ths_code(sym)).get("tick_size") or 1.0)
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if tick <= 0:
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return round(price, 2)
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return round(round(price / tick) * tick, 4)
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def entry_from_ctp_pnl(
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ctp: dict[str, Any],
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tick: Optional[float],
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*,
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ths_sym: str = "",
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) -> Optional[float]:
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"""用柜台持仓盈亏 + 现价反推均价（与 SimNow 浮动盈亏一致）。"""
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if not tick or tick <= 0:
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return None
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lots = int(ctp.get("lots") or 0)
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if lots <= 0:
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return None
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pnl = float(ctp.get("pnl") or 0)
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if not pnl:
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return None
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sym = ths_sym or (ctp.get("symbol") or "")
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mult = float(get_contract_spec(_ths_code(sym)).get("mult") or 10)
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if mult <= 0:
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return None
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direction = (ctp.get("direction") or "long").strip().lower()
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if direction == "long":
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derived = tick - pnl / (mult * lots)
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else:
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derived = tick + pnl / (mult * lots)
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if derived <= 0:
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return None
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return round_to_tick(derived, sym)
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def avg_from_trades(
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trades: list[dict[str, Any]],
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sym: str,
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direction: str,
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*,
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expect_lots: int = 0,
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) -> Optional[float]:
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"""按成交回报移动加权均价（滚仓多笔开仓后应与柜台一致）。"""
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direction = (direction or "long").strip().lower()
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vol = 0
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cost = 0.0
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for t in sorted(trades, key=lambda x: (x.get("datetime") or "", x.get("trade_id") or "")):
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if not symbols_match(t.get("symbol") or "", sym):
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continue
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off = (t.get("offset") or "").strip().lower()
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pos_dir = (
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t.get("position_direction") or t.get("direction") or "long"
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).strip().lower()
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if pos_dir != direction:
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continue
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lots = int(t.get("lots") or 0)
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px = float(t.get("price") or 0)
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if lots <= 0 or px <= 0:
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continue
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if off == "open":
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cost += px * lots
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vol += lots
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elif off == "close" and vol > 0:
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avg = cost / vol
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dec = min(lots, vol)
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cost -= avg * dec
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vol -= dec
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if vol <= 0:
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return None
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if expect_lots > 0 and vol != expect_lots:
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return None
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return round_to_tick(cost / vol, sym)
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def resolve_ctp_entry(
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sym: str,
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direction: str,
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ctp: Optional[dict[str, Any]],
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trades: Optional[list[dict[str, Any]]] = None,
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*,
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tick: Optional[float] = None,
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) -> tuple[float, str]:
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"""均价：成交加权 > 盈亏一致校正 > 柜台持仓价。"""
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if not ctp:
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return 0.0, "none"
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direction = (direction or "long").strip().lower()
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lots = int(ctp.get("lots") or 0)
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if trades:
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trade_avg = avg_from_trades(trades, sym, direction, expect_lots=lots)
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if trade_avg and trade_avg > 0:
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return float(trade_avg), "trades"
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pos_avg = float(ctp.get("avg_price") or 0)
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if pos_avg > 0:
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pos_avg = round_to_tick(pos_avg, sym)
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pnl_avg = entry_from_ctp_pnl(ctp, tick, ths_sym=sym)
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tick_sz = float(get_contract_spec(_ths_code(sym)).get("tick_size") or 1.0)
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if pnl_avg and pos_avg > 0:
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if abs(pnl_avg - pos_avg) >= max(tick_sz * 0.5, 0.01):
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return float(pnl_avg), "pnl"
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return pos_avg, "ctp"
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if pos_avg > 0:
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return pos_avg, "ctp"
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if pnl_avg and pnl_avg > 0:
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return float(pnl_avg), "pnl"
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return 0.0, "none"
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