dekun
dca773d6be
Correct PosiDirection 2=long/3=short so OpenCost caches under the right key, prefer open_cost over PositionCost for entry and float P/L, and refresh the cache when incomplete. Co-authored-by: Cursor <cursoragent@cursor.com>
119 lines
3.8 KiB
Python
119 lines
3.8 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：优先 CTP OpenCost（柜台开仓均价），其次成交加权。"""
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from __future__ import annotations
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from typing import Any, Callable, Optional
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from modules.core.contract_specs import get_contract_spec
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from modules.ctp.ctp_symbol import ths_to_vnpy_symbol
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from modules.core.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 compute_open_avg_from_trades(
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sym: str,
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direction: str,
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trades: Optional[list[dict[str, Any]]],
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) -> float:
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"""按开仓成交 FIFO 还原剩余持仓的开仓均价。"""
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if not trades:
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return 0.0
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want = (direction or "long").strip().lower()
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open_vol = 0.0
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open_cost = 0.0
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for t in sorted(trades, key=lambda x: x.get("datetime") or ""):
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if (t.get("offset") or "").strip().lower() != "open":
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continue
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pos_dir = (t.get("position_direction") or t.get("direction") or "long").strip().lower()
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if pos_dir != want:
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continue
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if not symbols_match(t.get("symbol") or "", sym):
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continue
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lots = float(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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open_vol += lots
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open_cost += px * lots
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if open_vol <= 0:
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return 0.0
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for t in sorted(trades, key=lambda x: x.get("datetime") or ""):
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if (t.get("offset") or "").strip().lower() != "close":
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continue
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pos_dir = (t.get("position_direction") or t.get("direction") or "long").strip().lower()
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if pos_dir != want:
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continue
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if not symbols_match(t.get("symbol") or "", sym):
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continue
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lots = float(int(t.get("lots") or 0))
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if lots <= 0 or open_vol <= 0:
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continue
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avg = open_cost / open_vol
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dec = min(lots, open_vol)
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open_cost -= avg * dec
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open_vol -= dec
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if open_vol <= 0:
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return 0.0
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return round(open_cost / open_vol, 4)
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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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open_avg_lookup: Optional[Callable[[str, str], float]] = None,
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) -> tuple[float, str]:
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"""均价：OpenCost 缓存 → 成交加权 → vnpy PositionCost。"""
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del tick
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want = (direction or "long").strip().lower()
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if open_avg_lookup:
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cached = float(open_avg_lookup(sym, want) or 0)
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if cached > 0:
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return round_to_tick(cached, sym), "open_cost"
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trade_avg = compute_open_avg_from_trades(sym, want, trades)
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if trade_avg > 0:
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return round_to_tick(trade_avg, sym), "trades"
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if ctp:
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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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return round_to_tick(pos_avg, sym), "position_cost"
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return 0.0, "none"
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