fix(trend): reconcile state from actual fills

py-client/strategy/trend/open.py

@@ -77,7 +77,7 @@ def open_signal(run:Runtime, ticks, open_signals) -> None:
 
 def do_open(run: Runtime, code: str, volume: int, signal_key: str, price: float) -> None:
     """生成本地订单号并按最新价提交开仓委托。"""
-    order_id = run.orders.new_order_id("base")
+    order_id = run.orders.new_order_id()
     request = PlaceOrderRequest(
         run.client,
         OP_BUY,
@@ -92,8 +92,6 @@ def do_open(run: Runtime, code: str, volume: int, signal_key: str, price: float)
     run.state.set(StateItem(
         code=code,
         base_order_id=order_id,
-        base_qty=volume,
-        base_cost=round(price, 2),
         base_status=STATUS_ING,
     ))
     run.state.save()

py-client/strategy/trend/positions.py

@@ -13,8 +13,6 @@ from .runtime import Runtime
 from .state import STATUS_ING
 import logging as log
 
-LEG_BASE = "base"
-LEG_ADDED = "add"
 LOSS_TIERS = (-30.0, -50.0)
 
 
@@ -129,7 +127,7 @@ def handle_profit(
     volume = position.can_use_volume - position.can_use_volume % 100
     if volume <= 0:
         return TradeDecision(False, "无可用整手持仓")
-    order_id = runtime.orders.new_order_id(LEG_BASE)
+    order_id = runtime.orders.new_order_id()
     request = PlaceOrderRequest(
         client=runtime.client,
         op=OP_SELL,
@@ -172,7 +170,7 @@ def handle_loss(
     if volume <= 0 or amount > available:
         return TradeDecision(False, "本轮可用资金不足")
 
-    order_id = runtime.orders.new_order_id(LEG_ADDED)
+    order_id = runtime.orders.new_order_id()
     request = PlaceOrderRequest(
         client=runtime.client,
         op=OP_BUY,
@@ -184,11 +182,8 @@ def handle_loss(
     if not runtime.orders.place(request):
         return TradeDecision(False, "补仓委托失败")
 
-    state.added_num += 1
     state.added_status = STATUS_ING
     state.added_order_id = order_id
-    state.added_qty = volume
-    state.added_cost = tick.last_price
     runtime.state.set(state)
     runtime.state.save()
     runtime.add_watch.forget(position.stock_code)

py-client/strategy/trend/state.py

@@ -136,9 +136,9 @@ class State:
 
         for code in list(self.codes):
             item = self.get(code)
-            for order_id_attr, status_attr in (
-                ("base_order_id", "base_status"),
-                ("added_order_id", "added_status"),
+            for order_id_attr, status_attr, qty_attr, cost_attr in (
+                ("base_order_id", "base_status", "base_qty", "base_cost"),
+                ("added_order_id", "added_status", "added_qty", "added_cost"),
             ):
                 local_order_id = getattr(item, order_id_attr)
                 current_status = getattr(item, status_attr)
@@ -150,6 +150,14 @@ class State:
                 if status != current_status:
                     log.info("[状态] %s 订单=%s，状态=%s->%s", code, local_order_id, current_status, status)
                 setattr(item, status_attr, status)
+                if status == STATUS_OK:
+                    quantity, cost = _filled_order(matching_orders)
+                    if quantity > 0:
+                        setattr(item, qty_attr, quantity)
+                    if cost > 0:
+                        setattr(item, cost_attr, cost)
+                    if status_attr == "added_status":
+                        item.added_num += 1
             self.set(item)
 
         # Opening orders normally have no position until their first fill.  Order
@@ -212,3 +220,20 @@ def _order_status(orders: list[OrderItem] | None) -> str:
     if statuses <= BUSY_STATUSES | COMPLETED_STATUSES:
         return STATUS_ING
     return STATUS_NONE
+
+
+def _filled_order(orders: list[OrderItem] | None) -> tuple[int, float]:
+    """汇总已成交订单的实际数量和加权成交价。"""
+    quantity = 0
+    amount = 0.0
+    for order in orders or []:
+        filled = order.traded_volume if order.traded_volume > 0 else order.volume
+        if filled <= 0:
+            continue
+        quantity += filled
+        if order.trade_amount > 0:
+            amount += order.trade_amount
+        elif order.trade_price > 0:
+            amount += order.trade_price * filled
+    cost = round(amount / quantity, 4) if quantity > 0 and amount > 0 else 0.0
+    return quantity, cost