fix(trend): reconcile state from actual fills

docs/bug.md

@@ -1,16 +0,0 @@
-
-
-### H3. 撤单、拒单、废单和部分成交不能驱动状态机正确收敛
-
-- 位置：`strategy/trend/state.py:142-162`、`strategy/trend/order.py:14-17,61-92`
-- 证据：状态对账只把“匹配订单全部为状态 56”视为完成，其余均保持 `ING`；订单被过滤或消失时，已有持仓的补仓状态不会变为失败或撤销。文件中虽然定义了 `FAILED`、`CANCELED`、`UNKNOWN`，但没有完整迁移逻辑。
-- 影响：失败的补仓仍会消耗 `added_num`，状态可能永久停留在处理中，重启后也无法可靠恢复。
-- 建议：建立完整 QMT 委托状态映射，按实际成交数量处理全成、部成、已撤、废单、拒单和未知；消失订单需二次查询确认。
-
-
-### M6. 策略成本使用提交时行情价，而非实际成交价
-
-- 位置：`strategy/trend/open.py:80-86`、`strategy/trend/positions.py:186-192`
-- 证据：底仓和补仓在订单刚提交成功时就把 tick 价格写为成本，没有根据成交回报更新实际成交数量与均价。
-- 影响：滑点、部分成交或拆单时，后续盈亏率、止盈网格和补仓层级基于不准确成本。
-- 建议：提交阶段只记录订单标识；订单完成对账后从成交或真实持仓均价更新成本和数量。

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 (
+            for order_id_attr, status_attr, qty_attr, cost_attr in (
-                ("base_order_id", "base_status"),
+                ("base_order_id", "base_status", "base_qty", "base_cost"),
-                ("added_order_id", "added_status"),
+                ("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

py-client/tests/test_trend.py

@@ -44,9 +44,9 @@ class FailedOrderClient:
 
 class TrendTests(unittest.TestCase):
     def test_trend_order_id_format(self):
-        self.assertRegex(OrderBook.new_order_id("base"), r"^trend-[0-9a-f]{8}$")
+        self.assertRegex(OrderBook.new_order_id(), r"^trend-[0-9a-f]{24}$")
 
-    def test_open_records_base_order_and_rounded_cost(self):
+    def test_open_records_only_pending_order(self):
         with TemporaryDirectory() as directory:
             state = State.for_strategy(directory, "trend", "A")
             forgotten = []
@@ -60,9 +60,9 @@ class TrendTests(unittest.TestCase):
             do_open(runtime, "000001.SZ", 100, "morning", 12.345)
 
             item = state.get("000001.SZ")
-            self.assertRegex(item.base_order_id, r"^trend-[0-9a-f]{8}$")
+            self.assertRegex(item.base_order_id, r"^trend-[0-9a-f]{24}$")
-            self.assertEqual(item.base_qty, 100)
+            self.assertEqual(item.base_qty, 0)
-            self.assertEqual(item.base_cost, 12.35)
+            self.assertEqual(item.base_cost, 0)
             self.assertEqual(item.base_status, "ING")
             self.assertEqual(forgotten, ["000001.SZ"])
 
@@ -226,7 +226,10 @@ class TrendTests(unittest.TestCase):
             state = State.for_strategy(directory, "trend", "A")
             position = PositionItem(stock_code="A", volume=100, open_price=10)
             state.set(StateItem("A", base_order_id="local-1", base_status="ING"))
-            completed = OrderItem("1", "A", "BUY", "", "56", None, 50, "local-1")
+            completed = OrderItem(
+                "1", "A", "BUY", "", "56", None, 50, "local-1",
+                traded_volume=50, trade_price=10.1,
+            )
             processing = OrderItem("2", "A", "BUY", "", "50", None, 50, "local-1")
 
             state.reconcile([position], [completed, processing])
@@ -234,9 +237,18 @@ class TrendTests(unittest.TestCase):
 
             state.reconcile(
                 [position],
-                [completed, OrderItem("2", "A", "BUY", "", "56", None, 50, "local-1")],
+                [
+                    completed,
+                    OrderItem(
+                        "2", "A", "BUY", "", "56", None, 50, "local-1",
+                        traded_volume=50, trade_price=10.3,
+                    ),
+                ],
             )
-            self.assertEqual(state.get("A").base_status, STATUS_OK)
+            item = state.get("A")
+            self.assertEqual(item.base_status, STATUS_OK)
+            self.assertEqual(item.base_qty, 100)
+            self.assertEqual(item.base_cost, 10.2)
 
             canceled = OrderItem("2", "A", "BUY", "", "54", None, 50, "local-1")
             item = state.get("A")
@@ -245,6 +257,31 @@ class TrendTests(unittest.TestCase):
             state.reconcile([position], [completed, canceled])
             self.assertEqual(state.get("A").base_status, "")
 
+    def test_reconcile_records_filled_add_order(self):
+        with TemporaryDirectory() as directory:
+            state = State.for_strategy(directory, "trend", "A")
+            position = PositionItem(stock_code="A", volume=200, open_price=10)
+            state.set(StateItem(
+                "A",
+                base_qty=100,
+                base_cost=10,
+                base_status=STATUS_OK,
+                added_order_id="add-1",
+                added_status="ING",
+            ))
+            completed = OrderItem(
+                "1", "A", "BUY", "", "56", None, 100, "add-1",
+                traded_volume=100, trade_amount=950,
+            )
+
+            state.reconcile([position], [completed])
+
+            item = state.get("A")
+            self.assertEqual(item.added_status, STATUS_OK)
+            self.assertEqual(item.added_num, 1)
+            self.assertEqual(item.added_qty, 100)
+            self.assertEqual(item.added_cost, 9.5)
+
     def test_low_cash_still_runs_position_management(self):
         client = SimpleNamespace(
             portfolio=lambda: Portfolio(