From 262594f16ec84ac23a0a8fd2a8dc7d726d7216e0 Mon Sep 17 00:00:00 2001
From: dev-worker <dev-worker@local>
Date: Tue, 3 Mar 2026 02:53:56 +0000
Subject: [PATCH] =?UTF-8?q?fix:=20entry=5Fprice=E6=94=B9=E7=94=A8=E6=9C=80?=
 =?UTF-8?q?=E6=96=B0=E6=88=90=E4=BA=A4=E4=BB=B7(last=5Ftrade=5Fprice)?=
 =?UTF-8?q?=E8=80=8C=E9=9D=9EVWAP?=
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VWAP是30分钟加权均价，快速行情下与实际价偏差可达1-2%
历史587笔entry_price+596笔pnl_r已用agg_trades真实价修正
平均偏差31.9bps, 最大189.4bps(1.9%)
V5.1: 42.18R→15.32R | V5.2: 29.83R→0.76R
---
 backend/signal_engine.py | 4 +++-
 1 file changed, 3 insertions(+), 1 deletion(-)

diff --git a/backend/signal_engine.py b/backend/signal_engine.py
index 126775f..21e3840 100644
--- a/backend/signal_engine.py
+++ b/backend/signal_engine.py
@@ -291,6 +291,7 @@ class SymbolState:
         self.win_vwap = TradeWindow(WINDOW_VWAP)
         self.atr_calc = ATRCalculator()
         self.last_processed_id = 0
+        self.last_trade_price = 0.0
         self.warmup = True
         self.prev_cvd_fast = 0.0
         self.prev_cvd_fast_slope = 0.0
@@ -312,6 +313,7 @@ class SymbolState:
         self.win_day.trim(now_ms)
         self.win_vwap.trim(now_ms)
         self.last_processed_id = agg_id
+        self.last_trade_price = price  # 最新成交价，用于entry_price
 
     def compute_p95_p99(self) -> tuple:
         if len(self.win_day.trades) < 100:
@@ -346,7 +348,7 @@ class SymbolState:
         atr_pct = self.atr_calc.atr_percentile
         p95, p99 = self.compute_p95_p99()
         self.update_large_trades(now_ms, p99)
-        price = vwap if vwap > 0 else 0
+        price = self.last_trade_price if self.last_trade_price > 0 else vwap  # 用最新成交价，非VWAP
         cvd_fast_slope = cvd_fast - self.prev_cvd_fast
         cvd_fast_accel = cvd_fast_slope - self.prev_cvd_fast_slope
         self.prev_cvd_fast = cvd_fast