feat(web): 对账中心上线——恒等式B5只读端点+前端恒等式区块,双轨对账页升级为对账中心(issue#42-A) [nas]

- API: GET /paper/reconcile/identity?date&refresh——缺省读 supervisor 15:10/23:27
  已存 identity_reconcile 行,无存行现算并落库(与 build/save 同套幂等);
  路由置于 /paper/{aid} 前,与既有 reconcile 端点同组
- 前端: Reconcile.vue 顶部新增恒等式卡片(账户级红绿/未归因±/占比vs容忍0.5%/
  可展开逐票缺口+实例市值拆分),页面与菜单更名为「对账中心」;
  api/paper.ts 补 IdentityReport 类型族
- 测试: 绿线(50/10050=0.497%pass)+存行复用+refresh强制重算(200=1.96%红)+
  snapshot_missing 如实标注,12/12 绿
- 附: docs/session_prompts/ 两份 session 移交提示词入库(fundamentals 18min→
  数据session / 统一ex定寸→策略session,用户08-26拍板)

docs/session_prompts/2026-08-26-数据session-smallcap-fundamentals-18min.md

@@ -0,0 +1,45 @@
+# 移交：策略 session（small_cap 选股 fundamentals 步骤 18 分钟瓶颈——08-26 巡检新发现）
+
+## 现象（VPS 实测，live_20.log 三日对照）
+
+| 日期 | 候选池 | 选股2/3 fundamentals | 下单时刻 |
+|------|--------|---------------------|---------|
+| 08-24 | 30 只（max_pool bug 日） | 13.6s | 09:30:14 |
+| 08-25 | 3226 只 | 335.1s | 09:35:40 |
+| 08-26 | 3226 只 | **1081.4s (18分钟)** | 09:48:04 |
+
+- 09:30:00 任务启动 → 09:48 才下单，`[delay=+1084s]`，开盘 18 分钟敞口
+- 每日 `download_financial_data 超时 120s (3226 只),跳过读缓存` 必现
+- shadow_61（影子侧同代码）同步 09:48 —— 双轨一致，纯属共同慢
+
+## 根因（已定位，无需再查）
+
+`get_fundamentals_df(3226只)`（sanguo_portfolio/providers/sanguo_fundamentals.py:460-470）：
+1. `xt.download_financial_data(3226)` 卡满 120s 超时被弃（daemon 线程仍在后台抢 miniQMT 数据目录）
+2. `xt.get_financial_data(3226)` 逐股读本地缓存 ≈0.3s/股 —— 3226×0.3 ≈ 16min 主体
+3. 08-25→08-26 从 335s 恶化到 1081s：疑与残留 download 线程争锁 + 开盘 miniQMT 客户端负载有关
+
+## 关键事实：策略实际只用 2 个字段
+
+`small_cap_ex.py` 选股2/3 全部消费 = **eps 过滤 + market_cap 升序排序取 top100**（:233-247）。
+而 **market_cap 已有本地 unified 估值 parquet 批量覆盖**（`_apply_local_market_caps`，:489，秒级、全池同口径）——08-24 P0 就是为绕开盘 Capital 下载加的。
+
+## 建议方向（你们拍板）
+
+**先用本地 parquet 按 market_cap 全池升序 → 截 bottom ~300 → 只对这 300 只走 xt fundamentals（eps 过滤）→ 再取 top100**。
+- xt 查询量 3226→300，18min→~2min 内
+- 语义差异仅当 bottom300 中 >200 只 eps≤0 才可见（实际市场几乎不可能）；如要保守可截 500
+- 动量评分(选股3/3)已经很快（2.8s）不用动
+- 备选：问数据 session unified parquet 有没有 eps/roe 列，有则整步全本地化
+
+## 测试与验收
+
+- 测试：bottom-N 截断后选股结果与全池版对齐（同一历史日 top100 集合 diff 应为空或个位数且可解释）
+- 验收：明早 live_20 选股2/3 <180s，下单回到 09:3x
+- commit 打 [vps]，随下次同车上 VPS（当前 gap 里已有 919fa50 迟到成交根因修在等车）
+
+## 环境事实
+
+- 昨日引擎 16s 同步等待弃跟踪导致迟到成交漏账（-18060）由前后端 session 今晚修账止血，你们已交的 919fa50（live_reconcile a+b）是根因修——两者不冲突
+- VPS 只读探针模板：`ssh 49.232.102.198 'C:\Python310\python.exe -X utf8 -' < script.py`
+- 另请顺手确认：all_weather_ex（live#17）自 08-19 创建起零成交、常驻 500k 现金空仓——是择时门关着的预期行为还是配置问题？（非今日回归，不急）

docs/session_prompts/2026-08-26-策略session-统一ex定寸口径.md

@@ -0,0 +1,35 @@
+# 移交：策略 session（定寸口径统一 _ex——用户 08-26 拍板「都要统一ex的」）
+
+## 拍板内容
+
+用户 08-26 拍板：**回测与实盘定寸口径全部统一到 _ex 语义**（per_value = 总资产/N，即 JQ 原版 `stock_value/len` 语义）。
+
+## 现状（已核实）
+
+| 文件 | 现口径 | 位置 |
+|------|--------|------|
+| momentum_timing.py | `cash = _available_cash(context); per_value = cash/target_num` | :229-232 |
+| value_selection.py | 同上 | :200-203 |
+| small_cap.py | 同上 | :385-388 |
+| all_weather.py | `cash = _available_cash(context)/n_pick`（两处） | :204, :273 |
+
+- _ex 副本（841ea15 已上 VPS）已全部用 `_total_value`；helper 就在 `all_weather.py:587`（`_total_value(context)`，portfolio.total_value 优先，回退 cash+Σ持仓）
+- 聚宽原版语义本来就是 stock_value/len（总资产口径）——统一同时对齐 JQ 原版
+- 前端无需动：PortfolioBacktest.vue `max_pool` 默认已是 0（=全市场不限，与实盘 env 一致；记忆里「默认30」已过时）
+
+## 要做的
+
+1. 四个原版策略的 per_value 换 `_total_value`（带 _ex 同款 `total<=0` 守卫）；all_weather 两处同改
+2. **顺手带上低优尾巴**：value_selection 选股 `set` → `sorted`（顺序确定化，你们 08-15 就记了待办）
+3. 测试锚点可镜像 `tests/portfolio/test_sizing_total_value.py`（stale_cash=1000 vs total=10500 那组）
+4. 注意：改完**历史回测结果会变**（这正是目的——回测↔实盘对齐）；如果有对照基线需求跑一次前后对比留档
+
+## 验收
+
+- 回测侧同参数下原版与 _ex 副本选股+定寸一致（TET 副本对照天然就是验收）
+- commit 打 [vps]，随下次同车
+
+## 环境事实
+
+- VPS tag=vps-deployed@919fa50（08-26 19:50 推，含你们的 live_reconcile 根因修——**明天 15:05 EOD 对账首次实跑**，15:10 恒等式观察 #38 第 1 绿日）
+- 08-26 恒等式已修账至 0.000%（当日买侧 4 笔迟到漏记也手动补齐，002159/002576/002633/002862 共 700 股）——此后同类由 live_reconcile 自动兜

frontend/src/api/paper.ts

@@ -222,3 +222,41 @@ export async function getReconcilePairs(date?: string): Promise<ReconcilePair[]>
     '/paper/reconcile', { params: date ? { date } : {} })
   return data.pairs
 }
+
+// ===== 账户恒等式(B5):全账户市值 = Σ实例账本市值 + 未归因(容忍 ≤0.5%) =====
+
+export interface IdentityUnattrPosition {
+  symbol: string
+  snapshot_volume: number
+  instance_volume: number
+  diff: number
+}
+
+export interface ReconcileIdentityRow {
+  account: string
+  date: string
+  status: string // pass | unattributed_over_tol | snapshot_missing | no_instances
+  snapshot_mv: number | null
+  instance_mv_total: number
+  unattributed_mv: number | null
+  unattributed_pct: number | null
+  tolerance_pct: number
+  instances: { id: number; name: string; mv: number }[]
+  unattributed_positions: IdentityUnattrPosition[]
+}
+
+export interface ReconcileIdentityReport {
+  date: string
+  rows: ReconcileIdentityRow[]
+  identity_passed: boolean
+}
+
+export async function getReconcileIdentity(
+  date?: string,
+  refresh = false,
+): Promise<ReconcileIdentityReport> {
+  const { data } = await apiClient.get<ReconcileIdentityReport>(
+    '/paper/reconcile/identity',
+    { params: { ...(date ? { date } : {}), ...(refresh ? { refresh: true } : {}) } })
+  return data
+}

frontend/src/views/Layout.vue

@@ -37,7 +37,7 @@ const PAGE_TITLE: Array<{ match: RegExp; group: string; title: string }> = [
   { match: /^\/paper\/new$/, group: '模拟盘', title: '新建模拟盘' },
   { match: /^\/paper\/result\//, group: '模拟盘', title: '模拟盘结果' },
   { match: /^\/paper\/live\//, group: '模拟盘', title: '实走监控' },
-  { match: /^\/paper\/reconcile/, group: '模拟盘', title: '双轨对账' },
+  { match: /^\/paper\/reconcile/, group: '模拟盘', title: '对账中心' },
   { match: /^\/paper$/, group: '模拟盘', title: '模拟盘' },
   { match: /^\/live\/new$/, group: '实盘', title: '新建实盘' },
   { match: /^\/live\/monitor\//, group: '实盘', title: '实盘监控' },
@@ -73,7 +73,7 @@ const CMD_ITEMS: CmdItem[] = [
   { label: '批量评估', group: '投研', path: '/factor/batch' },
   { label: '因子分析', group: '投研', path: '/factor/new' },
   { label: '模拟盘列表', group: '模拟', path: '/paper' },
-  { label: '双轨对账', group: '模拟', path: '/paper/reconcile' },
+  { label: '对账中心', group: '模拟', path: '/paper/reconcile' },
   { label: '新建模拟盘', group: '模拟', path: '/paper/new' },
   { label: '实盘列表', group: '实盘', path: '/live' },
   { label: '新建实盘', group: '实盘', path: '/live/new' },
@@ -182,7 +182,7 @@ function onLogout(): void {
         <el-sub-menu index="paper">
           <template #title><span class="nav-label">模拟盘</span></template>
           <el-menu-item index="/paper">模拟盘列表</el-menu-item>
-          <el-menu-item index="/paper/reconcile">双轨对账</el-menu-item>
+          <el-menu-item index="/paper/reconcile">对账中心</el-menu-item>
           <el-menu-item index="/paper/new">新建模拟盘</el-menu-item>
         </el-sub-menu>
         <el-sub-menu index="live">

frontend/src/views/paper/Reconcile.vue

@@ -1,16 +1,27 @@
 <script setup lang="ts">
 import { ref, onMounted } from 'vue'
 import { ElMessage } from 'element-plus'
-import { getReconcilePairs, type ReconcilePair } from '@/api/paper'
+import {
+  getReconcilePairs, getReconcileIdentity,
+  type ReconcilePair, type ReconcileIdentityRow,
+} from '@/api/paper'
 
 const pairs = ref<ReconcilePair[]>([])
+const identityRows = ref<ReconcileIdentityRow[]>([])
+const identityPassed = ref<boolean | null>(null)
 const loading = ref(false)
 const date = ref<string>(new Date().toISOString().slice(0, 10))
 
 async function refresh(): Promise<void> {
   loading.value = true
   try {
-    pairs.value = await getReconcilePairs(date.value || undefined)
+    const [ps, ident] = await Promise.all([
+      getReconcilePairs(date.value || undefined),
+      getReconcileIdentity(date.value || undefined),
+    ])
+    pairs.value = ps
+    identityRows.value = ident.rows
+    identityPassed.value = ident.identity_passed
   } catch (e: unknown) {
     ElMessage.error(e instanceof Error ? e.message : '加载失败')
   } finally {
@@ -25,6 +36,23 @@ function num(v: number | null | undefined): string {
   return Math.round(v).toLocaleString('zh-CN')
 }
 
+function signed(v: number | null | undefined): string {
+  if (v == null || !Number.isFinite(v)) return '—'
+  const s = Math.round(v).toLocaleString('zh-CN')
+  return v > 0 ? '+' + s : s
+}
+
+function identityStatus(row: ReconcileIdentityRow): { text: string; type: 'success' | 'danger' | 'info' } {
+  if (row.status === 'pass') return { text: '恒等式通过', type: 'success' }
+  if (row.status === 'unattributed_over_tol') return { text: '未归因超容忍', type: 'danger' }
+  if (row.status === 'snapshot_missing') return { text: '无账户快照', type: 'info' }
+  return { text: '无运行实例', type: 'info' }
+}
+
+function overTol(row: ReconcileIdentityRow): boolean {
+  return row.unattributed_pct != null && row.unattributed_pct > row.tolerance_pct
+}
+
 function bps(v: number | null | undefined): string {
   if (v == null || !Number.isFinite(v)) return '—'
   return v.toFixed(1) + ' bps'
@@ -44,8 +72,8 @@ function sideText(s: string): string {
   <div v-loading="loading" class="page paper-reconcile">
     <div class="page-head">
       <div>
-        <h2 class="page-title">双轨对账</h2>
-        <p class="page-subtitle">影子柜台 vs 实盘模拟 · 同策略同参数并跑，差异即真实滑点成本</p>
+        <h2 class="page-title">对账中心</h2>
+        <p class="page-subtitle">恒等式（全账户市值 = Σ实例账本 + 未归因 ≤0.5%）+ 双轨对比（影子 vs 实盘） · 每交易日 15:10 / 23:27 自动结算</p>
       </div>
       <div class="head-right">
         <el-date-picker v-model="date" type="date" value-format="YYYY-MM-DD"
@@ -54,6 +82,66 @@ function sideText(s: string): string {
       </div>
     </div>
 
+    <!-- ===== 恒等式（B5）===== -->
+    <el-card shadow="never" class="identity-card">
+      <template #header>
+        <div class="section-head">
+          <span class="section-title">账户恒等式</span>
+          <el-tag v-if="identityPassed === true" type="success" effect="dark">全部通过</el-tag>
+          <el-tag v-else-if="identityPassed === false" type="danger" effect="dark">存在缺口</el-tag>
+        </div>
+      </template>
+      <el-table :data="identityRows" size="small" empty-text="当日无恒等式数据（15:10 首次结算）">
+        <el-table-column type="expand">
+          <template #default="{ row }">
+            <div class="expand-body">
+              <div class="muted inst-line">
+                实例市值拆分：
+                <span v-for="i in row.instances" :key="i.id" class="mono inst-item">
+                  #{{ i.id }} {{ i.name }} {{ num(i.mv) }}</span>
+              </div>
+              <el-table v-if="row.unattributed_positions.length" :data="row.unattributed_positions"
+                size="small" class="inner-table">
+                <el-table-column prop="symbol" label="未归因标的" min-width="110" class-name="mono" />
+                <el-table-column prop="snapshot_volume" label="账户实际持仓" width="130" class-name="num" />
+                <el-table-column prop="instance_volume" label="Σ实例账本" width="130" class-name="num" />
+                <el-table-column label="缺口(股)" width="110" class-name="num">
+                  <template #default="{ row: p }">
+                    <span :class="p.diff !== 0 ? 'down' : ''">{{ signed(p.diff) }}</span>
+                  </template>
+                </el-table-column>
+              </el-table>
+              <div v-else class="muted">逐票无分歧</div>
+            </div>
+          </template>
+        </el-table-column>
+        <el-table-column prop="account" label="QMT 账户" min-width="120" class-name="mono" />
+        <el-table-column label="状态" width="130">
+          <template #default="{ row }">
+            <el-tag size="small" :type="identityStatus(row).type">{{ identityStatus(row).text }}</el-tag>
+          </template>
+        </el-table-column>
+        <el-table-column label="账户市值(快照)" width="140" class-name="num">
+          <template #default="{ row }">{{ num(row.snapshot_mv) }}</template>
+        </el-table-column>
+        <el-table-column label="Σ实例账本市值" width="140" class-name="num">
+          <template #default="{ row }">{{ num(row.instance_mv_total) }}</template>
+        </el-table-column>
+        <el-table-column label="未归因" width="130" class-name="num">
+          <template #default="{ row }">
+            <span :class="overTol(row) ? 'down' : ''">{{ signed(row.unattributed_mv) }}</span>
+          </template>
+        </el-table-column>
+        <el-table-column label="占市值 / 容忍" width="150" class-name="num">
+          <template #default="{ row }">
+            <span v-if="row.unattributed_pct != null" :class="overTol(row) ? 'down' : ''">
+              {{ pct(row.unattributed_pct) }} / {{ row.tolerance_pct }}%</span>
+            <span v-else class="muted">—</span>
+          </template>
+        </el-table-column>
+      </el-table>
+    </el-card>
+
     <el-alert v-if="!loading && pairs.length === 0" type="info" :closable="false"
       title="暂无双轨配对"
       description="需要一对同策略的「实盘 + 影子」账户同时运行中才产生配对；数据从并跑首个交易日起累积。" />
@@ -156,6 +244,13 @@ function sideText(s: string): string {
 .paper-reconcile { display: flex; flex-direction: column; gap: 16px; }
 .head-right { display: flex; align-items: center; gap: 12px; }
 
+.section-head { display: flex; align-items: center; gap: 10px; }
+.identity-card :deep(.el-card__body) { padding: 8px 12px; }
+.expand-body { padding: 6px 24px; display: flex; flex-direction: column; gap: 8px; }
+.inst-line { font-size: 12px; }
+.inst-item { margin-right: 12px; }
+.inner-table { max-width: 560px; }
+
 .pair-block { display: flex; flex-direction: column; gap: 12px; }
 .pair-head { display: flex; align-items: center; gap: 12px; }
 .pair-title { font-size: 15px; font-weight: 700; color: var(--text); }

sanguo_api/routes_paper.py

@@ -308,6 +308,31 @@ def get_reconcile(live_id: int, shadow_id: int, date: str | None = None,
     return report
 
 
+@router.get("/paper/reconcile/identity", dependencies=[Depends(verify_token)])
+def get_identity_reconcile(date: str | None = None, refresh: bool = False):
+    """账户恒等式报告(B5):全账户市值 = Σ实例账本市值 + 未归因(容忍 ≤0.5%)。
+
+    缺省读 shadow_supervisor 15:10/23:27 已存行;无存行(当日未跑或 refresh=true)
+    按当前库现算并落库——与 supervisor 同一套 build/save,同日幂等覆盖。
+    """
+    from datetime import datetime as _dt
+
+    from sanguo_trader.shadow.reconcile_report import (
+        build_identity_report, load_identity_report, save_identity_report,
+    )
+
+    d = date or _dt.now().strftime("%Y-%m-%d")
+    db = _db_path["path"]
+    rows = [] if refresh else load_identity_report(db, d)
+    if rows:
+        passed = bool(rows) and all(
+            r.get("status") in ("pass", "no_instances") for r in rows)
+        return {"date": d, "rows": rows, "identity_passed": passed}
+    report = build_identity_report(db, d)
+    save_identity_report(db, report)
+    return report
+
+
 @router.get("/paper/{aid}", dependencies=[Depends(verify_token)])
 def get_paper(aid: int):
     db = _db_path["path"]

tests/api/test_paper_routes.py

@@ -240,3 +240,84 @@ def test_reconcile_routes(tmp_path):
     r3 = c.get("/api/v1/paper/39", headers=_auth(token))
     assert r3.status_code == 200
     assert r3.json()["mode"] == "shadow"
+
+
+def test_identity_reconcile_route(tmp_path):
+    """GET /paper/reconcile/identity:现算→落库→二次读存行;超容忍标红。"""
+    import sqlite3
+
+    c, token = _client(tmp_path)
+    db = os.path.join(str(tmp_path), "p.db")
+
+    def _seed(snap_mv: float) -> None:
+        with sqlite3.connect(db) as conn:
+            conn.execute("DELETE FROM live_accounts")
+            conn.execute("DELETE FROM live_balance")
+            conn.execute("DELETE FROM live_positions")
+            conn.execute("DELETE FROM qmt_account_snapshot")
+            conn.execute(
+                "INSERT INTO live_accounts (id,name,account,vt_symbol,"
+                "strategy_class,strategy_name,status) VALUES "
+                "(5,'live','66639661','pool','channel_test',"
+                "'portfolio_channel_test','running')")
+            conn.execute(
+                "INSERT INTO live_balance (account_id,date,cash,market_value,"
+                "total) VALUES (5,'2026-08-15',1000.0,10000.0,11000.0)")
+            conn.execute(
+                "INSERT INTO live_positions (account_id,symbol,volume,avg_price) "
+                "VALUES (5,'510300.XSHG',1000,4.0)")
+            conn.execute(
+                "INSERT INTO qmt_account_snapshot (account,mini_path,cash,"
+                "market_value,total,positions,updated_at) VALUES "
+                "('66639661','',1000.0,?,10100.0,"
+                "'[{\"symbol\": \"510300.SH\", \"volume\": 1000}]',"
+                "'2026-08-15 15:10:00')", (snap_mv,))
+            conn.commit()
+
+    # 绿线:快照 10050 − 账本 10000 = 50(0.497% < 0.5%) → pass
+    _seed(10050.0)
+    r = c.get("/api/v1/paper/reconcile/identity?date=2026-08-15",
+              headers=_auth(token))
+    assert r.status_code == 200
+    data = r.json()
+    assert data["identity_passed"] is True
+    row = data["rows"][0]
+    assert row["account"] == "66639661"
+    assert row["status"] == "pass"
+    assert abs(row["unattributed_mv"] - 50.0) < 1e-6
+    assert row["unattributed_positions"] == []  # 逐票 1000=1000 无分歧
+
+    # 二次调用走已存行(identity_reconcile 同日已落库),结果一致
+    r2 = c.get("/api/v1/paper/reconcile/identity?date=2026-08-15",
+               headers=_auth(token))
+    assert r2.json()["rows"][0]["unattributed_mv"] == row["unattributed_mv"]
+
+    # 超红线(改库后 refresh=true 强制重算):快照 10200 − 账本 10000 = 200(1.96%)
+    _seed(10200.0)
+    r3 = c.get("/api/v1/paper/reconcile/identity?date=2026-08-15&refresh=true",
+               headers=_auth(token))
+    d3 = r3.json()
+    assert d3["identity_passed"] is False
+    assert d3["rows"][0]["status"] == "unattributed_over_tol"
+    assert abs(d3["rows"][0]["unattributed_mv"] - 200.0) < 1e-6
+
+
+def test_identity_reconcile_snapshot_missing(tmp_path):
+    """无快照账号如实标 snapshot_missing,不算通过也不崩。"""
+    import sqlite3
+
+    c, token = _client(tmp_path)
+    db = os.path.join(str(tmp_path), "p.db")
+    with sqlite3.connect(db) as conn:
+        conn.execute(
+            "INSERT INTO live_accounts (id,name,account,vt_symbol,strategy_class,"
+            "strategy_name,status) VALUES (6,'l2','88888888','pool',"
+            "'all_weather','portfolio_all_weather_ex','running')")
+        conn.commit()
+
+    r = c.get("/api/v1/paper/reconcile/identity?date=2026-08-15",
+              headers=_auth(token))
+    assert r.status_code == 200
+    row = r.json()["rows"][0]
+    assert row["status"] == "snapshot_missing"
+    assert r.json()["identity_passed"] is False