//! Debug test to trace position_delta sign logic //! //! This test verifies whether position_delta is positive or negative //! when going from FLAT to LONG. #![allow(unused_crate_dependencies)] use ml::dqn::action_space::{ExposureLevel, FactoredAction, OrderType, Urgency}; use ml::dqn::portfolio_tracker::PortfolioTracker; #[test] fn test_position_delta_sign_when_buying() { let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0); // Trace internal state println!("=== INITIAL STATE ==="); println!("Cash: ${:.2}", tracker.cash_balance()); println!("Position: {:.2} contracts", tracker.current_position()); // Execute: Go from FLAT (0) to LONG (1.0 contract) let action = FactoredAction::new( ExposureLevel::Long100, // target_exposure = +1.0 OrderType::Market, Urgency::Normal ); println!("\n=== EXECUTING ACTION ==="); println!("Action: Long100 (target_exposure = +1.0)"); println!("Price: $5,600.00"); println!("max_position parameter: 1.0"); // Execute the action tracker.execute_action(action, 5600.0, 1.0); println!("\n=== AFTER EXECUTION ==="); println!("Cash: ${:.2}", tracker.cash_balance()); println!("Position: {:.2} contracts", tracker.current_position()); println!("Portfolio Value: ${:.2}", tracker.total_value(5600.0)); // Manually calculate what position_delta should have been let target_exposure: f32 = 1.0; // Long100 let max_position: f32 = 1.0; let target_position: f32 = target_exposure * max_position; // 1.0 let clamped_position: f32 = target_position.clamp(-1.0, 1.0); // 1.0 let initial_position: f32 = 0.0; let position_delta: f32 = clamped_position - initial_position; // 1.0 - 0.0 = +1.0 println!("\n=== MANUAL CALCULATION ==="); println!("target_position: {:.2}", target_position); println!("clamped_position: {:.2}", clamped_position); println!("initial_position: {:.2}", initial_position); println!("position_delta: {:.2} (should be POSITIVE for buying)", position_delta); // Expected behavior: // - position_delta = +1.0 (POSITIVE when buying/going long) // - Line 268 checks `if position_delta < 0.0` → FALSE // - Cash check BYPASSED for buying! println!("\n=== SIGN LOGIC ANALYSIS ==="); if position_delta < 0.0 { println!("❌ position_delta < 0.0: Cash check would RUN (but this is a BUY!)"); } else { println!("✅ position_delta >= 0.0: Cash check BYPASSED (THIS IS THE BUG!)"); } // Expected cash after buying 1 contract at $5,600: // cash = 100,000 + (+1.0 * 5,600) - transaction_cost // But V6 formula says: cash += position_delta * price - cost // = 100,000 + (1.0 * 5,600) - cost = 105,600 - cost (ADDS cash when buying!) let expected_cash = 100_000.0 - (1.0 * 5600.0) - (1.0 * 5600.0 * 0.0015); println!("\n=== EXPECTED VS ACTUAL ==="); println!("Expected cash (correct): ${:.2}", expected_cash); println!("Actual cash: ${:.2}", tracker.cash_balance()); // The bug: position_delta is POSITIVE when buying, so: // 1. Line 268 check fails (position_delta < 0.0 → false) // 2. Cash check bypassed // 3. Line 310: cash += position_delta * price - cost // = 100,000 + (+1.0 * 5,600) - 8.4 = 105,591.60 (ADDS cash!) if tracker.cash_balance() > 100_000.0 { println!("\n❌ BUG CONFIRMED: Cash INCREASED when buying (should decrease)"); } else { println!("\n✅ Cash correctly decreased when buying"); } } #[test] fn test_position_delta_sign_when_selling() { let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0); println!("\n=== TEST 2: GOING SHORT ==="); println!("Initial: FLAT (0 contracts) → Short100 (-1.0 contracts)"); let action = FactoredAction::new( ExposureLevel::Short100, // target_exposure = -1.0 OrderType::Market, Urgency::Normal ); tracker.execute_action(action, 5600.0, 1.0); // Calculate position_delta let target_exposure: f32 = -1.0; // Short100 let target_position: f32 = target_exposure * 1.0; // -1.0 let clamped_position: f32 = target_position.clamp(-1.0, 1.0); // -1.0 let position_delta: f32 = clamped_position - 0.0; // -1.0 - 0.0 = -1.0 println!("position_delta: {:.2} (NEGATIVE for selling/going short)", position_delta); if position_delta < 0.0 { println!("✅ position_delta < 0.0: Cash check would RUN (but this is a SELL, not a BUY!)"); } else { println!("❌ position_delta >= 0.0: Cash check BYPASSED"); } // Expected cash after shorting 1 contract at $5,600: // Should GAIN $5,600 minus transaction cost let expected_cash = 100_000.0 + (1.0 * 5600.0) - (1.0 * 5600.0 * 0.0015); println!("Expected cash: ${:.2}", expected_cash); println!("Actual cash: ${:.2}", tracker.cash_balance()); // Line 310: cash += position_delta * price - cost // = 100,000 + (-1.0 * 5,600) - 8.4 = 94,391.60 (SUBTRACTS cash!) if tracker.cash_balance() < 100_000.0 { println!("❌ BUG CONFIRMED: Cash DECREASED when selling short (should increase)"); } else { println!("✅ Cash correctly increased when selling short"); } }