//! Simple validation test for partial reversal support (Wave 16 P2-C) //! //! This test suite uses the CORRECT PortfolioTracker API to validate //! the two-phase reversal logic implementation. use ml::dqn::portfolio_tracker::PortfolioTracker; use ml::dqn::action_space::{FactoredAction, ExposureLevel, OrderType, Urgency}; #[test] fn test_full_reversal_sufficient_cash() { // Test 1: Full reversal with ample cash (baseline) let mut tracker = PortfolioTracker::new(20_000.0, 0.0001, 0.0); let price = 5_600.0; // Step 1: Open short position (-1.0) let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); assert_eq!(tracker.current_position(), -1.0, "Should have -1.0 short position"); // Step 2: Reverse to long (+1.0) with sufficient cash let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); assert_eq!(tracker.current_position(), 1.0, "Should complete full reversal to +1.0 long"); assert!(tracker.cash_balance() > 0.0, "Should have positive cash remaining"); } #[test] fn test_partial_reversal_limited_cash() { // Test 2: Partial reversal when cash is limited let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 0.0); let price = 5_600.0; // Step 1: Open short position (-1.0) let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); let cash_before_reversal = tracker.cash_balance(); println!("Cash before reversal: ${:.2}", cash_before_reversal); // Step 2: Attempt full reversal to long (+1.0) // With limited cash, should achieve partial reversal let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); let final_position = tracker.current_position(); let final_cash = tracker.cash_balance(); println!("Final position: {:.4}, Final cash: ${:.2}", final_position, final_cash); // Assertions: // 1. Position should be >= 0 (closed short, opened some long) assert!(final_position >= 0.0, "Position should be non-negative after reversal"); // 2. Position should be < 1.0 (partial fill due to cash constraint) assert!(final_position < 1.0, "Position should be partial (< 1.0) due to limited cash"); // 3. Cash should be low but >= 0 assert!(final_cash >= 0.0, "Cash should never go negative"); } #[test] fn test_reversal_to_flat_only() { // Test 3: Reversal with only enough cash for Phase 1 (close position) // Result: Should end at flat (0.0) position let mut tracker = PortfolioTracker::new(7_000.0, 0.0001, 0.0); let price = 5_600.0; // Step 1: Open long position (+1.0) let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); let cash_after_long = tracker.cash_balance(); println!("Cash after opening long: ${:.2}", cash_after_long); // Step 2: Attempt reversal to short (-1.0) // With very limited cash, should only close long (Phase 1), not open short (Phase 2) let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); let final_position = tracker.current_position(); let final_cash = tracker.cash_balance(); println!("Final position: {:.4}, Final cash: ${:.2}", final_position, final_cash); // Assertion: Should end at flat (0.0) or very small short position // Depending on cash, might have 0.0 or small partial short assert!(final_position >= -0.1, "Position should be near flat or small short"); assert!(final_cash >= 0.0, "Cash should never go negative"); } #[test] fn test_transaction_costs_tracked() { // Test 4: Verify transaction costs are tracked during reversal let mut tracker = PortfolioTracker::new(20_000.0, 0.0001, 0.0); let price = 5_600.0; // Execute short → long reversal let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); let tx_cost_after_short = tracker.transaction_costs(); assert!(tx_cost_after_short > 0.0, "Should have transaction costs from short"); let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); let tx_cost_after_reversal = tracker.transaction_costs(); println!("TX costs - Short: ${:.2}, Reversal: ${:.2}", tx_cost_after_short, tx_cost_after_reversal); // Assertions: // 1. Costs increased after reversal (Phase 1 + Phase 2 costs) assert!(tx_cost_after_reversal > tx_cost_after_short, "Transaction costs should increase after reversal"); // 2. Market order rate is 0.15% (0.0015) // For 2 trades of 1 contract at $5,600: 2 * 5600 * 0.0015 = $16.80 minimum assert!(tx_cost_after_reversal >= 16.0, "Transaction costs should be at least $16 for two market orders"); } #[test] fn test_negative_cash_guard() { // Test 5: Verify negative cash is guarded against // This is a safety test - should never happen in practice let mut tracker = PortfolioTracker::new(1_000.0, 0.0001, 0.0); let price = 5_600.0; // Try to open short with minimal capital let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); // Cash should never go negative assert!(tracker.cash_balance() >= 0.0, "Cash should never be negative"); } #[test] fn test_multiple_reversals() { // Test 6: Multiple reversals in sequence let mut tracker = PortfolioTracker::new(30_000.0, 0.0001, 0.0); let price = 5_600.0; // Reversal 1: Flat → Short let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); println!("After Reversal 1 (Short): Position={:.2}, Cash=${:.2}", tracker.current_position(), tracker.cash_balance()); // Reversal 2: Short → Long let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); println!("After Reversal 2 (Long): Position={:.2}, Cash=${:.2}", tracker.current_position(), tracker.cash_balance()); // Reversal 3: Long → Short tracker.execute_action(short_action, price, 1.0); println!("After Reversal 3 (Short): Position={:.2}, Cash=${:.2}", tracker.current_position(), tracker.cash_balance()); // Assertions: assert!(tracker.cash_balance() >= 0.0, "Cash should never go negative"); let tx_costs = tracker.transaction_costs(); println!("Total transaction costs: ${:.2}", tx_costs); // Should have costs from all reversals (6 trades total: 3 reversals × 2 phases each) // Minimum: 6 * 5600 * 0.0015 = $50.40 assert!(tx_costs >= 50.0, "Should have accumulated transaction costs"); } #[test] fn test_cash_reserve_enforcement() { // Test 7: Verify cash reserve is enforced during Phase 2 let mut tracker = PortfolioTracker::new(15_000.0, 0.0001, 10.0); // 10% reserve let price = 5_600.0; // Open short position let short_action = FactoredAction::new(ExposureLevel::Short100, OrderType::Market, Urgency::Normal); tracker.execute_action(short_action, price, 1.0); let cash_before = tracker.cash_balance(); println!("Cash before reversal: ${:.2}", cash_before); // Attempt reversal with reserve requirement let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); let final_position = tracker.current_position(); let final_cash = tracker.cash_balance(); let portfolio_value = tracker.total_value(price); println!("Final position: {:.4}, Final cash: ${:.2}, Portfolio value: ${:.2}", final_position, final_cash, portfolio_value); // Assertion: Cash reserve should be enforced let reserve_required = portfolio_value * 0.10; println!("Reserve required (10%): ${:.2}", reserve_required); // Cash should be close to or above reserve (may be slightly below due to rounding) assert!(final_cash >= reserve_required * 0.95, "Cash should respect reserve requirement (within 5% tolerance)"); }