#![allow( clippy::assertions_on_constants, clippy::assertions_on_result_states, clippy::clone_on_copy, clippy::decimal_literal_representation, clippy::doc_markdown, clippy::empty_line_after_doc_comments, clippy::field_reassign_with_default, clippy::get_unwrap, clippy::identity_op, clippy::inconsistent_digit_grouping, clippy::indexing_slicing, clippy::integer_division, clippy::len_zero, clippy::let_underscore_must_use, clippy::manual_div_ceil, clippy::manual_let_else, clippy::manual_range_contains, clippy::modulo_arithmetic, clippy::needless_range_loop, clippy::non_ascii_literal, clippy::redundant_clone, clippy::shadow_reuse, clippy::shadow_same, clippy::shadow_unrelated, clippy::single_match_else, clippy::str_to_string, clippy::string_slice, clippy::tests_outside_test_module, clippy::too_many_lines, clippy::unnecessary_wraps, clippy::unseparated_literal_suffix, clippy::use_debug, clippy::useless_vec, clippy::wildcard_enum_match_arm, clippy::else_if_without_else, clippy::expect_used, clippy::missing_const_for_fn, clippy::similar_names, clippy::type_complexity, clippy::collapsible_else_if, clippy::doc_lazy_continuation, clippy::items_after_test_module, clippy::map_clone, clippy::multiple_unsafe_ops_per_block, clippy::unwrap_or_default, clippy::assign_op_pattern, clippy::needless_borrow, clippy::println_empty_string, clippy::unnecessary_cast, clippy::used_underscore_binding, clippy::create_dir, clippy::implicit_saturating_sub, clippy::exit, clippy::expect_fun_call, clippy::too_many_arguments, clippy::unnecessary_map_or, clippy::unwrap_used, dead_code, unused_imports, unused_variables, clippy::cloned_ref_to_slice_refs, clippy::neg_multiply, clippy::while_let_loop, clippy::bool_assert_comparison, clippy::excessive_precision, clippy::trivially_copy_pass_by_ref, clippy::op_ref, clippy::redundant_closure, clippy::unnecessary_lazy_evaluations, clippy::if_then_some_else_none, clippy::unnecessary_to_owned, clippy::single_component_path_imports, )] // Bug #20: Portfolio value normalization test // Tests that portfolio value is normalized by initial_capital // to prevent 100,000x feature imbalance use anyhow::Result; use ml::dqn::portfolio_tracker::PortfolioTracker; use tracing::info; #[test] fn test_portfolio_value_normalized_to_baseline() -> Result<()> { // Bug #20: Portfolio value should be normalized to ~1.0 baseline let initial_capital = 100_000.0; let avg_spread = 0.0001; let cash_reserve_percent = 0.0; let tracker = PortfolioTracker::new(initial_capital, avg_spread, cash_reserve_percent); // At start, portfolio value = initial_capital let features = tracker.get_portfolio_features(4000.0); // Bug #20: Feature should be 1.0 (normalized), NOT 100,000 assert_eq!(features.len(), 3, "Should have 3 portfolio features"); let portfolio_feature = features[0]; // After fix, this should be ~1.0 (normalized by initial_capital) // Before fix, this would be 100,000.0 (raw value) assert!( (portfolio_feature - 1.0).abs() < 0.01, "Portfolio value should be normalized to 1.0, got: {}", portfolio_feature ); info!(portfolio_feature, "Portfolio value normalized correctly"); Ok(()) } #[test] fn test_all_portfolio_features_similar_scale() -> Result<()> { // Bug #20: All portfolio features should be in similar scale // No 100,000x imbalance let initial_capital = 100_000.0; let avg_spread = 0.0001; let cash_reserve_percent = 0.0; let tracker = PortfolioTracker::new(initial_capital, avg_spread, cash_reserve_percent); let features = tracker.get_portfolio_features(4000.0); // Check all features are in reasonable scale (NOT 100,000x difference) for (i, &feature) in features.iter().enumerate() { assert!( feature.abs() < 10.0, "Feature {} should be in reasonable scale, got: {}", i, feature ); } info!(?features, "All portfolio features in similar scale"); Ok(()) } #[test] fn test_feature_scale_consistency() -> Result<()> { // Bug #20: Verify portfolio features don't dominate other features // The key test is that portfolio value is NOT 100,000 (raw value) let initial_capital = 100_000.0; let avg_spread = 0.0001; let cash_reserve_percent = 0.0; let tracker = PortfolioTracker::new(initial_capital, avg_spread, cash_reserve_percent); let features = tracker.get_portfolio_features(4000.0); // The key fix: Portfolio value should be ~1.0 (normalized), NOT 100,000 let portfolio_value = features[0]; // Before Bug #20 fix: Would be 100,000.0 (raw value) // After Bug #20 fix: Should be ~1.0 (normalized) assert!( portfolio_value.abs() < 10.0, "Portfolio value should be normalized, got: {}", portfolio_value ); // Check that portfolio value doesn't dwarf other features by 100,000x // (spread is intentionally small, but that's OK - key is portfolio isn't massive) let max_feature = features.iter().copied().fold(f32::NEG_INFINITY, f32::max); // Before fix: max_feature would be 100,000 (raw portfolio value) // After fix: max_feature should be ~1.0 (normalized portfolio value) assert!( max_feature < 10.0, "Max feature should be in normalized scale, got: {}", max_feature ); info!(max_feature, portfolio_value, "Feature scale check passed"); Ok(()) } #[test] fn test_portfolio_feature_format() -> Result<()> { // Test that get_portfolio_features returns 3 features: // [portfolio_value, position_normalized, spread] let tracker = PortfolioTracker::new(100_000.0, 0.0001, 0.0); let features = tracker.get_portfolio_features(4000.0); assert_eq!(features.len(), 3, "Should return exactly 3 features"); // Feature 0: Portfolio value (should be normalized to ~1.0) // Feature 1: Position (normalized by max_position) // Feature 2: Spread info!(?features, "Portfolio features"); info!(value = features[0], "Feature 0 (portfolio value)"); info!(position = features[1], "Feature 1 (position)"); info!(spread = features[2], "Feature 2 (spread)"); Ok(()) }