#![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, )] //! 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; use tracing::info; #[test] fn test_position_delta_sign_when_buying() { let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0); // Trace internal state info!(cash = tracker.cash_balance(), position = tracker.current_position(), "INITIAL STATE"); // Execute: Go from FLAT (0) to LONG (1.0 contract) let action = FactoredAction::new( ExposureLevel::Long100, // target_exposure = +1.0 OrderType::Market, Urgency::Normal ); info!("EXECUTING ACTION: Long100 (target_exposure = +1.0), Price: $5,600.00, max_position: 1.0"); // Execute the action tracker.execute_action(action, 5600.0, 1.0); info!( cash = tracker.cash_balance(), position = tracker.current_position(), portfolio_value = tracker.total_value(5600.0), "AFTER EXECUTION" ); // 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 info!( target_position, clamped_position, initial_position, position_delta, "MANUAL CALCULATION (position_delta should be POSITIVE for buying)" ); // 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! if position_delta < 0.0 { info!("SIGN LOGIC: position_delta < 0.0 — Cash check would RUN (but this is a BUY!)"); } else { info!("SIGN LOGIC: 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); info!(expected_cash, actual_cash = tracker.cash_balance(), "EXPECTED VS ACTUAL cash"); // 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 { info!("BUG CONFIRMED: Cash INCREASED when buying (should decrease)"); } else { info!("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); info!("TEST 2: GOING SHORT — Initial: FLAT (0 contracts) to 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 info!(position_delta, "position_delta (NEGATIVE for selling/going short)"); if position_delta < 0.0 { info!("position_delta < 0.0: Cash check would RUN (but this is a SELL, not a BUY!)"); } else { info!("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); info!(expected_cash, actual_cash = tracker.cash_balance(), "Expected vs actual cash"); // 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 { info!("BUG CONFIRMED: Cash DECREASED when selling short (should increase)"); } else { info!("Cash correctly increased when selling short"); } }