#![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, )] //! 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}; use tracing::info; #[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(); info!(cash_before_reversal, "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(); info!(final_position, final_cash, "Final position and 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(); info!(cash_after_long, "Cash after opening 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(); info!(final_position, final_cash, "Final position and 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(); info!(tx_cost_after_short, tx_cost_after_reversal, "Transaction costs: short vs 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); info!(position = tracker.current_position(), cash = tracker.cash_balance(), "After Reversal 1 (Short)"); // Reversal 2: Short → Long let long_action = FactoredAction::new(ExposureLevel::Long100, OrderType::Market, Urgency::Normal); tracker.execute_action(long_action, price, 1.0); info!(position = tracker.current_position(), cash = tracker.cash_balance(), "After Reversal 2 (Long)"); // Reversal 3: Long → Short tracker.execute_action(short_action, price, 1.0); info!(position = tracker.current_position(), cash = tracker.cash_balance(), "After Reversal 3 (Short)"); // Assertions: assert!(tracker.cash_balance() >= 0.0, "Cash should never go negative"); let tx_costs = tracker.transaction_costs(); info!(tx_costs, "Total transaction 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(); info!(cash_before, "Cash before reversal"); // 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); info!(final_position, final_cash, portfolio_value, "Final position, cash, and portfolio value"); // Assertion: Cash reserve should be enforced let reserve_required = portfolio_value * 0.10; info!(reserve_required, "Reserve required (10%)"); // 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)"); }