#![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, )] /// PPO Factored Action Tests - TDD Red Phase /// /// These tests verify the porting of DQN's 45-action factored space to PPO. /// Tests written BEFORE implementation to ensure correct behavior. use ml::ppo::{ExposureLevel, FactoredAction, OrderType, Urgency}; #[test] fn test_factored_action_index_mapping() { // Test index <-> (exposure, order, urgency) conversion // Formula: index = exposure*9 + order*3 + urgency // Test boundary cases let action_0 = FactoredAction::from_index(0).unwrap(); assert_eq!(action_0.exposure, ExposureLevel::Short100); assert_eq!(action_0.order, OrderType::Market); assert_eq!(action_0.urgency, Urgency::Patient); assert_eq!(action_0.to_index(), 0); let action_44 = FactoredAction::from_index(44).unwrap(); assert_eq!(action_44.exposure, ExposureLevel::Long100); assert_eq!(action_44.order, OrderType::IoC); assert_eq!(action_44.urgency, Urgency::Aggressive); assert_eq!(action_44.to_index(), 44); // Test middle case (Flat + Market + Normal) // index = 2*9 + 0*3 + 1 = 19 let action_19 = FactoredAction::from_index(19).unwrap(); assert_eq!(action_19.exposure, ExposureLevel::Flat); assert_eq!(action_19.order, OrderType::Market); assert_eq!(action_19.urgency, Urgency::Normal); assert_eq!(action_19.to_index(), 19); // Test round-trip for all 45 actions for idx in 0..45 { let action = FactoredAction::from_index(idx).unwrap(); assert_eq!(action.to_index(), idx, "Round-trip failed for index {}", idx); } // Test out of bounds assert!(FactoredAction::from_index(45).is_err()); assert!(FactoredAction::from_index(100).is_err()); } #[test] fn test_factored_action_exposure_levels() { // Test all 5 exposure levels: -100%, -50%, 0%, +50%, +100% let short100 = FactoredAction::new( ExposureLevel::Short100, OrderType::Market, Urgency::Normal, ); assert_eq!(short100.target_exposure(), -1.0); let short50 = FactoredAction::new( ExposureLevel::Short50, OrderType::Market, Urgency::Normal, ); assert_eq!(short50.target_exposure(), -0.5); let flat = FactoredAction::new( ExposureLevel::Flat, OrderType::Market, Urgency::Normal, ); assert_eq!(flat.target_exposure(), 0.0); let long50 = FactoredAction::new( ExposureLevel::Long50, OrderType::Market, Urgency::Normal, ); assert_eq!(long50.target_exposure(), 0.5); let long100 = FactoredAction::new( ExposureLevel::Long100, OrderType::Market, Urgency::Normal, ); assert_eq!(long100.target_exposure(), 1.0); } #[test] fn test_factored_action_order_types() { // Test 3 order types: Market (0.15%), LimitMaker (0.05%), IoC (0.10%) let market = FactoredAction::new( ExposureLevel::Flat, OrderType::Market, Urgency::Normal, ); assert_eq!(market.transaction_cost(), 0.0015); // 0.15% let limit_maker = FactoredAction::new( ExposureLevel::Flat, OrderType::LimitMaker, Urgency::Normal, ); assert_eq!(limit_maker.transaction_cost(), 0.0005); // 0.05% let ioc = FactoredAction::new( ExposureLevel::Flat, OrderType::IoC, Urgency::Normal, ); assert_eq!(ioc.transaction_cost(), 0.0010); // 0.10% } #[test] fn test_factored_action_urgency_levels() { // Test 3 urgency levels: Patient (0.5x), Normal (1.0x), Aggressive (1.5x) let patient = FactoredAction::new( ExposureLevel::Flat, OrderType::Market, Urgency::Patient, ); assert_eq!(patient.urgency_weight(), 0.5); let normal = FactoredAction::new( ExposureLevel::Flat, OrderType::Market, Urgency::Normal, ); assert_eq!(normal.urgency_weight(), 1.0); let aggressive = FactoredAction::new( ExposureLevel::Flat, OrderType::Market, Urgency::Aggressive, ); assert_eq!(aggressive.urgency_weight(), 1.5); } #[test] fn test_factored_action_to_position_delta() { // Test conversion to position changes // Formula: delta = (target_exposure - current_position) * max_position // Test Long100 from Flat position let long100 = FactoredAction::new( ExposureLevel::Long100, OrderType::Market, Urgency::Normal, ); let delta = long100.to_position_delta(0.0, 2.0); // target_exposure = 1.0, current = 0.0 // delta = (1.0 - 0.0) * 2.0 = 2.0 assert_eq!(delta, 2.0); // Test Flat from Long50 position let flat = FactoredAction::new( ExposureLevel::Flat, OrderType::Market, Urgency::Normal, ); let delta = flat.to_position_delta(1.0, 2.0); // target_exposure = 0.0, current_position = 1.0 // target_position = 0.0 * 2.0 = 0.0 // delta = 0.0 - 1.0 = -1.0 assert_eq!(delta, -1.0); // Test Short100 from Flat position let short100 = FactoredAction::new( ExposureLevel::Short100, OrderType::Market, Urgency::Normal, ); let delta = short100.to_position_delta(0.0, 2.0); // target_exposure = -1.0, current = 0.0 // delta = (-1.0 - 0.0) * 2.0 = -2.0 assert_eq!(delta, -2.0); // Test no change (already at target) let long50 = FactoredAction::new( ExposureLevel::Long50, OrderType::Market, Urgency::Normal, ); let delta = long50.to_position_delta(1.0, 2.0); // target_exposure = 0.5, current = 1.0 // current_exposure = 1.0 / 2.0 = 0.5 // delta = (0.5 - 0.5) * 2.0 = 0.0 assert_eq!(delta, 0.0); } #[test] fn test_factored_action_boundary_cases() { // Test index 0: Short100 + Market + Patient let action_0 = FactoredAction::from_index(0).unwrap(); assert_eq!(action_0.exposure, ExposureLevel::Short100); assert_eq!(action_0.order, OrderType::Market); assert_eq!(action_0.urgency, Urgency::Patient); assert_eq!(action_0.target_exposure(), -1.0); assert_eq!(action_0.transaction_cost(), 0.0015); assert_eq!(action_0.urgency_weight(), 0.5); // Test index 44: Long100 + IoC + Aggressive let action_44 = FactoredAction::from_index(44).unwrap(); assert_eq!(action_44.exposure, ExposureLevel::Long100); assert_eq!(action_44.order, OrderType::IoC); assert_eq!(action_44.urgency, Urgency::Aggressive); assert_eq!(action_44.target_exposure(), 1.0); assert_eq!(action_44.transaction_cost(), 0.0010); assert_eq!(action_44.urgency_weight(), 1.5); // Test specific known index: 22 = Flat + LimitMaker + Patient // index = 2*9 + 1*3 + 0 = 18 + 3 + 0 = 21 (wait, let me recalculate) // index = 2*9 + 1*3 + 0 = 18 + 3 = 21 let action_21 = FactoredAction::from_index(21).unwrap(); assert_eq!(action_21.exposure, ExposureLevel::Flat); assert_eq!(action_21.order, OrderType::LimitMaker); assert_eq!(action_21.urgency, Urgency::Patient); assert_eq!(action_21.to_index(), 21); }