#![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, )] //! Transaction Cost Tests for PPO //! //! Test-driven development (TDD) - Tests written FIRST before implementation. //! These tests verify that PPO transaction cost calculations match DQN behavior. use ml::ppo::transaction_costs::{calculate_transaction_cost, OrderType}; #[test] fn test_transaction_cost_maker_fee() { // LimitMaker: 0.05% (0.0005) let trade_value = 10_000.0; // $10,000 trade let cost = calculate_transaction_cost(OrderType::LimitMaker, trade_value); // Expected: 0.0005 * 10,000 = $5.00 assert_eq!(cost, 5.0, "LimitMaker fee should be 0.05%"); // Test larger trade let large_trade = 100_000.0; // $100K trade let large_cost = calculate_transaction_cost(OrderType::LimitMaker, large_trade); assert_eq!(large_cost, 50.0, "LimitMaker fee on $100K should be $50"); } #[test] fn test_transaction_cost_taker_fee() { // Market: 0.15% (0.0015) let trade_value = 10_000.0; // $10,000 trade let cost = calculate_transaction_cost(OrderType::Market, trade_value); // Expected: 0.0015 * 10,000 = $15.00 assert_eq!(cost, 15.0, "Market fee should be 0.15%"); // Test smaller trade let small_trade = 1_000.0; // $1K trade let small_cost = calculate_transaction_cost(OrderType::Market, small_trade); assert_eq!(small_cost, 1.5, "Market fee on $1K should be $1.50"); } #[test] fn test_transaction_cost_ioc_fee() { // IoC (Immediate-or-Cancel): 0.10% (0.0010) let trade_value = 10_000.0; // $10,000 trade let cost = calculate_transaction_cost(OrderType::IoC, trade_value); // Expected: 0.0010 * 10,000 = $10.00 assert_eq!(cost, 10.0, "IoC fee should be 0.10%"); // Test edge case: zero trade value let zero_cost = calculate_transaction_cost(OrderType::IoC, 0.0); assert_eq!(zero_cost, 0.0, "Zero trade value should have zero cost"); } #[test] fn test_transaction_cost_negative_trade_value() { // Transaction costs should be based on absolute value let trade_value = -10_000.0; // Negative trade value (shouldn't happen, but test defensively) let cost = calculate_transaction_cost(OrderType::Market, trade_value); // Expected: 0.0015 * |-10,000| = $15.00 assert_eq!(cost, 15.0, "Transaction cost should use absolute trade value"); } #[test] fn test_transaction_cost_fee_ordering() { // Verify fee ordering: Market (0.15%) > IoC (0.10%) > LimitMaker (0.05%) let trade_value = 10_000.0; let market_cost = calculate_transaction_cost(OrderType::Market, trade_value); let ioc_cost = calculate_transaction_cost(OrderType::IoC, trade_value); let maker_cost = calculate_transaction_cost(OrderType::LimitMaker, trade_value); assert!(market_cost > ioc_cost, "Market fee should be higher than IoC"); assert!(ioc_cost > maker_cost, "IoC fee should be higher than LimitMaker"); assert_eq!(market_cost, 15.0, "Market: 0.15%"); assert_eq!(ioc_cost, 10.0, "IoC: 0.10%"); assert_eq!(maker_cost, 5.0, "LimitMaker: 0.05%"); } #[test] fn test_transaction_cost_large_values() { // Test with large trade values to verify no overflow let large_trade = 1_000_000.0; // $1M trade let market_cost = calculate_transaction_cost(OrderType::Market, large_trade); assert_eq!(market_cost, 1_500.0, "Market fee on $1M should be $1,500"); let maker_cost = calculate_transaction_cost(OrderType::LimitMaker, large_trade); assert_eq!(maker_cost, 500.0, "LimitMaker fee on $1M should be $500"); }