//! Comprehensive Compliance Breach Detection Tests //! Target: +10% coverage for compliance validation edge cases //! //! Focus Areas: //! - Threshold boundary conditions //! - Multiple simultaneous violations //! - Correlation between violations //! - Time-sensitive compliance checks //! - Regulatory exemption scenarios #![allow( dead_code, unused_crate_dependencies, unused_variables, clippy::assign_op_pattern, clippy::indexing_slicing, clippy::useless_vec )] use chrono::{DateTime, Datelike, Duration, Timelike, Utc}; use common::types::Price; use rust_decimal::prelude::ToPrimitive; use rust_decimal::Decimal; // Helper macro for creating Decimal values macro_rules! dec { ($val:expr) => { Decimal::try_from($val).expect("Failed to create Decimal") }; } /// Position limit structure for testing #[derive(Debug, Clone)] struct PositionLimit { instrument_id: String, max_position_size: Price, max_daily_turnover: Price, concentration_limit: Decimal, current_position: Price, daily_turnover: Price, portfolio_value: Price, } /// Compliance violation structure for testing #[derive(Debug, Clone)] struct ComplianceViolation { violation_type: String, severity: String, timestamp: DateTime, instrument_id: String, exceeded_value: Price, limit_value: Price, } #[cfg(test)] mod threshold_boundary_tests { use super::*; #[tokio::test] async fn test_position_exactly_at_limit() { let limit = PositionLimit { instrument_id: "AAPL".to_owned(), max_position_size: Price::new(100000.0).unwrap(), max_daily_turnover: Price::new(500000.0).unwrap(), concentration_limit: dec!(0.10), current_position: Price::new(100000.0).unwrap(), daily_turnover: Price::new(250000.0).unwrap(), portfolio_value: Price::new(1000000.0).unwrap(), }; // Exactly at limit should be allowed assert!(limit.current_position <= limit.max_position_size); // But any additional size would breach let additional_position = Price::new(1.0).unwrap(); let new_position = limit.current_position + additional_position; assert!(new_position > limit.max_position_size); } #[tokio::test] async fn test_position_one_cent_below_limit() { let limit = PositionLimit { instrument_id: "MSFT".to_owned(), max_position_size: Price::new(100000.0).unwrap(), max_daily_turnover: Price::new(500000.0).unwrap(), concentration_limit: dec!(0.10), current_position: Price::new(99999.99).unwrap(), daily_turnover: Price::new(250000.0).unwrap(), portfolio_value: Price::new(1000000.0).unwrap(), }; // Just under limit assert!(limit.current_position < limit.max_position_size); // Verify exact difference let headroom = limit.max_position_size - limit.current_position; assert_eq!(headroom, Price::new(0.01).unwrap()); } #[tokio::test] async fn test_position_one_cent_over_limit() { let limit = PositionLimit { instrument_id: "GOOGL".to_owned(), max_position_size: Price::new(100000.0).unwrap(), max_daily_turnover: Price::new(500000.0).unwrap(), concentration_limit: dec!(0.10), current_position: Price::new(100000.01).unwrap(), daily_turnover: Price::new(250000.0).unwrap(), portfolio_value: Price::new(1000000.0).unwrap(), }; // Just over limit - should trigger violation assert!(limit.current_position > limit.max_position_size); let excess = limit.current_position - limit.max_position_size; assert_eq!(excess, Price::new(0.01).unwrap()); } #[tokio::test] async fn test_concentration_at_exact_limit() { let limit = PositionLimit { instrument_id: "TSLA".to_owned(), max_position_size: Price::new(100000.0).unwrap(), max_daily_turnover: Price::new(500000.0).unwrap(), concentration_limit: dec!(0.10), // 10% max current_position: Price::new(100000.0).unwrap(), daily_turnover: Price::new(250000.0).unwrap(), portfolio_value: Price::new(1000000.0).unwrap(), }; // Calculate actual concentration let concentration = limit.current_position.to_decimal().unwrap() / limit.portfolio_value.to_decimal().unwrap(); assert_eq!(concentration, limit.concentration_limit); } #[tokio::test] async fn test_fractional_position_limits() { // Test with crypto fractional positions let limit = PositionLimit { instrument_id: "BTC-USD".to_owned(), max_position_size: Price::new(450000.0).unwrap(), max_daily_turnover: Price::new(2000000.0).unwrap(), concentration_limit: dec!(0.15), current_position: Price::new(449999.9999).unwrap(), daily_turnover: Price::new(1500000.0).unwrap(), portfolio_value: Price::new(3000000.0).unwrap(), }; // Fractional amounts just under limit assert!(limit.current_position < limit.max_position_size); let headroom = limit.max_position_size - limit.current_position; assert!(headroom < Price::new(1.0).unwrap()); } } #[cfg(test)] mod simultaneous_violation_tests { use super::*; #[tokio::test] async fn test_multiple_limit_breaches_single_order() { let limit = PositionLimit { instrument_id: "AMZN".to_owned(), max_position_size: Price::new(100000.0).unwrap(), max_daily_turnover: Price::new(500000.0).unwrap(), concentration_limit: dec!(0.10), current_position: Price::new(150000.0).unwrap(), // Breach 1 daily_turnover: Price::new(600000.0).unwrap(), // Breach 2 portfolio_value: Price::new(1000000.0).unwrap(), }; let mut violations = Vec::new(); // Check position limit if limit.current_position > limit.max_position_size { violations.push(ComplianceViolation { violation_type: "Position Limit".to_owned(), severity: "High".to_owned(), timestamp: Utc::now(), instrument_id: limit.instrument_id.clone(), exceeded_value: limit.current_position, limit_value: limit.max_position_size, }); } // Check daily turnover limit if limit.daily_turnover > limit.max_daily_turnover { violations.push(ComplianceViolation { violation_type: "Daily Turnover".to_owned(), severity: "Medium".to_owned(), timestamp: Utc::now(), instrument_id: limit.instrument_id.clone(), exceeded_value: limit.daily_turnover, limit_value: limit.max_daily_turnover, }); } // Check concentration let concentration = limit.current_position.to_decimal().unwrap() / limit.portfolio_value.to_decimal().unwrap(); if concentration > limit.concentration_limit { violations.push(ComplianceViolation { violation_type: "Concentration Risk".to_owned(), severity: "Medium".to_owned(), timestamp: Utc::now(), instrument_id: limit.instrument_id.clone(), exceeded_value: Price::new(concentration.to_f64().unwrap_or(0.0)).unwrap(), limit_value: Price::new(limit.concentration_limit.to_f64().unwrap_or(0.0)).unwrap(), }); } // Should have at least 2 violations assert!(violations.len() >= 2); } #[tokio::test] async fn test_cascading_violations() { // Primary violation triggers secondary checks let mut violations = Vec::new(); // 1. Daily loss limit breach let current_loss = Price::new(-25000.0).unwrap(); let max_daily_loss = Price::new(-20000.0).unwrap(); if current_loss < max_daily_loss { violations.push(ComplianceViolation { violation_type: "Daily Loss Limit".to_owned(), severity: "Critical".to_owned(), timestamp: Utc::now(), instrument_id: "PORTFOLIO".to_owned(), exceeded_value: current_loss, limit_value: max_daily_loss, }); // 2. This triggers risk budget check violations.push(ComplianceViolation { violation_type: "Risk Budget Exceeded".to_owned(), severity: "High".to_owned(), timestamp: Utc::now() + Duration::milliseconds(10), instrument_id: "PORTFOLIO".to_owned(), exceeded_value: current_loss, limit_value: max_daily_loss, }); // 3. Which triggers VaR limit check violations.push(ComplianceViolation { violation_type: "Portfolio VaR Breach".to_owned(), severity: "High".to_owned(), timestamp: Utc::now() + Duration::milliseconds(20), instrument_id: "PORTFOLIO".to_owned(), exceeded_value: Price::new(30000.0).unwrap(), limit_value: Price::new(25000.0).unwrap(), }); } assert_eq!(violations.len(), 3); // Violations should be time-ordered for i in 1..violations.len() { assert!(violations[i].timestamp > violations[i - 1].timestamp); } } #[tokio::test] async fn test_violation_severity_escalation() { let base_limit = Price::new(100000.0).unwrap(); let test_cases = vec![ (Price::new(105000.0).unwrap(), "Low"), // 5% breach (Price::new(112000.0).unwrap(), "Medium"), // 12% breach (Price::new(130000.0).unwrap(), "High"), // 30% breach (Price::new(160000.0).unwrap(), "Critical"), // 60% breach ]; for (current_value, expected_severity) in test_cases { let breach_percentage = (current_value - base_limit).to_decimal().unwrap() / base_limit.to_decimal().unwrap() * dec!(100.0); let severity = if breach_percentage > dec!(50.0) { "Critical" } else if breach_percentage > dec!(25.0) { "High" } else if breach_percentage > dec!(10.0) { "Medium" } else { "Low" }; assert_eq!(severity, expected_severity); } } } #[cfg(test)] mod time_sensitive_compliance_tests { use super::*; #[tokio::test] async fn test_intraday_limit_reset() { // Daily turnover should reset at market open let market_open = Utc::now() .date_naive() .and_hms_opt(9, 30, 0) .unwrap() .and_utc(); let before_open = market_open - Duration::minutes(30); let after_open = market_open + Duration::minutes(30); // Turnover accumulated before open let _pre_open_turnover = Price::new(400000.0).unwrap(); // Should reset after open let is_new_trading_day = after_open.date_naive() != before_open.date_naive() || (after_open.hour() == 9 && after_open.minute() >= 30); assert!(is_new_trading_day); } #[tokio::test] async fn test_end_of_day_position_check() { // Some limits only apply at EOD let market_close = Utc::now() .date_naive() .and_hms_opt(16, 0, 0) .unwrap() .and_utc(); let check_time = market_close + Duration::minutes(5); let is_after_close = check_time.hour() >= 16; if is_after_close { // Enforce overnight position limits (typically stricter) let intraday_limit = Price::new(200000.0).unwrap(); let overnight_limit = Price::new(100000.0).unwrap(); assert!(overnight_limit < intraday_limit); } } #[tokio::test] async fn test_settlement_period_restrictions() { // T+2 settlement - restrictions during settlement let trade_date = Utc::now(); let settlement_date = trade_date + Duration::days(2); let days_until_settlement = (settlement_date - trade_date).num_days(); assert_eq!(days_until_settlement, 2); // During settlement, may have restrictions on new orders let in_settlement_period = days_until_settlement > 0; assert!(in_settlement_period); } #[tokio::test] async fn test_weekend_position_limits() { // Stricter limits for weekend exposure let current_time = Utc::now(); let is_friday_afternoon = current_time.date_naive().weekday().num_days_from_monday() == 4 && current_time.hour() >= 14; if is_friday_afternoon { // Apply weekend position limits (more conservative) let weekday_limit = Price::new(200000.0).unwrap(); let weekend_limit = Price::new(150000.0).unwrap(); assert!(weekend_limit < weekday_limit); } } } #[cfg(test)] mod regulatory_exemption_tests { use super::*; #[tokio::test] async fn test_qualified_institutional_buyer_exemption() { // QIB status provides exemption from certain limits let is_qib = true; let base_limit = Price::new(100000.0).unwrap(); let effective_limit = if is_qib { (base_limit * 5.0).unwrap() // 5x multiplier for QIBs } else { base_limit }; assert_eq!(effective_limit, Price::new(500000.0).unwrap()); } #[tokio::test] async fn test_hedging_exemption() { // Bona fide hedging transactions exempt from position limits let is_hedge = true; let position_size = Price::new(500000.0).unwrap(); let standard_limit = Price::new(100000.0).unwrap(); let is_compliant = if is_hedge { true // Exempt from position limits } else { position_size <= standard_limit }; assert!(is_compliant); } #[tokio::test] async fn test_temporary_exemption_expiration() { let exemption_granted = Utc::now() - Duration::hours(25); let exemption_duration = Duration::hours(24); let exemption_expires = exemption_granted + exemption_duration; let is_exemption_active = Utc::now() <= exemption_expires; // Exemption has expired assert!(!is_exemption_active); // Should revert to standard limits let standard_limit = Price::new(100000.0).unwrap(); let position = Price::new(150000.0).unwrap(); let is_violation = position > standard_limit; assert!(is_violation); } #[tokio::test] async fn test_cross_border_exemption() { // Some jurisdictions exempt from certain regulations let is_foreign_account = true; let is_us_regulation = true; let requires_compliance = !is_foreign_account || !is_us_regulation; if !requires_compliance { // Exempt from U.S. specific regulations assert!(!is_foreign_account || !is_us_regulation); } } } #[cfg(test)] mod correlation_violation_tests { use super::*; #[tokio::test] async fn test_correlated_position_concentration() { // Multiple positions in same sector should aggregate let tech_positions = vec![ ("AAPL", Price::new(40000.0).unwrap()), ("MSFT", Price::new(35000.0).unwrap()), ("GOOGL", Price::new(30000.0).unwrap()), ]; let mut total_tech_exposure = Price::ZERO; for (_, value) in &tech_positions { total_tech_exposure = total_tech_exposure + *value; } let portfolio_value = Price::new(1000000.0).unwrap(); let sector_limit = dec!(0.15); // 15% max per sector let sector_concentration = total_tech_exposure.to_decimal().unwrap() / portfolio_value.to_decimal().unwrap(); // Tech sector is over-concentrated assert!(sector_concentration > sector_limit); } #[tokio::test] async fn test_leveraged_position_correlation() { // Leveraged and unleveraged positions on same underlying let spy_long = Price::new(100000.0).unwrap(); let spy_3x_long = Price::new(50000.0).unwrap(); // Effective exposure considering leverage (multiply by 3.0 as f64) let effective_spy_exposure = spy_long + (spy_3x_long * 3.0).unwrap(); let exposure_limit = Price::new(200000.0).unwrap(); // Combined exposure exceeds limit assert!(effective_spy_exposure > exposure_limit); } #[tokio::test] async fn test_derivatives_underlying_correlation() { // Options and stock on same underlying let stock_position = Price::new(100000.0).unwrap(); let option_delta_exposure = Price::new(60000.0).unwrap(); // Delta-adjusted let futures_exposure = Price::new(50000.0).unwrap(); let total_underlying_exposure = stock_position + option_delta_exposure + futures_exposure; let combined_limit = Price::new(150000.0).unwrap(); // Total exposure exceeds limit assert!(total_underlying_exposure > combined_limit); } } #[cfg(test)] mod complex_compliance_scenarios { use super::*; #[tokio::test] async fn test_wash_sale_detection() { // Sell at loss, rebuy within 30 days let sale_date = Utc::now() - Duration::days(15); let purchase_date = Utc::now(); let days_between = (purchase_date - sale_date).num_days(); let is_wash_sale = days_between <= 30; assert!(is_wash_sale); // Loss disallowed for tax purposes } #[tokio::test] async fn test_pattern_day_trader_detection() { // 4+ day trades in 5 business days let day_trades = vec![ Utc::now() - Duration::days(4), Utc::now() - Duration::days(3), Utc::now() - Duration::days(2), Utc::now() - Duration::days(1), ]; let is_pattern_day_trader = day_trades.len() >= 4; assert!(is_pattern_day_trader); // Requires $25,000 minimum equity let min_equity_required = Price::new(25000.0).unwrap(); let current_equity = Price::new(20000.0).unwrap(); let is_compliant = current_equity >= min_equity_required; assert!(!is_compliant); } #[tokio::test] async fn test_short_sale_restriction_uptick_rule() { // Cannot short on downtick during circuit breaker let circuit_breaker_triggered = true; let is_uptick = false; let can_short = if circuit_breaker_triggered { is_uptick // Must be on uptick } else { true // No restriction }; assert!(!can_short); } #[tokio::test] async fn test_margin_call_calculation() { let account_equity = Price::new(50000.0).unwrap(); let margin_debt = Price::new(80000.0).unwrap(); let margin_ratio = margin_debt.to_decimal().unwrap() / account_equity.to_decimal().unwrap(); let maintenance_margin = dec!(0.25); // 25% minimum let current_margin = dec!(1.0) - (margin_debt.to_decimal().unwrap() / (account_equity + margin_debt).to_decimal().unwrap()); let is_margin_call = current_margin < maintenance_margin; assert!(is_margin_call); // Calculate required deposit let required_equity = margin_debt.to_decimal().unwrap() / (dec!(1.0) - maintenance_margin); let deposit_amount = required_equity - account_equity.to_decimal().unwrap(); let deposit_required = if let Some(deposit_f64) = deposit_amount.to_f64() { Price::new(deposit_f64).unwrap() } else { Price::ZERO }; assert!(deposit_required > Price::ZERO); } }