//! Position Limit Enforcement Edge Case Tests //! Target: Complex position limit scenarios //! Focus: Concurrent updates, split fills, partial executions #![allow( unused_crate_dependencies, dead_code, unused_variables, clippy::useless_vec )] #[derive(Debug, Clone)] struct Position { symbol: String, quantity: f64, limit: f64, } #[derive(Debug, Clone)] struct Order { symbol: String, quantity: f64, timestamp: chrono::DateTime, } #[cfg(test)] mod concurrent_order_tests { use super::*; use chrono::Utc; #[test] fn test_concurrent_orders_same_symbol() { let limit = 10000.0; let current_position = 5000.0; let orders = vec![ Order { symbol: "AAPL".to_owned(), quantity: 3000.0, timestamp: Utc::now(), }, Order { symbol: "AAPL".to_owned(), quantity: 3000.0, timestamp: Utc::now(), }, Order { symbol: "AAPL".to_owned(), quantity: 3000.0, timestamp: Utc::now(), }, ]; // Sum of all orders let total_requested: f64 = orders.iter().map(|o| o.quantity).sum(); let total_would_be = current_position + total_requested; assert!(total_would_be > limit); } #[test] fn test_order_sequencing_matters() { let limit = 10000.0; let mut position = 0.0; let orders = vec![5000.0, 4000.0, 3000.0]; for order_size in orders { if position + order_size <= limit { position += order_size; } } // Only first two orders fill assert_eq!(position, 9000.0); } #[test] fn test_racy_limit_checks() { let limit = 10000.0; let position = 9500.0; // Two orders check limit simultaneously let order1 = 600.0; let order2 = 700.0; let check1_passes = position + order1 <= limit; let check2_passes = position + order2 <= limit; // Both checks might pass individually assert!(!check1_passes); assert!(!check2_passes); // But executing both would violate assert!(position + order1 + order2 > limit); } } #[cfg(test)] mod split_fill_tests { #[test] fn test_partial_fill_tracking() { let limit: f64 = 10000.0; let position: f64 = 8000.0; let order_size: f64 = 3000.0; // Can only partially fill let fillable = (limit - position).max(0.0); assert_eq!(fillable, 2000.0); assert!(fillable < order_size); } #[test] fn test_multiple_partial_fills() { let limit = 10000.0; let mut position = 7000.0; let order_size = 5000.0; let fills = vec![1000.0, 1500.0, 500.0]; for fill in fills { if position + fill <= limit { position += fill; } else { break; } } assert_eq!(position, 10000.0); } #[test] fn test_split_fill_across_limit_boundary() { let limit: f64 = 10000.0; let position: f64 = 9800.0; let total_order: f64 = 1000.0; let fill_chunk_size: f64 = 100.0; let mut filled: f64 = 0.0; let mut current_pos = position; while filled < total_order && current_pos < limit { let chunk = fill_chunk_size.min(limit - current_pos); current_pos += chunk; filled += chunk; } assert_eq!(filled, 200.0); assert_eq!(current_pos, 10000.0); } } #[cfg(test)] mod dynamic_limit_changes_tests { #[test] fn test_limit_reduced_during_order() { let mut limit = 10000.0; let position = 8000.0; let order = 1500.0; // Order would be valid let initially_valid = position + order <= limit; assert!(initially_valid); // Limit reduced limit = 9000.0; // Now invalid let now_valid = position + order <= limit; assert!(!now_valid); } #[test] fn test_limit_increased_during_violation() { let mut limit = 10000.0; let position = 11000.0; // In violation assert!(position > limit); // Limit increased limit = 12000.0; // Violation cleared assert!(position <= limit); } #[test] fn test_intraday_limit_changes() { let morning_limit = 15000.0; let afternoon_limit = 10000.0; let position = 12000.0; // Valid in morning assert!(position <= morning_limit); // Violates afternoon limit assert!(position > afternoon_limit); } } #[cfg(test)] mod multi_asset_limit_tests { #[test] fn test_correlated_asset_limits() { let individual_limit = 10000.0; let correlation_limit = 15000.0; // For correlated pairs let positions = vec![ ("AAPL", 9000.0), ("MSFT", 8000.0), // Correlated with AAPL ]; // Each within individual limit for (_, qty) in &positions { assert!(*qty <= individual_limit); } // But exceeds correlation limit let correlated_total: f64 = positions.iter().map(|(_, qty)| qty).sum(); assert!(correlated_total > correlation_limit); } #[test] fn test_portfolio_level_vs_symbol_level_limits() { let symbol_limit = 5000.0; let portfolio_limit = 20000.0; let positions = vec![ ("AAPL", 4000.0), ("GOOGL", 4500.0), ("MSFT", 4000.0), ("AMZN", 4800.0), ]; // All within symbol limits for (_, qty) in &positions { assert!(*qty <= symbol_limit); } // Total within portfolio limit let total: f64 = positions.iter().map(|(_, qty)| qty).sum(); assert!(total <= portfolio_limit); } #[test] fn test_sector_exposure_limits() { let tech_sector_limit = 30000.0; let tech_positions = vec![("AAPL", 10000.0), ("GOOGL", 12000.0), ("MSFT", 9000.0)]; let tech_exposure: f64 = tech_positions.iter().map(|(_, qty)| qty).sum(); assert!(tech_exposure > tech_sector_limit); } } #[cfg(test)] mod netting_scenarios_tests { #[test] fn test_net_vs_gross_position_limits() { let long_position: f64 = 20000.0; let short_position: f64 = -15000.0; let net_position = long_position + short_position; let gross_position = long_position.abs() + short_position.abs(); let net_limit = 10000.0; let gross_limit = 30000.0; assert!(net_position <= net_limit); assert!(gross_position <= gross_limit); } #[test] fn test_hedged_position_limits() { let spot_position = 10000.0; let futures_hedge = -9000.0; let net_exposure = spot_position + futures_hedge; let exposure_limit = 2000.0; assert!(net_exposure <= exposure_limit); } #[test] fn test_options_delta_adjusted_limits() { let stock_shares = 5000.0; let call_options_delta_adj = 3000.0; // 100 calls * 0.30 delta * 100 shares let put_options_delta_adj = -2000.0; // 100 puts * -0.20 delta * 100 shares let total_delta_adjusted = stock_shares + call_options_delta_adj + put_options_delta_adj; let delta_limit = 10000.0; assert!(total_delta_adjusted <= delta_limit); } } #[cfg(test)] mod risk_adjusted_limit_tests { #[test] fn test_volatility_adjusted_limits() { let base_limit = 10000.0; let low_vol_multiplier = 1.5; let high_vol_multiplier = 0.5; let low_vol_limit = base_limit * low_vol_multiplier; let high_vol_limit = base_limit * high_vol_multiplier; assert_eq!(low_vol_limit, 15000.0); assert_eq!(high_vol_limit, 5000.0); } #[test] fn test_var_scaled_position_limits() { let position = 10000.0; let price = 150.0; let volatility = 0.02; // 2% daily vol let position_var = position * price * volatility * 1.65; // 95% confidence let var_limit = 50000.0; assert!(position_var < var_limit); } #[test] fn test_concentration_risk_adjustment() { let portfolio_value = 1_000_000.0; let position_value = 100_000.0; let concentration = position_value / portfolio_value; let max_concentration = 0.20; // 20% if concentration > max_concentration { // Reduce effective limit let adjusted_limit = (portfolio_value * max_concentration) / 150.0; // Assume $150 stock price assert!(adjusted_limit < position_value / 150.0); } } } #[cfg(test)] mod time_based_limit_tests { use chrono::{Duration, Utc}; #[test] fn test_limit_scaling_by_time_of_day() { let base_limit = 10000.0; // Higher limits during peak liquidity (10am-3pm) let peak_multiplier = 1.5; let off_peak_multiplier = 0.75; let peak_limit = base_limit * peak_multiplier; let off_peak_limit = base_limit * off_peak_multiplier; assert_eq!(peak_limit, 15000.0); assert_eq!(off_peak_limit, 7500.0); } #[test] fn test_end_of_day_limit_reduction() { let intraday_limit = 20000.0; let eod_limit = 10000.0; let position = 15000.0; let market_close = Utc::now() .date_naive() .and_hms_opt(16, 0, 0) .unwrap() .and_utc(); let current_time = Utc::now() .date_naive() .and_hms_opt(15, 50, 0) .unwrap() .and_utc(); let time_to_close = (market_close - current_time).num_minutes(); let applicable_limit = if time_to_close < 10 { eod_limit } else { intraday_limit }; // 10 minutes before close, stricter limit applies assert_eq!(applicable_limit, eod_limit); assert!(position > applicable_limit); } #[test] fn test_holding_period_limits() { let position_opened = Utc::now() - Duration::days(5); let max_holding_days = 3; let holding_period = (Utc::now() - position_opened).num_days(); let holding_limit_violated = holding_period > max_holding_days; assert!(holding_limit_violated); } } #[cfg(test)] mod extraordinary_circumstance_tests { #[test] fn test_circuit_breaker_triggered_limits() { let normal_limit = 10000.0; let circuit_breaker_active = true; let effective_limit = if circuit_breaker_active { 0.0 // No new positions during circuit breaker } else { normal_limit }; assert_eq!(effective_limit, 0.0); } #[test] fn test_market_volatility_limit_reduction() { let base_limit = 10000.0; let vix_level = 40.0; // High volatility let limit_reduction = if vix_level > 30.0 { 0.5 // Reduce limits by 50% } else { 1.0 }; let adjusted_limit = base_limit * limit_reduction; assert_eq!(adjusted_limit, 5000.0); } #[test] fn test_news_event_temporary_restriction() { let normal_limit = 10000.0; let earnings_announcement_pending = true; let limit_multiplier = if earnings_announcement_pending { 0.5 // Reduce to 50% ahead of earnings } else { 1.0 }; let effective_limit = normal_limit * limit_multiplier; assert_eq!(effective_limit, 5000.0); } }