foxhunt/crates/ml/tests/contract_multiplier_test.rs

#![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,
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    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,
)]
// Contract Multiplier Tests - Wave 16S-V8 Bug #3
// Tests for futures contract multiplier in portfolio calculations
//
// Bug: All price calculations treat price (index points) as dollars,
// ignoring futures contract multipliers (ES=$50/point, NQ=$20/point, ZN=$1000/point)
//
// CRITICAL: These tests are designed to FAIL with the buggy code (no multiplier)
// and PASS after the fix is applied.

use ml::dqn::portfolio_tracker::PortfolioTracker;
use ml::dqn::action_space::{FactoredAction, ExposureLevel, OrderType, Urgency};

#[test]
fn test_es_multiplier_50_per_point() {
    // ES futures: $50 per point
    // Test: 1 contract @ 5600 points = $280,000 notional value
    let mut tracker = PortfolioTracker::new(
        500_000.0,  // initial_capital
        0.0001,     // avg_spread
        50.0,       // contract_multiplier (ES = $50/point)
    );

    let price = 5600.0;
    let max_position = 10.0;

    // Buy 1 contract (Long100 with MAX_POSITION_CONTRACTS=1.0 limit)
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, price, max_position);

    let features = tracker.get_raw_portfolio_features(price);
    let portfolio_value = features[0];

    // Expected: Portfolio value should stay ~$500,000 (cash down, position value up)
    // Actual (before fix): Portfolio value = $500,000 - $5,600 - fees = $494,316 (50× too small)
    assert!(
        (portfolio_value - 500_000.0).abs() < 1_000.0,
        "ES multiplier broken: portfolio_value={} (expected ~500000)",
        portfolio_value
    );
}

#[test]
fn test_nq_multiplier_20_per_point() {
    // NQ futures: $20 per point
    // Test: 1 contract @ 18000 points = $360,000 notional value
    let mut tracker = PortfolioTracker::new(
        500_000.0,  // initial_capital
        0.0001,     // avg_spread
        20.0,       // contract_multiplier (NQ = $20/point)
    );

    let price = 18000.0;
    let max_position = 10.0;

    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, price, max_position);

    let features = tracker.get_raw_portfolio_features(price);
    let portfolio_value = features[0];

    // Expected: ~$500,000 (cash down $360K + fees, position up $360K)
    // Actual (before fix): $481,973 (20× too small)
    assert!(
        (portfolio_value - 500_000.0).abs() < 1_000.0,
        "NQ multiplier broken: portfolio_value={} (expected ~500000)",
        portfolio_value
    );
}

#[test]
fn test_zn_multiplier_1000_per_point() {
    // ZN futures: $1000 per point
    // Test: 1 contract @ 110 points = $110,000 notional value
    let mut tracker = PortfolioTracker::new(
        200_000.0,  // initial_capital
        0.0001,     // avg_spread
        1000.0,     // contract_multiplier (ZN = $1000/point)
    );

    let price = 110.0;
    let max_position = 10.0;

    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, price, max_position);

    let features = tracker.get_raw_portfolio_features(price);
    let portfolio_value = features[0];

    // Expected: ~$200,000 (cash down $110K + fees, position up $110K)
    // Actual (before fix): $199,835 (1000× too small)
    assert!(
        (portfolio_value - 200_000.0).abs() < 1_000.0,
        "ZN multiplier broken: portfolio_value={} (expected ~200000)",
        portfolio_value
    );
}

#[test]
fn test_es_round_trip_with_multiplier() {
    // Test round-trip trade verifies multiplier in both buy and sell
    let mut tracker = PortfolioTracker::new(
        500_000.0,
        0.0001,
        50.0,  // ES multiplier
    );

    let buy_price = 5600.0;
    let sell_price = 5650.0;  // 50 point profit
    let max_position = 10.0;

    // Buy 1 contract @ 5600
    let buy_action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(buy_action, buy_price, max_position);

    // Sell 1 contract @ 5650 (50 point profit)
    let sell_action = FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal);
    tracker.execute_action(sell_action, sell_price, max_position);

    let features = tracker.get_raw_portfolio_features(sell_price);
    let final_value = features[0];

    // Expected profit: 50 points * $50/point = $2,500 (minus transaction costs ~$850)
    // Net: $500,000 + $2,500 - $850 = ~$501,650
    // Actual (before fix): $500,048 (no multiplier, 50× too small)
    let expected_profit = 50.0 * 50.0;  // 50 points * $50/point
    let expected_final = 500_000.0 + expected_profit;

    assert!(
        (final_value - expected_final).abs() < 1_500.0,  // Allow $1500 tolerance for transaction costs
        "Round-trip profit broken: final_value={} (expected ~{})",
        final_value, expected_final
    );
}

#[test]
fn test_cash_accounting_with_multiplier() {
    // Test cash deduction includes multiplier
    let mut tracker = PortfolioTracker::new(
        500_000.0,
        0.0001,
        50.0,  // ES multiplier
    );

    let price = 5600.0;
    let max_position = 10.0;

    let initial_cash = tracker.cash_balance();

    // Buy 1 contract @ 5600
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, price, max_position);

    let final_cash = tracker.cash_balance();

    // Expected cash reduction: 1 * 5600 * 50 + transaction_cost = ~$280,420
    // Remaining: $500,000 - $280,420 = ~$219,580
    // Actual (before fix): $494,316 (no multiplier)
    let expected_cash_reduction = 1.0 * 5600.0 * 50.0;  // $280,000

    assert!(
        (initial_cash - final_cash) > (expected_cash_reduction - 1_000.0),
        "Cash reduction broken: initial={}, final={}, reduction={} (expected ~{})",
        initial_cash, final_cash, initial_cash - final_cash, expected_cash_reduction
    );
}

#[test]
fn test_no_multiplier_default() {
    // Test with multiplier = 1.0 (no multiplier, backward compatibility)
    let mut tracker = PortfolioTracker::new(
        100_000.0,
        0.0001,
        1.0,  // contract_multiplier = 1.0 (no multiplier)
    );

    let price = 5600.0;
    let max_position = 10.0;

    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, price, max_position);

    let features = tracker.get_raw_portfolio_features(price);
    let portfolio_value = features[0];

    // With multiplier=1.0, portfolio value should be ~$100,000 (small change from 1 contract)
    // Cash reduction: 1 * 5600 * 1.0 = $5,600
    // Remaining: $100,000 - $5,608 = ~$94,392
    // Position value: 1 * 5600 * 1.0 = $5,600
    // Total: ~$100,000
    assert!(
        (portfolio_value - 100_000.0).abs() < 1_000.0,
        "No multiplier (1.0) broken: portfolio_value={} (expected ~100000)",
        portfolio_value
    );
}

#[test]
fn test_multiple_contracts_with_multiplier() {
    // Test multiple contracts (position limit prevents this, but test the calculation)
    // This test will actually only execute 1 contract due to MAX_POSITION_CONTRACTS=1.0
    let mut tracker = PortfolioTracker::new(
        1_000_000.0,  // Large capital for multiple contracts
        0.0001,
        50.0,  // ES multiplier
    );

    let price = 5600.0;
    let max_position = 10.0;  // Request 10 contracts

    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, price, max_position);

    let features = tracker.get_raw_portfolio_features(price);
    let position = features[1];

    // Due to MAX_POSITION_CONTRACTS=1.0, position is clamped to 1.0
    assert_eq!(position, 1.0, "Position should be clamped to 1.0 (MAX_POSITION_CONTRACTS limit)");
}

#[test]
fn test_short_position_with_multiplier() {
    // Test short position profit calculation with multiplier
    let mut tracker = PortfolioTracker::new(
        500_000.0,
        0.0001,
        50.0,  // ES multiplier
    );

    let short_price = 5600.0;
    let cover_price = 5550.0;  // 50 point profit for short
    let max_position = 10.0;

    // Short 1 contract @ 5600
    let short_action = FactoredAction::new(ExposureLevel::ShortSmall, OrderType::Market, Urgency::Normal);
    tracker.execute_action(short_action, short_price, max_position);

    // Cover @ 5550 (50 point profit)
    let cover_action = FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal);
    tracker.execute_action(cover_action, cover_price, max_position);

    let features = tracker.get_raw_portfolio_features(cover_price);
    let final_value = features[0];

    // Expected profit: 50 points * $50/point = $2,500
    // Actual (before fix): ~$50 (no multiplier)
    let expected_profit = 50.0 * 50.0;
    let expected_final = 500_000.0 + expected_profit;

    assert!(
        (final_value - expected_final).abs() < 1_500.0,
        "Short position profit broken: final_value={} (expected ~{})",
        final_value, expected_final
    );
}

#[test]
fn test_unrealized_pnl_with_multiplier() {
    // Test unrealized P&L calculation includes multiplier
    let mut tracker = PortfolioTracker::new(
        500_000.0,
        0.0001,
        50.0,  // ES multiplier
    );

    let entry_price = 5600.0;
    let current_price = 5650.0;  // 50 point profit
    let max_position = 10.0;

    // Buy 1 contract @ 5600
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    tracker.execute_action(action, entry_price, max_position);

    // Calculate unrealized P&L at 5650
    let unrealized_pnl = tracker.unrealized_pnl(current_price);

    // Expected: 50 points * $50/point = $2,500 (minus transaction costs)
    // Actual (before fix): ~$50 (no multiplier)
    let expected_pnl = 50.0 * 50.0;  // $2,500

    assert!(
        (unrealized_pnl - expected_pnl).abs() < 1_000.0,  // Allow $1000 tolerance for transaction costs
        "Unrealized P&L broken: unrealized_pnl={} (expected ~{})",
        unrealized_pnl, expected_pnl
    );
}