foxhunt/crates/ml/tests/ppo_transaction_costs_tests.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,
    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");
}