foxhunt/crates/ml/tests/wave16r_position_limits_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,
    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,
)]
use ml::dqn::portfolio_tracker::PortfolioTracker;
use ml::dqn::action_space::{FactoredAction, ExposureLevel, OrderType, Urgency};
use tracing::info;

#[test]
fn test_position_size_respects_max_limit() {
    let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0);

    // Try to build massive 10,000 contract position (Wave 16R bug)
    for i in 0..100 {
        let long_action = FactoredAction::new(
            ExposureLevel::LongFull,  // Maximum long exposure
            OrderType::Market,
            Urgency::Aggressive
        );

        tracker.execute_action(
            long_action,
            5000.0,  // ES futures price
            200.0    // Max position parameter (should be enforced)
        );

        // Debug: Check position after each iteration
        if i % 20 == 0 {
            let features = tracker.get_raw_portfolio_features(5000.0);
            info!(iteration = i, position = features[1], portfolio = features[0], "Position check");
        }
    }

    // CRITICAL: Position must be clamped to max_position limit
    let features = tracker.get_raw_portfolio_features(5000.0);
    let final_position = features[1];  // Position size from features
    info!(position = final_position, portfolio = features[0], "Final position");

    assert!(
        final_position.abs() <= 200.0,
        "Position size {} exceeds max_position limit 200! \
         Bug #15 (unbounded position sizing) still exists!",
        final_position
    );
}

#[test]
fn test_position_prevents_portfolio_explosion() {
    let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0);
    let initial_capital = 100_000.0;

    // Build position to limit
    for _ in 0..50 {
        let action = FactoredAction::new(
            ExposureLevel::LongFull,
            OrderType::Market,
            Urgency::Aggressive
        );
        tracker.execute_action(action, 5000.0, 100.0);
    }

    let features = tracker.get_raw_portfolio_features(5000.0);
    let portfolio_value = features[0];
    let normalized_value = portfolio_value / initial_capital;

    // Portfolio should stay in realistic range (not $50M)
    assert!(
        portfolio_value < 500_000.0,
        "Portfolio value ${} is catastrophic! Expected <$500K. \
         Position explosion indicates Bug #15 persists.",
        portfolio_value
    );

    assert!(
        normalized_value < 5.0,
        "Normalized value {} is catastrophic! Expected <5.0. \
         This will cause reward explosion and gradient collapse.",
        normalized_value
    );
}

#[test]
fn test_negative_position_also_clamped() {
    let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0);

    // Try to build massive short position
    for _ in 0..100 {
        let short_action = FactoredAction::new(
            ExposureLevel::ShortSmall,  // Maximum short exposure
            OrderType::Market,
            Urgency::Aggressive
        );

        tracker.execute_action(
            short_action,
            5000.0,  // ES futures price
            150.0    // Max position parameter
        );
    }

    let features = tracker.get_raw_portfolio_features(5000.0);
    let final_position = features[1];
    assert!(
        final_position >= -150.0,
        "Short position {} exceeds max_position limit -150! \
         Position clipping should work both ways.",
        final_position
    );
}

#[test]
fn test_low_price_creates_catastrophic_positions() {
    let mut tracker = PortfolioTracker::new(100_000.0, 0.0001, 1.0);

    // CRITICAL: Simulate low price scenario (e.g., penny stock or data bug)
    // At price=$10, max_position = $100K / $10 = 10,000 contracts!
    let low_price = 10.0;
    let max_position_uncapped = 100_000.0 / low_price;  // = 10,000 contracts

    info!(price = low_price, max_position = max_position_uncapped, "Testing low price scenario");

    // Execute Long100 action with uncapped max_position
    let long_action = FactoredAction::new(
        ExposureLevel::LongFull,
        OrderType::Market,
        Urgency::Aggressive
    );

    tracker.execute_action(long_action, low_price, max_position_uncapped);

    let features = tracker.get_raw_portfolio_features(low_price);
    let final_position = features[1];
    let portfolio_value = features[0];

    info!(position = final_position, portfolio = portfolio_value, "After Long100");

    // THIS IS THE BUG: Position can be 10,000 contracts!
    // At $10/contract, that's $100K exposure (OK)
    // But if price moves to $5000 (ES futures), portfolio = 10,000 × $5000 = $50M (CATASTROPHIC)

    // Demonstrate the explosion when price changes
    let es_price = 5000.0;
    let catastrophic_portfolio = tracker.get_raw_portfolio_features(es_price)[0];

    info!(price = es_price, portfolio = catastrophic_portfolio, "Price move - portfolio value");

    assert!(
        final_position.abs() <= 200.0,
        "Position size {} is catastrophic at low price! \
         Should be clamped to reasonable limit (200 contracts), not based on price. \
         Bug #15: max_position = capital/price creates unbounded positions at low prices!",
        final_position
    );

    // Verify portfolio stays under $2M even at high prices (200 contracts × $5K = $1M position)
    assert!(
        catastrophic_portfolio < 2_000_000.0,
        "Portfolio value ${:.0} is still catastrophic! Expected <$2M after position clamping.",
        catastrophic_portfolio
    );
}