foxhunt/crates/ml/tests/wave16s_price_validation_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,
)]
/// WAVE 16S-P1: Price Validation Test Suite
///
/// Tests the production-grade price validation logic that prevents catastrophic
/// portfolio values from corrupted data (e.g., the -$1.93B bug from $1.11 price).

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

#[test]
fn test_price_validation_rejects_nan() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with NaN price
    tracker.execute_action(action, f32::NAN, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "NaN price should be rejected");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_rejects_infinity() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with Inf price
    tracker.execute_action(action, f32::INFINITY, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "Infinity price should be rejected");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_rejects_zero() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with zero price
    tracker.execute_action(action, 0.0, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "Zero price should be rejected");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_rejects_negative() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with negative price
    tracker.execute_action(action, -100.0, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "Negative price should be rejected");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_rejects_corrupted_price_1_11() {
    // This is the exact bug that caused -$1.93B portfolio value
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with corrupted price $1.11 (instead of ~$5000 for ES)
    tracker.execute_action(action, 1.11, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "Price $1.11 should be rejected (< $1000 ES min)");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_rejects_below_es_min() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with price below ES minimum ($1000)
    tracker.execute_action(action, 999.99, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "Price $999.99 should be rejected (< $1000 ES min)");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_rejects_above_es_max() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt to execute with price above ES maximum ($10,000)
    tracker.execute_action(action, 10_000.01, 100.0);

    // Portfolio should be unchanged (action rejected)
    assert_eq!(tracker.current_position(), 0.0, "Price $10,000.01 should be rejected (> $10K ES max)");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged");
}

#[test]
fn test_price_validation_accepts_valid_es_price() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongSmall, OrderType::Market, Urgency::Normal);

    // Execute with valid ES price (~$5000)
    tracker.execute_action(action, 5000.0, 100.0);

    // Portfolio should be updated (action accepted)
    // Long50 = 0.5 exposure, so position = 0.5 * 100 = 50 contracts
    assert_eq!(tracker.current_position(), 50.0, "Valid price $5000 should be accepted");

    // Cash should be reduced by position value minus transaction costs
    // 50 contracts * $5000 = $250,000 notional, but position is clamped to ±200 max
    // target = 0.5 * 100 = 50 contracts (within ±200 limit)
    // Cash change: 50 * 5000 = 250,000 (but we only have $10K capital)
    // This will show up as negative cash (leveraged position)
    assert!(tracker.cash_balance() < 10_000.0, "Cash should be reduced after buying");
}

#[test]
fn test_price_validation_accepts_boundary_prices() {
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal);

    // Test exact minimum boundary ($1000.00)
    tracker.execute_action(action, 1000.0, 100.0);
    assert_eq!(tracker.current_position(), 0.0, "Min boundary $1000 should be accepted (Flat position)");

    tracker.reset();

    // Test exact maximum boundary ($10,000.00)
    tracker.execute_action(action, 10_000.0, 100.0);
    assert_eq!(tracker.current_position(), 0.0, "Max boundary $10,000 should be accepted (Flat position)");
}

#[test]
fn test_price_validation_continuity_warning() {
    // This test verifies that large price jumps (>50%) are logged but allowed
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal);

    // First action: establish baseline price
    tracker.execute_action(action, 5000.0, 100.0);

    // Second action: price jumps 60% (from $5000 to $8000)
    // This should trigger WARNING but still be accepted (legitimate flash crashes can happen)
    tracker.execute_action(action, 8000.0, 100.0);

    // Portfolio should be updated (action accepted despite warning)
    // Flat position, so position should still be 0
    assert_eq!(tracker.current_position(), 0.0, "Large price jump should be allowed with warning");
}

#[test]
fn test_price_validation_multiple_rejections() {
    // Verify that multiple rejected actions don't corrupt portfolio state
    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 1.0);
    let action = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);

    // Attempt multiple invalid prices
    tracker.execute_action(action, f32::NAN, 100.0);
    tracker.execute_action(action, -50.0, 100.0);
    tracker.execute_action(action, 0.5, 100.0);
    tracker.execute_action(action, 15_000.0, 100.0);

    // Portfolio should remain pristine
    assert_eq!(tracker.current_position(), 0.0, "Multiple rejections should leave portfolio unchanged");
    assert_eq!(tracker.cash_balance(), 10_000.0, "Cash should be unchanged after multiple rejections");

    // Now execute a valid action to verify tracker still works
    tracker.execute_action(action, 5000.0, 100.0);
    assert_eq!(tracker.current_position(), 100.0, "Valid action should work after rejections");
}