foxhunt/ml/src/microstructure/roll_spread.rs

//! # Roll Spread Estimator
//!
//! Implementation of Roll (1984) spread estimator that infers bid-ask spread
//! from serial covariance in price changes.
//!
//! ## Algorithm
//!
//! Roll Spread = 2 × √(-Cov(ΔP_t, ΔP_{t-1}))
//!
//! - Uses negative autocovariance in price changes
//! - Assumes price changes alternate due to bid-ask bounce
//! - Provides spread estimate when quotes are not available
//!
//! ## Performance
//!
//! - Target latency: <25μs per calculation
//! - Efficient rolling covariance calculation
//! - Handles missing or invalid data gracefully

use std::collections::VecDeque;
use std::sync::atomic::{AtomicI64, AtomicU64, Ordering};

use serde::{Deserialize, Serialize};
use common::types::Price;

use super::*;
use super::{
// use crate::safe_operations; // DISABLED - module not found

    #[test]
    fn test_roll_spread_estimator_creation() {
        let estimator = RollSpreadEstimator::default();
        assert_eq!(estimator.get_spread(), 0.0);
        assert_eq!(estimator.get_price_change_count(), 0);
        assert!(!estimator.is_valid_estimate());
    }
    
    #[test]
    fn test_price_change_tracking() {
        let mut estimator = RollSpreadEstimator::default();
        
        // Add series of price changes that alternate (bid-ask bounce)
        let base_price = 100000; // $10.00
        for i in 0..50 {
            let price = if i % 2 == 0 { 
                base_price + 50 // Ask side
            } else { 
                base_price - 50 // Bid side
            };
            
            let update = MarketDataUpdate {
                timestamp: (i * 1000000) as u64,
                symbol: "AAPL".to_string(),
                price,
                volume: 1000,
                bid: base_price - 50,
                ask: base_price + 50,
                bid_size: 100,
                ask_size: 100,
                direction: None,
            };
            
            estimator.update(&update)?;
        }
        
        let result = estimator.get_result();
        assert!(result.price_change_count > 0);
        
        // Should detect negative autocovariance from alternating prices
        if result.is_valid_estimate {
            assert!(result.autocovariance < 0.0);
            assert!(result.spread > 0.0);
            println!("Roll spread: {:.4}, Autocovariance: {:.4}", 
                    result.spread, result.autocovariance);
        }
    }
    
    #[test]
    fn test_high_frequency_estimator() {
        let estimator = RollSpreadEstimator::high_frequency(200);
        
        let config = estimator.get_config();
        assert_eq!(config.window_size, 200);
        assert_eq!(config.update_frequency, 1); // Every trade
        assert_eq!(config.min_price_change, 0); // No minimum
    }
    
    #[test]
    fn test_spread_calculation() {
        let config = RollSpreadConfig {
            window_size: 20,
            min_price_changes: 10,
            update_frequency: 1,
            ..Default::default()
        };
        
        let mut estimator = RollSpreadEstimator::new(config);
        
        // Create alternating price pattern (classic bid-ask bounce)
        let prices = [100050, 99950, 100050, 99950, 100050, 99950,
                     100050, 99950, 100050, 99950, 100050, 99950,
                     100050, 99950, 100050, 99950, 100050, 99950];
        
        for (i, &price) in prices.iter().enumerate() {
            let update = MarketDataUpdate {
                timestamp: (i * 1000000) as u64,
                symbol: "AAPL".to_string(),
                price,
                volume: 1000,
                bid: 99950,
                ask: 100050,
                bid_size: 100,
                ask_size: 100,
                direction: None,
            };
            
            estimator.update(&update)?;
        }
        
        let result = estimator.get_result();
        
        // Perfect bid-ask bounce should give negative autocovariance
        if result.is_valid_estimate {
            assert!(result.autocovariance < 0.0);
            assert!(result.spread > 0.0);
            assert!(result.spread_bps > 0.0);
            
            // The spread should be close to the actual bid-ask spread (100 basis points)
            println!("Detected spread: {:.4} ({:.2} bps), Expected: 0.01 (100 bps)", 
                    result.spread, result.spread_bps);
        }
    }
    
    #[test]
    fn test_data_quality_score() {
        let mut estimator = RollSpreadEstimator::default();
        
        // Initially no data
        assert_eq!(estimator.get_data_quality_score(), 0.0);
        
        // Add some price changes
        for i in 0..10 {
            let update = MarketDataUpdate {
                timestamp: (i * 1000000) as u64,
                symbol: "AAPL".to_string(),
                price: 100000 + (i % 2) * 100, // Alternating
                volume: 1000,
                bid: 99950,
                ask: 100050,
                bid_size: 100,
                ask_size: 100,
                direction: None,
            };
            
            estimator.update(&update)?;
        }
        
        let quality_score = estimator.get_data_quality_score();
        assert!(quality_score > 0.0);
        assert!(quality_score <= 1.0);
        
        println!("Data quality score: {:.4}", quality_score);
    }
    
    #[test]
    fn test_midpoint_vs_transaction_prices() {
        // Test with transaction prices
        let mut est_transaction = RollSpreadEstimator::new(RollSpreadConfig {
            use_transaction_prices: true,
            window_size: 20,
            min_price_changes: 10,
            update_frequency: 1,
            ..Default::default()
        });
        
        // Test with midpoint prices
        let mut est_midpoint = RollSpreadEstimator::new(RollSpreadConfig {
            use_transaction_prices: false,
            window_size: 20,
            min_price_changes: 10,
            update_frequency: 1,
            ..Default::default()
        });
        
        // Add same data to both
        for i in 0..20 {
            let update = MarketDataUpdate {
                timestamp: (i * 1000000) as u64,
                symbol: "AAPL".to_string(),
                price: if i % 2 == 0 { 100050 } else { 99950 }, // Transaction price alternates
                volume: 1000,
                bid: 99950,
                ask: 100050, // Midpoint = 100000 (constant)
                bid_size: 100,
                ask_size: 100,
                direction: None,
            };
            
            est_transaction.update(&update)?;
            est_midpoint.update(&update)?;
        }
        
        let result_trans = est_transaction.get_result();
        let result_mid = est_midpoint.get_result();
        
        // Transaction prices should show bid-ask bounce, midpoint should not
        println!("Transaction spread: {:.4}, Midpoint spread: {:.4}", 
                result_trans.spread, result_mid.spread);
        
        if result_trans.is_valid_estimate {
            assert!(result_trans.spread > 0.0);
        }
        
        // Midpoint prices are constant, so no spread detected
        assert_eq!(result_mid.spread, 0.0);
    }
}