foxhunt/tests/risk_validation_tests.rs

//! Critical Risk Management Validation Tests
//!
//! These tests validate the core risk management components for production readiness,
//! focusing on the critical components identified in the analysis:
//! - VaR calculations (Historical, Parametric, Monte Carlo, Hybrid)
//! - Kelly criterion sizing
//! - Position limits and concentration risk
//! - Atomic kill switch functionality
//! - Stress testing scenarios
//! - Regulatory compliance (MiFID II, Basel III, Dodd-Frank)

use std::collections::HashMap;
use std::sync::Arc;
use std::time::Duration;
use tokio::time::timeout;

use risk::prelude::*;
use risk::{
    ComplianceEngine, HistoricalPrice, KillSwitchScope, OrderInfo, OrderSide, OrderType, Portfolio,
    PositionInfo, Symbol, TimeInForce,
};

/// Test data constants for reproducible testing
const TEST_SYMBOL: &str = "EURUSD";
const TEST_ACCOUNT_ID: &str = "test_account_001";
const TEST_PORTFOLIO_ID: &str = "test_portfolio_001";
const STRESS_TEST_TIMEOUT: Duration = Duration::from_secs(30);

#[tokio::test]
async fn test_var_calculation_comprehensive() {
    let var_engine = create_test_var_engine().await;
    let test_positions = create_test_positions();
    let historical_prices = create_test_historical_data();

    // Test all VaR methodologies
    let result = var_engine
        .calculate_comprehensive_var(TEST_PORTFOLIO_ID, &test_positions, &historical_prices)
        .await
        .expect("VaR calculation should succeed");

    // Validate all VaR methods produce reasonable results
    assert!(
        result.historical_var > Decimal::ZERO,
        "Historical VaR must be positive"
    );
    assert!(
        result.parametric_var > Decimal::ZERO,
        "Parametric VaR must be positive"
    );
    assert!(
        result.monte_carlo_var > Decimal::ZERO,
        "Monte Carlo VaR must be positive"
    );
    assert!(
        result.hybrid_var > Decimal::ZERO,
        "Hybrid VaR must be positive"
    );

    // VaR should be reasonable (between 0.1% and 10% of portfolio value)
    let portfolio_value = calculate_portfolio_value(&test_positions);
    let var_ratio = result.hybrid_var / portfolio_value;
    assert!(
        var_ratio >= Decimal::from_str("0.001").unwrap(),
        "VaR too low - may be miscalculated"
    );
    assert!(
        var_ratio <= Decimal::from_str("0.10").unwrap(),
        "VaR too high - may indicate error"
    );

    // Hybrid VaR should be within reasonable bounds of other methods
    let max_var = [
        result.historical_var,
        result.parametric_var,
        result.monte_carlo_var,
    ]
    .iter()
    .max()
    .unwrap();
    let min_var = [
        result.historical_var,
        result.parametric_var,
        result.monte_carlo_var,
    ]
    .iter()
    .min()
    .unwrap();

    assert!(
        result.hybrid_var >= *min_var,
        "Hybrid VaR below minimum component"
    );
    assert!(
        result.hybrid_var <= *max_var,
        "Hybrid VaR above maximum component"
    );
}

#[tokio::test]
async fn test_kelly_criterion_sizing() {
    let kelly_sizer = create_test_kelly_sizer().await;
    let symbol = Symbol::from(TEST_SYMBOL);

    // Test with profitable strategy parameters
    let result = kelly_sizer
        .calculate_kelly_fraction(&symbol, "profitable_strategy")
        .await
        .expect("Kelly calculation should succeed");

    // Kelly fraction should be reasonable for profitable strategy
    assert!(
        result.kelly_fraction > Decimal::ZERO,
        "Kelly fraction should be positive for profitable strategy"
    );
    assert!(
        result.kelly_fraction <= Decimal::ONE,
        "Kelly fraction should not exceed 100%"
    );

    // Fractional Kelly should be applied (typically 25% of full Kelly)
    assert!(
        result.recommended_fraction < result.kelly_fraction,
        "Recommended should be less than full Kelly"
    );
    assert!(
        result.recommended_fraction >= result.kelly_fraction * Decimal::from_str("0.1").unwrap(),
        "Recommended fraction too conservative"
    );

    // Test with losing strategy parameters
    let losing_result = kelly_sizer
        .calculate_kelly_fraction(&symbol, "losing_strategy")
        .await
        .expect("Kelly calculation should succeed for losing strategy");

    assert!(
        losing_result.kelly_fraction <= Decimal::ZERO,
        "Kelly fraction should be zero or negative for losing strategy"
    );
    assert!(
        losing_result.recommended_fraction == Decimal::ZERO,
        "No position recommended for losing strategy"
    );
}

#[tokio::test]
async fn test_position_limits_enforcement() {
    let risk_engine = create_test_risk_engine().await;

    // Test normal position within limits
    let normal_order = create_test_order(Decimal::from_str("10000").unwrap()); // $10k position
    let result = risk_engine
        .check_pre_trade_risk(&normal_order, TEST_ACCOUNT_ID)
        .await
        .expect("Risk check should succeed");

    assert!(result.approved, "Normal position should be approved");
    assert!(
        result.risk_warnings.is_empty(),
        "No warnings for normal position"
    );

    // Test position exceeding single instrument limit
    let large_order = create_test_order(Decimal::from_str("1000000").unwrap()); // $1M position
    let large_result = risk_engine
        .check_pre_trade_risk(&large_order, TEST_ACCOUNT_ID)
        .await
        .expect("Risk check should succeed");

    assert!(!large_result.approved, "Large position should be rejected");
    assert!(
        large_result
            .risk_warnings
            .iter()
            .any(|w| w.contains("position limit")),
        "Should warn about position limits"
    );

    // Test concentration risk (too much in single instrument)
    let concentration_order = create_concentration_test_order();
    let conc_result = risk_engine
        .check_pre_trade_risk(&concentration_order, TEST_ACCOUNT_ID)
        .await
        .expect("Risk check should succeed");

    assert!(
        !conc_result.approved,
        "Concentrated position should be rejected"
    );
    assert!(
        conc_result
            .risk_warnings
            .iter()
            .any(|w| w.contains("concentration")),
        "Should warn about concentration risk"
    );
}

#[tokio::test]
async fn test_atomic_kill_switch_functionality() {
    let kill_switch = create_test_kill_switch().await;

    // Initially trading should be allowed
    assert!(
        kill_switch.is_trading_allowed(&KillSwitchScope::Global),
        "Trading should initially be allowed"
    );
    assert!(
        kill_switch.is_trading_allowed(&KillSwitchScope::Account(TEST_ACCOUNT_ID.to_string())),
        "Account trading should initially be allowed"
    );

    // Test global halt
    kill_switch
        .emergency_halt(KillSwitchScope::Global, "Test global halt")
        .await
        .expect("Global halt should succeed");

    assert!(
        !kill_switch.is_trading_allowed(&KillSwitchScope::Global),
        "Global halt should prevent all trading"
    );
    assert!(
        !kill_switch.is_trading_allowed(&KillSwitchScope::Account(TEST_ACCOUNT_ID.to_string())),
        "Global halt should prevent account trading"
    );

    // Test kill switch performance (must be sub-microsecond)
    use std::time::Instant;
    let start = Instant::now();
    for _ in 0..1000 {
        kill_switch.is_trading_allowed(&KillSwitchScope::Global);
    }
    let elapsed = start.elapsed();
    let avg_nanos = elapsed.as_nanos() / 1000;

    assert!(
        avg_nanos < 1000,
        "Kill switch check must be sub-microsecond, got {}ns",
        avg_nanos
    );

    // Test recovery
    kill_switch
        .resume_trading(KillSwitchScope::Global, "Test recovery")
        .await
        .expect("Trading resume should succeed");

    assert!(
        kill_switch.is_trading_allowed(&KillSwitchScope::Global),
        "Trading should resume after recovery"
    );
}

#[tokio::test]
async fn test_stress_testing_scenarios() {
    let stress_tester = create_test_stress_tester().await;
    let test_portfolio = create_test_portfolio();

    // Test 2008 Financial Crisis scenario
    let crisis_result = timeout(
        STRESS_TEST_TIMEOUT,
        stress_tester.run_stress_test("2008_crisis", &test_portfolio),
    )
    .await
    .expect("Stress test should not timeout")
    .expect("2008 crisis stress test should succeed");

    assert!(
        crisis_result.portfolio_loss > Decimal::ZERO,
        "Crisis scenario should show losses"
    );
    assert!(
        crisis_result.max_drawdown > Decimal::ZERO,
        "Should calculate max drawdown"
    );
    assert!(
        crisis_result.var_breach_probability > Decimal::ZERO,
        "Should show VaR breach probability"
    );

    // Stress test loss should be significant but not total portfolio destruction
    let loss_ratio = crisis_result.portfolio_loss / test_portfolio.total_value;
    assert!(
        loss_ratio > Decimal::from_str("0.05").unwrap(),
        "Crisis should cause >5% loss"
    );
    assert!(
        loss_ratio < Decimal::from_str("0.90").unwrap(),
        "Crisis should not destroy >90% of portfolio"
    );

    // Test COVID-19 Flash Crash scenario
    let covid_result = timeout(
        STRESS_TEST_TIMEOUT,
        stress_tester.run_stress_test("covid_crash", &test_portfolio),
    )
    .await
    .expect("COVID stress test should not timeout")
    .expect("COVID stress test should succeed");

    assert!(
        covid_result.portfolio_loss > Decimal::ZERO,
        "COVID scenario should show losses"
    );

    // Test Flash Crash scenario (high-frequency event)
    let flash_result = timeout(
        STRESS_TEST_TIMEOUT,
        stress_tester.run_stress_test("flash_crash", &test_portfolio),
    )
    .await
    .expect("Flash crash test should not timeout")
    .expect("Flash crash test should succeed");

    assert!(
        flash_result.portfolio_loss > Decimal::ZERO,
        "Flash crash should show losses"
    );
    assert!(
        flash_result.time_to_recovery.is_some(),
        "Should estimate recovery time"
    );
}

#[tokio::test]
async fn test_regulatory_compliance() {
    let compliance_engine = create_test_compliance_engine().await;

    // Test MiFID II compliance
    let mifid_result = compliance_engine
        .validate_mifid_ii_compliance(TEST_ACCOUNT_ID)
        .await
        .expect("MiFID II validation should succeed");

    assert!(mifid_result.is_compliant, "Should be MiFID II compliant");
    assert!(
        mifid_result.best_execution_documented,
        "Best execution must be documented"
    );
    assert!(
        mifid_result.client_categorization_valid,
        "Client categorization must be valid"
    );

    // Test Basel III compliance
    let basel_result = compliance_engine
        .validate_basel_iii_compliance(TEST_PORTFOLIO_ID)
        .await
        .expect("Basel III validation should succeed");

    assert!(basel_result.is_compliant, "Should be Basel III compliant");
    assert!(
        basel_result.capital_adequacy_ratio > Decimal::from_str("0.08").unwrap(),
        "Capital adequacy ratio must exceed 8%"
    );
    assert!(
        basel_result.leverage_ratio > Decimal::from_str("0.03").unwrap(),
        "Leverage ratio must exceed 3%"
    );

    // Test Dodd-Frank compliance
    let dodd_frank_result = compliance_engine
        .validate_dodd_frank_compliance(TEST_ACCOUNT_ID)
        .await
        .expect("Dodd-Frank validation should succeed");

    assert!(
        dodd_frank_result.is_compliant,
        "Should be Dodd-Frank compliant"
    );
    assert!(
        dodd_frank_result.volcker_rule_compliant,
        "Must comply with Volcker rule"
    );
    assert!(
        dodd_frank_result.swap_reporting_compliant,
        "Swap reporting must be compliant"
    );
}

#[tokio::test]
async fn test_circuit_breaker_conditions() {
    let risk_engine = create_test_risk_engine().await;

    // Simulate 2% daily loss to trigger circuit breaker
    let loss_order = create_loss_triggering_order();
    let result = risk_engine
        .check_pre_trade_risk(&loss_order, TEST_ACCOUNT_ID)
        .await
        .expect("Risk check should succeed");

    assert!(
        !result.approved,
        "Order triggering 2% loss should be rejected"
    );
    assert!(
        result
            .risk_warnings
            .iter()
            .any(|w| w.contains("circuit breaker")),
        "Should trigger circuit breaker warning"
    );

    // Verify kill switch is activated for account
    let kill_switch = risk_engine.get_kill_switch();
    assert!(
        !kill_switch.is_trading_allowed(&KillSwitchScope::Account(TEST_ACCOUNT_ID.to_string())),
        "Circuit breaker should halt account trading"
    );
}

#[tokio::test]
async fn test_performance_requirements() {
    let risk_engine = create_test_risk_engine().await;
    let test_order = create_test_order(Decimal::from_str("10000").unwrap());

    // Test that risk checks meet HFT latency requirements
    use std::time::Instant;
    let start = Instant::now();

    // Run 1000 risk checks to get average latency
    for _ in 0..1000 {
        let _result = risk_engine
            .check_pre_trade_risk(&test_order, TEST_ACCOUNT_ID)
            .await
            .expect("Risk check should succeed");
    }

    let elapsed = start.elapsed();
    let avg_micros = elapsed.as_micros() / 1000;

    // Risk checks should be sub-50μs for HFT requirements
    // Note: This validates the performance concern identified in the analysis
    if avg_micros > 50 {
        eprintln!(
            "WARNING: Risk check latency {}μs exceeds 50μs HFT target",
            avg_micros
        );
        eprintln!("This confirms the performance concern identified in the analysis");
        eprintln!("VaR calculations are the likely bottleneck - consider caching or approximation");
    }

    // At minimum, should be under 1ms for any production use
    assert!(
        avg_micros < 1000,
        "Risk check latency {}μs exceeds 1ms maximum",
        avg_micros
    );
}

// Helper functions for test setup
async fn create_test_var_engine() -> RealVaREngine {
    RealVaREngine::new()
        .await
        .expect("VaR engine creation should succeed")
}

async fn create_test_kelly_sizer() -> KellySizer {
    KellySizer::new()
        .await
        .expect("Kelly sizer creation should succeed")
}

async fn create_test_risk_engine() -> RiskEngine {
    RiskEngine::new()
        .await
        .expect("Risk engine creation should succeed")
}

async fn create_test_kill_switch() -> AtomicKillSwitch {
    AtomicKillSwitch::new()
        .await
        .expect("Kill switch creation should succeed")
}

async fn create_test_stress_tester() -> StressTester {
    StressTester::new()
        .await
        .expect("Stress tester creation should succeed")
}

async fn create_test_compliance_engine() -> ComplianceEngine {
    ComplianceEngine::new()
        .await
        .expect("Compliance engine creation should succeed")
}

fn create_test_positions() -> HashMap<Symbol, PositionInfo> {
    let mut positions = HashMap::new();
    positions.insert(
        Symbol::from(TEST_SYMBOL),
        PositionInfo {
            quantity: Decimal::from_str("100000").unwrap(),
            avg_price: Decimal::from_str("1.1050").unwrap(),
            market_value: Decimal::from_str("110500").unwrap(),
            unrealized_pnl: Decimal::from_str("500").unwrap(),
        },
    );
    positions
}

fn create_test_historical_data() -> HashMap<Symbol, Vec<HistoricalPrice>> {
    let mut data = HashMap::new();
    let symbol = Symbol::from(TEST_SYMBOL);

    // Create 30 days of synthetic price data with some volatility
    let mut prices = Vec::new();
    let base_price = 1.1050;
    for i in 0..30 {
        prices.push(HistoricalPrice {
            symbol: symbol.clone(),
            price: Decimal::try_from(
                base_price + (i as f64 * 0.001) + (i as f64 % 5) * 0.0005 - 0.001,
            )
            .unwrap(),
            timestamp: chrono::Utc::now() - chrono::Duration::days(30 - i),
            volume: Decimal::from_str("1000000").unwrap(),
        });
    }

    data.insert(symbol, prices);
    data
}

fn create_test_order(size: Decimal) -> OrderInfo {
    OrderInfo {
        symbol: Symbol::from(TEST_SYMBOL),
        side: OrderSide::Buy,
        quantity: size / Decimal::from_str("1.1050").unwrap(), // Convert to units
        order_type: OrderType::Market,
        price: None,
        time_in_force: TimeInForce::ImmediateOrCancel,
    }
}

fn create_concentration_test_order() -> OrderInfo {
    // Create order that would exceed concentration limits (>20% of portfolio)
    OrderInfo {
        symbol: Symbol::from(TEST_SYMBOL),
        side: OrderSide::Buy,
        quantity: Decimal::from_str("500000").unwrap(), // Large position
        order_type: OrderType::Market,
        price: None,
        time_in_force: TimeInForce::ImmediateOrCancel,
    }
}

fn create_loss_triggering_order() -> OrderInfo {
    // Create order that would trigger 2% daily loss circuit breaker
    OrderInfo {
        symbol: Symbol::from(TEST_SYMBOL),
        side: OrderSide::Sell,
        quantity: Decimal::from_str("200000").unwrap(), // Position that would cause 2%+ loss
        order_type: OrderType::Market,
        price: Some(Decimal::from_str("1.0800").unwrap()), // Below current market
        time_in_force: TimeInForce::ImmediateOrCancel,
    }
}

fn create_test_portfolio() -> Portfolio {
    Portfolio {
        id: TEST_PORTFOLIO_ID.to_string(),
        total_value: Decimal::from_str("1000000").unwrap(), // $1M portfolio
        positions: create_test_positions(),
        cash_balance: Decimal::from_str("100000").unwrap(),
        unrealized_pnl: Decimal::from_str("2500").unwrap(),
        daily_pnl: Decimal::from_str("1200").unwrap(),
    }
}

fn calculate_portfolio_value(positions: &HashMap<Symbol, PositionInfo>) -> Decimal {
    positions.values().map(|p| p.market_value).sum()
}