foxhunt/crates/ml/tests/bug16_portfolio_features_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,
)]
//! Bug #16 Portfolio Features Test
//!
//! Verifies that portfolio_features are populated from PortfolioTracker during training,
//! not just hardcoded defaults.
//!
//! # Bug #16 Context
//! Before fix: portfolio_features were set based on previous tracker state in train_step()
//! After fix: portfolio_features should update correctly during training to reflect
//! actual portfolio changes (position, value, spread)
//!
//! This test verifies:
//! 1. PortfolioTracker state changes when actions are executed
//! 2. Portfolio features reflect actual tracker state (not hardcoded [1.0, 0.0, 0.0001])
//! 3. Values update correctly across multiple actions

#![allow(unused_crate_dependencies)]

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

/// Helper: Create a BUY action (Long100)
fn create_buy_action() -> FactoredAction {
    FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal)
}

/// Helper: Create a SELL action (Short100)
fn create_sell_action() -> FactoredAction {
    FactoredAction::new(ExposureLevel::ShortSmall, OrderType::Market, Urgency::Normal)
}

/// Helper: Create a HOLD action (Flat)
fn create_hold_action() -> FactoredAction {
    FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal)
}

#[test]
fn test_bug16_portfolio_tracker_state_changes_on_action() {
    // Verify that PortfolioTracker state changes when actions are executed
    // This is the foundation for Bug #16 fix

    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 0.0);

    // Initial state
    let initial_value = tracker.total_value(4500.0);
    let initial_position = tracker.current_position();
    assert_eq!(initial_position, 0.0, "Initial position should be 0");
    assert!((initial_value - 10_000.0).abs() < 1.0, "Initial value should be ~$10,000");

    // Execute BUY action at $4500
    let buy_action = create_buy_action();
    tracker.execute_action(buy_action, 4500.0, 2.0);

    // Position should now be non-zero
    let position_after_buy = tracker.current_position();
    assert_ne!(position_after_buy, 0.0, "Position should be non-zero after BUY");
    assert!(position_after_buy > 0.0, "Position should be positive (long) after BUY");

    // Get portfolio features
    let features_after_buy = tracker.get_portfolio_features(4500.0);
    info!(?features_after_buy, "Portfolio features after BUY");

    assert_eq!(features_after_buy.len(), 3, "Should have 3 portfolio features");
    assert_ne!(
        features_after_buy[1], 0.0,
        "Position feature should be non-zero after BUY"
    );
}

#[test]
fn test_bug16_portfolio_features_not_hardcoded() {
    // Verify that portfolio features reflect actual tracker state, not hardcoded values
    // This directly tests the Bug #16 fix

    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 0.0);

    // Execute BUY action
    let buy_action = create_buy_action();
    tracker.execute_action(buy_action, 4500.0, 2.0);

    // Get portfolio features at same price
    let features_at_4500 = tracker.get_portfolio_features(4500.0);
    info!(?features_at_4500, "Features at $4500");

    // Verify features[0] is portfolio value (not hardcoded 1.0)
    assert_ne!(
        features_at_4500[0], 1.0,
        "Bug #16 fix should populate portfolio_features[0] from tracker, not hardcoded 1.0"
    );

    // Verify features[1] is position (not hardcoded 0.0)
    assert_ne!(
        features_at_4500[1], 0.0,
        "Bug #16 fix should populate portfolio_features[1] from tracker, not hardcoded 0.0"
    );

    // Verify features[2] is spread (can be default 0.0001)
    assert!(
        (features_at_4500[2] - 0.0001).abs() < 0.00001,
        "portfolio_features[2] should be spread 0.0001"
    );

    // Now check features at different price (value should change)
    let features_at_4510 = tracker.get_portfolio_features(4510.0);
    info!(?features_at_4510, "Features at $4510");

    // Portfolio value should change with price (we're long)
    assert_ne!(
        features_at_4510[0], features_at_4500[0],
        "Portfolio value should change when price changes (holding long position)"
    );

    // Position feature may differ slightly due to rounding/normalization
    // but should still be non-zero (we're still long)
    assert!(
        features_at_4510[1].abs() > 0.0,
        "Position should still be non-zero (we're holding a long position)"
    );
}

#[test]
fn test_bug16_portfolio_features_update_across_actions() {
    // Verify portfolio features update correctly across multiple actions

    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 0.0);

    // Step 1: BUY at $4500 (Long100)
    let buy_action = create_buy_action();
    tracker.execute_action(buy_action, 4500.0, 2.0);

    let features_after_buy = tracker.get_portfolio_features(4500.0);
    let position_after_buy = features_after_buy[1];
    let value_after_buy = features_after_buy[0];
    info!(?features_after_buy, "After BUY - Features");

    assert!(position_after_buy > 0.0, "Position should be positive (long) after BUY");

    // Step 2: HOLD/Flat at $4510 (closes position to 0)
    // Note: Flat means "close position" (0% exposure), not "maintain position"
    let hold_action = create_hold_action();
    tracker.execute_action(hold_action, 4510.0, 2.0);

    let features_after_hold = tracker.get_portfolio_features(4510.0);
    let position_after_hold = features_after_hold[1];
    let value_after_hold = features_after_hold[0];
    info!(?features_after_hold, "After HOLD/Flat - Features");

    // Position should be 0 (Flat closes positions)
    assert_eq!(
        position_after_hold, 0.0,
        "Position should be 0 after Flat action (closes position)"
    );

    // Value should still be positive (we made profit from $4500→$4510 move)
    assert!(
        value_after_hold > value_after_buy,
        "Portfolio value should be higher (profited from long position before closing)"
    );

    // Step 3: SELL at $4510 (opens short position)
    let sell_action = create_sell_action();
    tracker.execute_action(sell_action, 4510.0, 2.0);

    let features_after_sell = tracker.get_portfolio_features(4510.0);
    let position_after_sell = features_after_sell[1];
    info!(?features_after_sell, "After SELL - Features");

    // After SELL (Short100), position should be negative
    assert!(
        position_after_sell < 0.0,
        "Position should be negative after SELL (short position)"
    );
    assert_ne!(
        position_after_sell, position_after_hold,
        "Position should change from 0 to negative after SELL action"
    );
}

#[test]
fn test_bug16_portfolio_value_reflects_pnl() {
    // Verify that portfolio value reflects actual P&L from trading

    let mut tracker = PortfolioTracker::new(10_000.0, 0.0001, 0.0);

    let initial_value = tracker.total_value(4500.0);
    info!(initial_value, "Initial portfolio value");

    // BUY at $4500
    let buy_action = create_buy_action();
    tracker.execute_action(buy_action, 4500.0, 2.0);

    // Check value at $4510 (price went up $10)
    let value_at_4510 = tracker.total_value(4510.0);
    info!(value_at_4510, "Portfolio value at $4510 (after buy)");

    // Since we're long, value should be higher than initial
    // (we profited from the $10 price increase)
    assert!(
        value_at_4510 > initial_value,
        "Portfolio value should increase when long position profits"
    );

    // Check value at $4490 (price went down $10 from entry)
    let value_at_4490 = tracker.total_value(4490.0);
    info!(value_at_4490, "Portfolio value at $4490 (after buy)");

    // Since we're long, value should be lower than initial
    // (we lost from the $10 price decrease)
    assert!(
        value_at_4490 < initial_value,
        "Portfolio value should decrease when long position loses"
    );
}

#[test]
fn test_bug16_spread_feature_populated() {
    // Verify spread feature is populated (even if default)

    let tracker = PortfolioTracker::new(10_000.0, 0.0001, 0.0);
    let features = tracker.get_portfolio_features(4500.0);

    assert_eq!(features.len(), 3, "Should have 3 portfolio features");
    assert!(
        (features[2] - 0.0001).abs() < 0.00001,
        "Spread feature should be populated with default 0.0001"
    );
}