foxhunt/risk/tests/position_limit_enforcement_tests.rs

//! Position Limit Enforcement Edge Case Tests
//! Target: Complex position limit scenarios
//! Focus: Concurrent updates, split fills, partial executions

#![allow(unused_crate_dependencies)]

#[derive(Debug, Clone)]
struct Position {
    symbol: String,
    quantity: f64,
    limit: f64,
}

#[derive(Debug, Clone)]
struct Order {
    symbol: String,
    quantity: f64,
    timestamp: chrono::DateTime<chrono::Utc>,
}

#[cfg(test)]
mod concurrent_order_tests {
    use super::*;
    use chrono::Utc;

    #[test]
    fn test_concurrent_orders_same_symbol() {
        let limit = 10000.0;
        let current_position = 5000.0;

        let orders = vec![
            Order { symbol: "AAPL".to_string(), quantity: 3000.0, timestamp: Utc::now() },
            Order { symbol: "AAPL".to_string(), quantity: 3000.0, timestamp: Utc::now() },
            Order { symbol: "AAPL".to_string(), quantity: 3000.0, timestamp: Utc::now() },
        ];

        // Sum of all orders
        let total_requested: f64 = orders.iter().map(|o| o.quantity).sum();
        let total_would_be = current_position + total_requested;

        assert!(total_would_be > limit);
    }

    #[test]
    fn test_order_sequencing_matters() {
        let limit = 10000.0;
        let mut position = 0.0;

        let orders = vec![5000.0, 4000.0, 3000.0];

        for order_size in orders {
            if position + order_size <= limit {
                position += order_size;
            }
        }

        // Only first two orders fill
        assert_eq!(position, 9000.0);
    }

    #[test]
    fn test_racy_limit_checks() {
        let limit = 10000.0;
        let position = 9500.0;

        // Two orders check limit simultaneously
        let order1 = 600.0;
        let order2 = 700.0;

        let check1_passes = position + order1 <= limit;
        let check2_passes = position + order2 <= limit;

        // Both checks might pass individually
        assert!(!check1_passes);
        assert!(!check2_passes);

        // But executing both would violate
        assert!(position + order1 + order2 > limit);
    }
}

#[cfg(test)]
mod split_fill_tests {
    use super::*;

    #[test]
    fn test_partial_fill_tracking() {
        let limit = 10000.0;
        let position = 8000.0;
        let order_size = 3000.0;

        // Can only partially fill
        let fillable = (limit - position).max(0.0);

        assert_eq!(fillable, 2000.0);
        assert!(fillable < order_size);
    }

    #[test]
    fn test_multiple_partial_fills() {
        let limit = 10000.0;
        let mut position = 7000.0;
        let order_size = 5000.0;

        let fills = vec![1000.0, 1500.0, 500.0];

        for fill in fills {
            if position + fill <= limit {
                position += fill;
            } else {
                break;
            }
        }

        assert_eq!(position, 10000.0);
    }

    #[test]
    fn test_split_fill_across_limit_boundary() {
        let limit = 10000.0;
        let position = 9800.0;

        let total_order = 1000.0;
        let fill_chunk_size = 100.0;

        let mut filled = 0.0;
        let mut current_pos = position;

        while filled < total_order && current_pos < limit {
            let chunk = fill_chunk_size.min(limit - current_pos);
            current_pos += chunk;
            filled += chunk;
        }

        assert_eq!(filled, 200.0);
        assert_eq!(current_pos, 10000.0);
    }
}

#[cfg(test)]
mod dynamic_limit_changes_tests {
    use super::*;

    #[test]
    fn test_limit_reduced_during_order() {
        let mut limit = 10000.0;
        let position = 8000.0;
        let order = 1500.0;

        // Order would be valid
        let initially_valid = position + order <= limit;
        assert!(initially_valid);

        // Limit reduced
        limit = 9000.0;

        // Now invalid
        let now_valid = position + order <= limit;
        assert!(!now_valid);
    }

    #[test]
    fn test_limit_increased_during_violation() {
        let mut limit = 10000.0;
        let position = 11000.0;

        // In violation
        assert!(position > limit);

        // Limit increased
        limit = 12000.0;

        // Violation cleared
        assert!(position <= limit);
    }

    #[test]
    fn test_intraday_limit_changes() {
        let morning_limit = 15000.0;
        let afternoon_limit = 10000.0;
        let position = 12000.0;

        // Valid in morning
        assert!(position <= morning_limit);

        // Violates afternoon limit
        assert!(position > afternoon_limit);
    }
}

#[cfg(test)]
mod multi_asset_limit_tests {
    use super::*;

    #[test]
    fn test_correlated_asset_limits() {
        let individual_limit = 10000.0;
        let correlation_limit = 15000.0; // For correlated pairs

        let positions = vec![
            ("AAPL", 9000.0),
            ("MSFT", 8000.0), // Correlated with AAPL
        ];

        // Each within individual limit
        for (_, qty) in &positions {
            assert!(*qty <= individual_limit);
        }

        // But exceeds correlation limit
        let correlated_total: f64 = positions.iter().map(|(_, qty)| qty).sum();
        assert!(correlated_total > correlation_limit);
    }

    #[test]
    fn test_portfolio_level_vs_symbol_level_limits() {
        let symbol_limit = 5000.0;
        let portfolio_limit = 20000.0;

        let positions = vec![
            ("AAPL", 4000.0),
            ("GOOGL", 4500.0),
            ("MSFT", 4000.0),
            ("AMZN", 4800.0),
        ];

        // All within symbol limits
        for (_, qty) in &positions {
            assert!(*qty <= symbol_limit);
        }

        // Total within portfolio limit
        let total: f64 = positions.iter().map(|(_, qty)| qty).sum();
        assert!(total <= portfolio_limit);
    }

    #[test]
    fn test_sector_exposure_limits() {
        let tech_sector_limit = 30000.0;

        let tech_positions = vec![
            ("AAPL", 10000.0),
            ("GOOGL", 12000.0),
            ("MSFT", 9000.0),
        ];

        let tech_exposure: f64 = tech_positions.iter().map(|(_, qty)| qty).sum();

        assert!(tech_exposure > tech_sector_limit);
    }
}

#[cfg(test)]
mod netting_scenarios_tests {
    use super::*;

    #[test]
    fn test_net_vs_gross_position_limits() {
        let long_position = 20000.0;
        let short_position = -15000.0;

        let net_position = long_position + short_position;
        let gross_position = long_position.abs() + short_position.abs();

        let net_limit = 10000.0;
        let gross_limit = 30000.0;

        assert!(net_position <= net_limit);
        assert!(gross_position <= gross_limit);
    }

    #[test]
    fn test_hedged_position_limits() {
        let spot_position = 10000.0;
        let futures_hedge = -9000.0;

        let net_exposure = spot_position + futures_hedge;

        let exposure_limit = 2000.0;

        assert!(net_exposure <= exposure_limit);
    }

    #[test]
    fn test_options_delta_adjusted_limits() {
        let stock_shares = 5000.0;
        let call_options_delta_adj = 3000.0; // 100 calls * 0.30 delta * 100 shares
        let put_options_delta_adj = -2000.0; // 100 puts * -0.20 delta * 100 shares

        let total_delta_adjusted = stock_shares + call_options_delta_adj + put_options_delta_adj;

        let delta_limit = 10000.0;

        assert!(total_delta_adjusted <= delta_limit);
    }
}

#[cfg(test)]
mod risk_adjusted_limit_tests {
    use super::*;

    #[test]
    fn test_volatility_adjusted_limits() {
        let base_limit = 10000.0;
        let low_vol_multiplier = 1.5;
        let high_vol_multiplier = 0.5;

        let low_vol_limit = base_limit * low_vol_multiplier;
        let high_vol_limit = base_limit * high_vol_multiplier;

        assert_eq!(low_vol_limit, 15000.0);
        assert_eq!(high_vol_limit, 5000.0);
    }

    #[test]
    fn test_var_scaled_position_limits() {
        let position = 10000.0;
        let price = 150.0;
        let volatility = 0.02; // 2% daily vol

        let position_var = position * price * volatility * 1.65; // 95% confidence

        let var_limit = 50000.0;

        assert!(position_var < var_limit);
    }

    #[test]
    fn test_concentration_risk_adjustment() {
        let portfolio_value = 1_000_000.0;
        let position_value = 100_000.0;

        let concentration = position_value / portfolio_value;
        let max_concentration = 0.20; // 20%

        if concentration > max_concentration {
            // Reduce effective limit
            let adjusted_limit = (portfolio_value * max_concentration) / 150.0; // Assume $150 stock price
            assert!(adjusted_limit < position_value / 150.0);
        }
    }
}

#[cfg(test)]
mod time_based_limit_tests {
    use super::*;
    use chrono::{Duration, Utc};

    #[test]
    fn test_limit_scaling_by_time_of_day() {
        let base_limit = 10000.0;

        // Higher limits during peak liquidity (10am-3pm)
        let peak_multiplier = 1.5;
        let off_peak_multiplier = 0.75;

        let peak_limit = base_limit * peak_multiplier;
        let off_peak_limit = base_limit * off_peak_multiplier;

        assert_eq!(peak_limit, 15000.0);
        assert_eq!(off_peak_limit, 7500.0);
    }

    #[test]
    fn test_end_of_day_limit_reduction() {
        let intraday_limit = 20000.0;
        let eod_limit = 10000.0;

        let position = 15000.0;

        let market_close = Utc::now().date_naive().and_hms_opt(16, 0, 0).unwrap().and_utc();
        let current_time = Utc::now().date_naive().and_hms_opt(15, 50, 0).unwrap().and_utc();

        let time_to_close = (market_close - current_time).num_minutes();

        let applicable_limit = if time_to_close < 10 {
            eod_limit
        } else {
            intraday_limit
        };

        // 10 minutes before close, stricter limit applies
        assert_eq!(applicable_limit, eod_limit);
        assert!(position > applicable_limit);
    }

    #[test]
    fn test_holding_period_limits() {
        let position_opened = Utc::now() - Duration::days(5);
        let max_holding_days = 3;

        let holding_period = (Utc::now() - position_opened).num_days();

        let holding_limit_violated = holding_period > max_holding_days;
        assert!(holding_limit_violated);
    }
}

#[cfg(test)]
mod extraordinary_circumstance_tests {
    use super::*;

    #[test]
    fn test_circuit_breaker_triggered_limits() {
        let normal_limit = 10000.0;
        let circuit_breaker_active = true;

        let effective_limit = if circuit_breaker_active {
            0.0 // No new positions during circuit breaker
        } else {
            normal_limit
        };

        assert_eq!(effective_limit, 0.0);
    }

    #[test]
    fn test_market_volatility_limit_reduction() {
        let base_limit = 10000.0;
        let vix_level = 40.0; // High volatility

        let limit_reduction = if vix_level > 30.0 {
            0.5 // Reduce limits by 50%
        } else {
            1.0
        };

        let adjusted_limit = base_limit * limit_reduction;
        assert_eq!(adjusted_limit, 5000.0);
    }

    #[test]
    fn test_news_event_temporary_restriction() {
        let normal_limit = 10000.0;
        let earnings_announcement_pending = true;

        let limit_multiplier = if earnings_announcement_pending {
            0.5 // Reduce to 50% ahead of earnings
        } else {
            1.0
        };

        let effective_limit = normal_limit * limit_multiplier;
        assert_eq!(effective_limit, 5000.0);
    }
}