foxhunt/ml/tests/dollar_bars_test.rs

// ml/tests/dollar_bars_test.rs
// Dollar Bar Sampling Tests (TDD Approach)
// Written FIRST before implementation

use ml::features::alternative_bars::{DollarBarSampler, OHLCVBar};
use chrono::{DateTime, Utc, TimeZone};

#[test]
fn test_dollar_bar_basic_formation() {
    // Test: Bar forms when dollar volume threshold is reached
    let mut sampler = DollarBarSampler::new(1000.0); // $1000 threshold
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap(); // 2021-01-01
    
    // First tick: $100 * 5 = $500 (accumulated: $500, no bar)
    let result1 = sampler.update(100.0, 5.0, base_time);
    assert!(result1.is_none(), "Should not emit bar yet");
    
    // Second tick: $110 * 6 = $660 (accumulated: $1160, bar emitted)
    let result2 = sampler.update(110.0, 6.0, base_time + chrono::Duration::seconds(1));
    assert!(result2.is_some(), "Should emit bar when threshold exceeded");
    
    let bar = result2.unwrap();
    assert_eq!(bar.open, 100.0, "Open should be first price");
    assert_eq!(bar.close, 110.0, "Close should be last price");
    assert_eq!(bar.volume, 11.0, "Volume should sum to 11");
}

#[test]
fn test_dollar_bar_ohlcv_calculation() {
    // Test: OHLCV values calculated correctly across multiple ticks
    let mut sampler = DollarBarSampler::new(5000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    let ticks = vec![
        (100.0, 10.0, 0),  // $1000
        (105.0, 15.0, 1),  // $1575
        (95.0, 20.0, 2),   // $1900
        (102.0, 10.0, 3),  // $1020 (total: $5495, exceeds threshold)
    ];
    
    let mut result = None;
    for (price, vol, offset) in ticks {
        result = sampler.update(price, vol, base_time + chrono::Duration::seconds(offset));
    }
    
    let bar = result.expect("Bar should be emitted");
    assert_eq!(bar.open, 100.0, "Open: first tick price");
    assert_eq!(bar.high, 105.0, "High: maximum price");
    assert_eq!(bar.low, 95.0, "Low: minimum price");
    assert_eq!(bar.close, 102.0, "Close: last tick price");
    assert_eq!(bar.volume, 55.0, "Volume: sum of all ticks");
}

#[test]
fn test_dollar_bar_multiple_bars() {
    // Test: Multiple bars form correctly with threshold resets
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // First bar: $100 * 12 = $1200
    let bar1 = sampler.update(100.0, 12.0, base_time);
    assert!(bar1.is_some(), "First bar should form");
    
    // Second bar: $200 * 6 = $1200
    let bar2 = sampler.update(200.0, 6.0, base_time + chrono::Duration::seconds(10));
    assert!(bar2.is_some(), "Second bar should form");
    
    let b1 = bar1.unwrap();
    let b2 = bar2.unwrap();
    
    assert_eq!(b1.open, 100.0);
    assert_eq!(b1.close, 100.0);
    assert_eq!(b2.open, 200.0);
    assert_eq!(b2.close, 200.0);
}

#[test]
fn test_dollar_bar_accumulation_across_ticks() {
    // Test: Dollar volume accumulates correctly before threshold
    let mut sampler = DollarBarSampler::new(2000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // Tick 1: $100 * 5 = $500
    assert!(sampler.update(100.0, 5.0, base_time).is_none());
    
    // Tick 2: $100 * 5 = $500 (total: $1000)
    assert!(sampler.update(100.0, 5.0, base_time + chrono::Duration::seconds(1)).is_none());
    
    // Tick 3: $100 * 5 = $500 (total: $1500)
    assert!(sampler.update(100.0, 5.0, base_time + chrono::Duration::seconds(2)).is_none());
    
    // Tick 4: $100 * 6 = $600 (total: $2100, exceeds threshold)
    let bar = sampler.update(100.0, 6.0, base_time + chrono::Duration::seconds(3));
    assert!(bar.is_some(), "Bar should form after accumulation");
    assert_eq!(bar.unwrap().volume, 21.0, "Total volume should be 21");
}

#[test]
fn test_dollar_bar_zero_volume_ignored() {
    // Test: Zero volume ticks don't contribute to dollar volume
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // Valid tick
    assert!(sampler.update(100.0, 5.0, base_time).is_none());
    
    // Zero volume tick (should be ignored)
    assert!(sampler.update(110.0, 0.0, base_time + chrono::Duration::seconds(1)).is_none());
    
    // Another valid tick to complete bar
    let bar = sampler.update(100.0, 6.0, base_time + chrono::Duration::seconds(2));
    
    assert!(bar.is_some(), "Bar should form ignoring zero volume");
    let b = bar.unwrap();
    assert_eq!(b.volume, 11.0, "Volume should exclude zero-volume tick");
    assert_eq!(b.open, 100.0, "Open should be first valid price");
}

#[test]
fn test_dollar_bar_large_single_trade() {
    // Test: Single trade exceeding threshold forms immediate bar
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // Single large trade: $100 * 50 = $5000 (exceeds threshold)
    let bar = sampler.update(100.0, 50.0, base_time);
    
    assert!(bar.is_some(), "Large trade should form immediate bar");
    let b = bar.unwrap();
    assert_eq!(b.open, 100.0);
    assert_eq!(b.close, 100.0);
    assert_eq!(b.high, 100.0);
    assert_eq!(b.low, 100.0);
    assert_eq!(b.volume, 50.0);
}

#[test]
fn test_dollar_bar_price_gaps() {
    // Test: Large price gaps handled correctly
    let mut sampler = DollarBarSampler::new(10000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    let ticks = vec![
        (100.0, 20.0, 0),   // $2000
        (150.0, 30.0, 1),   // $4500 (gap up)
        (90.0, 40.0, 2),    // $3600 (gap down, total: $10100)
    ];
    
    let mut result = None;
    for (price, vol, offset) in ticks {
        result = sampler.update(price, vol, base_time + chrono::Duration::seconds(offset));
    }
    
    let bar = result.expect("Bar should form despite gaps");
    assert_eq!(bar.high, 150.0, "High should capture gap up");
    assert_eq!(bar.low, 90.0, "Low should capture gap down");
}

#[test]
fn test_dollar_bar_timestamp_tracking() {
    // Test: Bar timestamps reflect first and last tick times
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    sampler.update(100.0, 5.0, base_time);
    let bar = sampler.update(100.0, 6.0, base_time + chrono::Duration::seconds(10));
    
    let b = bar.expect("Bar should form");
    assert_eq!(b.timestamp, base_time, "Timestamp should be first tick time");
}

#[test]
fn test_dollar_bar_exact_threshold() {
    // Test: Bar forms when exactly hitting threshold
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // Exactly $1000
    let bar = sampler.update(100.0, 10.0, base_time);
    
    assert!(bar.is_some(), "Bar should form at exact threshold");
}

#[test]
fn test_dollar_bar_adaptive_threshold_ewma() {
    // Test: Adaptive threshold using EWMA of bar dollar volumes
    let mut sampler = DollarBarSampler::new_adaptive(1000.0, 0.95); // alpha=0.95 for EWMA
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // First bar: $1200
    let bar1 = sampler.update(100.0, 12.0, base_time);
    assert!(bar1.is_some());
    
    // Threshold should adapt based on EWMA
    let new_threshold = sampler.get_threshold();
    assert!(new_threshold > 1000.0, "Threshold should increase after large bar");
    assert!(new_threshold < 1200.0, "Threshold should be smoothed by EWMA");
}

#[test]
fn test_dollar_bar_performance_benchmark() {
    // Test: Performance constraint <50μs per tick (soft target, not hard assertion)
    use std::time::Instant;
    
    let mut sampler = DollarBarSampler::new(100000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    let start = Instant::now();
    let iterations = 10000;
    
    for i in 0..iterations {
        sampler.update(
            100.0 + (i as f64 * 0.1),
            5.0,
            base_time + chrono::Duration::milliseconds(i),
        );
    }
    
    let elapsed = start.elapsed();
    let per_tick = elapsed.as_nanos() / iterations as u128;
    
    println!("Performance: {}ns per tick (target: <50000ns)", per_tick);
    // Informational only - don't fail test on performance
}

#[test]
fn test_dollar_bar_fractional_shares() {
    // Test: Fractional share volumes handled correctly
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // $100 * 10.5 = $1050
    let bar = sampler.update(100.0, 10.5, base_time);
    
    assert!(bar.is_some());
    let b = bar.unwrap();
    assert_eq!(b.volume, 10.5, "Fractional volumes should be preserved");
}

#[test]
fn test_dollar_bar_high_frequency_ticks() {
    // Test: Many small ticks accumulate correctly
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    let mut bars_formed = 0;
    
    // 500 ticks of $10 each = $5000 total = 5 bars
    for i in 0..500 {
        if sampler.update(
            100.0,
            0.1, // $100 * 0.1 = $10 per tick
            base_time + chrono::Duration::milliseconds(i),
        ).is_some() {
            bars_formed += 1;
        }
    }
    
    assert_eq!(bars_formed, 5, "Should form 5 bars from 500 ticks");
}

#[test]
fn test_dollar_bar_negative_prices_rejected() {
    // Test: Negative prices are rejected (invalid data)
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // This should panic or return error (depending on implementation choice)
    // For now, test that it doesn't form a bar
    let result = std::panic::catch_unwind(std::panic::AssertUnwindSafe(|| {
        sampler.update(-100.0, 10.0, base_time)
    }));
    
    // Either panics or returns None/Error
    assert!(result.is_err() || result.unwrap().is_none());
}

#[test]
fn test_dollar_bar_state_reset_after_emission() {
    // Test: Internal state resets correctly after bar emission
    let mut sampler = DollarBarSampler::new(1000.0);
    let base_time = Utc.timestamp_opt(1609459200, 0).unwrap();
    
    // Form first bar
    sampler.update(100.0, 11.0, base_time);
    
    // Next tick should start fresh bar
    let result = sampler.update(200.0, 2.0, base_time + chrono::Duration::seconds(1));
    assert!(result.is_none(), "Should not form bar immediately after reset");
    
    // Complete second bar
    let bar2 = sampler.update(200.0, 3.0, base_time + chrono::Duration::seconds(2));
    assert!(bar2.is_some());
    let b2 = bar2.unwrap();
    assert_eq!(b2.open, 200.0, "New bar should start with first price after reset");
}