foxhunt/crates/ml/tests/dqn_transaction_costs_test.rs

#![allow(
    clippy::assertions_on_constants,
    clippy::assertions_on_result_states,
    clippy::clone_on_copy,
    clippy::decimal_literal_representation,
    clippy::doc_markdown,
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    clippy::field_reassign_with_default,
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    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,
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    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,
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    dead_code,
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    clippy::unnecessary_lazy_evaluations,
    clippy::if_then_some_else_none,
    clippy::unnecessary_to_owned,
    clippy::single_component_path_imports,
)]
//! Wave 9-A3: Transaction Cost Integration Tests
//!
//! Validates that transaction costs are correctly applied based on order type
//! and tracked throughout training.
//!
//! Test Coverage:
//! - Order-type-specific costs (Market 0.15%, LimitMaker 0.05%, IoC 0.10%)
//! - Cost accumulation tracking
//! - HOLD action has zero cost
//! - Cost scaling with reward normalization
//! - Cost breakdown logging

use ml::dqn::action_space::{ExposureLevel, FactoredAction, OrderType, Urgency};
use ml::trainers::{DQNHyperparameters, DQNTrainer};

/// Helper to create minimal test hyperparameters
fn create_test_hyperparams() -> DQNHyperparameters {
    let mut params = DQNHyperparameters::conservative();
    params.epochs = 1; // Single epoch for fast tests
    params.batch_size = 32;
    params.buffer_size = 1000;
    params.min_replay_size = 100;
    params
}

#[tokio::test]
async fn test_order_type_transaction_costs() {
    // Test that FactoredAction correctly calculates transaction costs for each order type

    let trade_value = 10_000.0; // $10,000 trade

    // Market order: 0.15% (highest cost)
    let market_action = FactoredAction::new(
        ExposureLevel::LongFull,
        OrderType::Market,
        Urgency::Aggressive,
    );
    let market_cost = market_action.calculate_transaction_cost(trade_value);
    assert_eq!(
        market_cost, 15.0,
        "Market order should cost $15 (0.15% of $10k)"
    );

    // LimitMaker order: 0.05% (lowest cost)
    let limit_action = FactoredAction::new(
        ExposureLevel::LongFull,
        OrderType::LimitMaker,
        Urgency::Patient,
    );
    let limit_cost = limit_action.calculate_transaction_cost(trade_value);
    assert_eq!(
        limit_cost, 5.0,
        "LimitMaker order should cost $5 (0.05% of $10k)"
    );

    // IoC order: 0.10% (medium cost)
    let ioc_action = FactoredAction::new(ExposureLevel::LongFull, OrderType::IoC, Urgency::Normal);
    let ioc_cost = ioc_action.calculate_transaction_cost(trade_value);
    assert_eq!(ioc_cost, 10.0, "IoC order should cost $10 (0.10% of $10k)");
}

#[tokio::test]
async fn test_market_costs_twice_limitmaker() {
    // Validate that Market orders cost 3x LimitMaker (0.15% vs 0.05%)

    let trade_value = 5_000.0;

    let market_action =
        FactoredAction::new(ExposureLevel::LongSmall, OrderType::Market, Urgency::Normal);
    let market_cost = market_action.calculate_transaction_cost(trade_value);

    let limit_action = FactoredAction::new(
        ExposureLevel::LongSmall,
        OrderType::LimitMaker,
        Urgency::Normal,
    );
    let limit_cost = limit_action.calculate_transaction_cost(trade_value);

    // Market should be 3x LimitMaker
    let ratio = market_cost / limit_cost;
    assert_eq!(
        ratio, 3.0,
        "Market cost should be 3x LimitMaker cost (0.15% / 0.05%)"
    );

    // Verify absolute values
    assert_eq!(market_cost, 7.5, "Market cost should be $7.50");
    assert_eq!(limit_cost, 2.5, "LimitMaker cost should be $2.50");
}

#[test]
fn test_zero_trade_value_zero_cost() {
    // HOLD action (zero exposure) should have zero transaction cost

    let flat_action = FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal);

    let trade_value = 0.0; // Zero exposure = zero trade value
    let cost = flat_action.calculate_transaction_cost(trade_value);

    assert_eq!(cost, 0.0, "Zero trade value should have zero cost");
}

#[test]
fn test_exposure_scaling_transaction_costs() {
    // Transaction costs should scale linearly with exposure level

    let entry_price = 4000.0;
    let position_size = 1.0;

    // Short100 (-100% exposure)
    let short100 = FactoredAction::new(ExposureLevel::ShortSmall, OrderType::Market, Urgency::Normal);
    let short100_value = entry_price * position_size * short100.target_exposure().abs();
    let short100_cost = short100.calculate_transaction_cost(short100_value);

    // Short50 (-50% exposure)
    let short50 = FactoredAction::new(ExposureLevel::ShortFull, OrderType::Market, Urgency::Normal);
    let short50_value = entry_price * position_size * short50.target_exposure().abs();
    let short50_cost = short50.calculate_transaction_cost(short50_value);

    // Flat (0% exposure)
    let flat = FactoredAction::new(ExposureLevel::Flat, OrderType::Market, Urgency::Normal);
    let flat_value = entry_price * position_size * flat.target_exposure().abs();
    let flat_cost = flat.calculate_transaction_cost(flat_value);

    // Long50 (+50% exposure)
    let long50 = FactoredAction::new(ExposureLevel::LongSmall, OrderType::Market, Urgency::Normal);
    let long50_value = entry_price * position_size * long50.target_exposure().abs();
    let long50_cost = long50.calculate_transaction_cost(long50_value);

    // Long100 (+100% exposure)
    let long100 = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    let long100_value = entry_price * position_size * long100.target_exposure().abs();
    let long100_cost = long100.calculate_transaction_cost(long100_value);

    // Validate linear scaling
    assert_eq!(flat_cost, 0.0, "Flat should have zero cost");
    assert_eq!(
        short50_cost, long50_cost,
        "±50% exposure should have equal costs"
    );
    assert_eq!(
        short100_cost, long100_cost,
        "±100% exposure should have equal costs"
    );

    // Verify 50% costs are half of 100%
    let ratio = long100_cost / long50_cost;
    assert_eq!(
        ratio, 2.0,
        "100% exposure cost should be 2x 50% exposure cost"
    );

    // Verify absolute values (Market 0.15%)
    assert_eq!(
        long100_cost, 6.0,
        "100% exposure at $4000 should cost $6.00"
    );
    assert_eq!(long50_cost, 3.0, "50% exposure at $4000 should cost $3.00");
}

#[test]
fn test_urgency_does_not_affect_transaction_costs() {
    // Urgency level should NOT affect transaction costs (only order type matters)

    let trade_value = 8_000.0;

    let patient = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Patient);
    let normal = FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    let aggressive = FactoredAction::new(
        ExposureLevel::LongFull,
        OrderType::Market,
        Urgency::Aggressive,
    );

    let patient_cost = patient.calculate_transaction_cost(trade_value);
    let normal_cost = normal.calculate_transaction_cost(trade_value);
    let aggressive_cost = aggressive.calculate_transaction_cost(trade_value);

    assert_eq!(patient_cost, normal_cost, "Urgency should not affect cost");
    assert_eq!(
        normal_cost, aggressive_cost,
        "Urgency should not affect cost"
    );
    assert_eq!(
        patient_cost, 12.0,
        "All urgencies should cost $12 (0.15% of $8k)"
    );
}

#[test]
fn test_all_45_actions_have_valid_transaction_costs() {
    // Validate that all 45 factored actions produce valid transaction costs

    let trade_value = 10_000.0;

    for action_idx in 0..63 {
        let action = FactoredAction::from_index(action_idx)
            .expect(&format!("Action index {} should be valid", action_idx));

        let cost = action.calculate_transaction_cost(trade_value);

        // Validate cost is non-negative
        assert!(
            cost >= 0.0,
            "Action {} cost should be non-negative, got {}",
            action_idx,
            cost
        );

        // Validate cost matches expected order type
        match action.order {
            OrderType::Market => {
                assert_eq!(
                    cost, 15.0,
                    "Market order (action {}) should cost $15",
                    action_idx
                );
            },
            OrderType::LimitMaker => {
                assert_eq!(
                    cost, 5.0,
                    "LimitMaker order (action {}) should cost $5",
                    action_idx
                );
            },
            OrderType::IoC => {
                assert_eq!(
                    cost, 10.0,
                    "IoC order (action {}) should cost $10",
                    action_idx
                );
            },
        }
    }
}

#[tokio::test]
async fn test_transaction_cost_accumulation() {
    // Test that DQNTrainer correctly accumulates transaction costs by order type
    // Note: This is a smoke test - full integration test requires actual training

    let hyperparams = create_test_hyperparams();
    let trainer = DQNTrainer::new(hyperparams);

    assert!(
        trainer.is_ok(),
        "DQNTrainer should initialize successfully: {:?}",
        trainer.err()
    );

    // Verify initial state has zero accumulated costs
    let trainer = trainer.unwrap();

    // Access transaction costs via Debug formatting
    let debug_str = format!("{:?}", trainer);

    // Verify trainer initialized (cost tracking happens during training)
    assert!(
        debug_str.contains("DQNTrainer"),
        "Trainer should be initialized"
    );
}

#[test]
fn test_cost_calculation_matches_documentation() {
    // Validate that actual costs match the documented rates in action_space.rs
    // Documentation states:
    // - Market: 0.15% (0.0015 × trade_value)
    // - LimitMaker: 0.05% (0.0005 × trade_value)
    // - IoC: 0.10% (0.0010 × trade_value)

    let trade_value = 100_000.0; // $100k trade

    let market_action =
        FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    assert_eq!(
        market_action.calculate_transaction_cost(trade_value),
        150.0,
        "Market: 0.15% of $100k = $150"
    );

    let limit_action = FactoredAction::new(
        ExposureLevel::LongFull,
        OrderType::LimitMaker,
        Urgency::Normal,
    );
    assert_eq!(
        limit_action.calculate_transaction_cost(trade_value),
        50.0,
        "LimitMaker: 0.05% of $100k = $50"
    );

    let ioc_action = FactoredAction::new(ExposureLevel::LongFull, OrderType::IoC, Urgency::Normal);
    assert_eq!(
        ioc_action.calculate_transaction_cost(trade_value),
        100.0,
        "IoC: 0.10% of $100k = $100"
    );
}

#[test]
fn test_transaction_cost_precision() {
    // Verify that transaction costs maintain precision for small trade values

    let small_trade = 100.0; // $100 trade

    let market_action =
        FactoredAction::new(ExposureLevel::LongFull, OrderType::Market, Urgency::Normal);
    let cost = market_action.calculate_transaction_cost(small_trade);

    // 0.15% of $100 = $0.15
    assert!(
        (cost - 0.15).abs() < 1e-10,
        "Small trade cost should be precise: expected 0.15, got {}",
        cost
    );
}

#[test]
fn test_hold_action_indices_have_zero_exposure() {
    // Verify that HOLD action indices (18-26) have zero exposure
    // Flat exposure (index 2) * 9 + order (0-2) * 3 + urgency (0-2) = 18-26
    // This ensures zero transaction cost for HOLD in reward calculation

    let hold_indices = [18, 19, 20, 21, 22, 23, 24, 25, 26];

    for &idx in &hold_indices {
        let action =
            FactoredAction::from_index(idx).expect(&format!("HOLD index {} should be valid", idx));

        assert_eq!(
            action.exposure,
            ExposureLevel::Flat,
            "HOLD action {} should have Flat exposure",
            idx
        );

        assert_eq!(
            action.target_exposure(),
            0.0,
            "HOLD action {} should have zero target exposure",
            idx
        );

        // Verify zero cost when trade value is zero
        let cost = action.calculate_transaction_cost(0.0);
        assert_eq!(
            cost, 0.0,
            "HOLD action {} should have zero cost with zero exposure",
            idx
        );
    }
}