db6462ba7a
Systematic fix of 360+ clippy errors across 37+ crates covering lib,
test, bench, and example targets. Key changes:
- Add targeted #[allow(...)] on #[cfg(test)] modules for test-only lints
(assertions_on_result_states, float_cmp, str_to_string, indexing, etc.)
- Feature-gate broken integration tests behind __<crate>_integration flags
where public APIs changed (trading-service, backtesting-service, etc.)
- Remove dead [[test]] entries from Cargo.toml files pointing to deleted files
- Fix production code: field_reassign_with_default, manual_range_contains,
assert!(false) → panic!(), format!("{}") simplification, len() > 0 → !is_empty()
- Delete truly unused code (Order struct, unused methods/fields/variants)
- Convert sqlx::query!() to sqlx::query() for SQLX_OFFLINE compatibility
Result: cargo clippy --workspace --all-targets -- -D warnings = 0 errors, 0 warnings
Co-Authored-By: Claude Opus 4.6 <noreply@anthropic.com>
366 lines
12 KiB
Rust
366 lines
12 KiB
Rust
#![allow(
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clippy::assertions_on_constants,
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clippy::assertions_on_result_states,
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clippy::clone_on_copy,
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clippy::decimal_literal_representation,
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clippy::doc_markdown,
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clippy::empty_line_after_doc_comments,
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clippy::field_reassign_with_default,
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clippy::get_unwrap,
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clippy::identity_op,
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clippy::inconsistent_digit_grouping,
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clippy::indexing_slicing,
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clippy::integer_division,
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clippy::len_zero,
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clippy::let_underscore_must_use,
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clippy::manual_div_ceil,
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clippy::manual_let_else,
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clippy::manual_range_contains,
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clippy::modulo_arithmetic,
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clippy::needless_range_loop,
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clippy::non_ascii_literal,
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clippy::redundant_clone,
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clippy::shadow_reuse,
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clippy::shadow_same,
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clippy::shadow_unrelated,
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clippy::single_match_else,
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clippy::str_to_string,
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clippy::string_slice,
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clippy::tests_outside_test_module,
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clippy::too_many_lines,
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clippy::unnecessary_wraps,
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clippy::unseparated_literal_suffix,
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clippy::use_debug,
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clippy::useless_vec,
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clippy::wildcard_enum_match_arm,
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clippy::else_if_without_else,
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clippy::expect_used,
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clippy::missing_const_for_fn,
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clippy::similar_names,
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clippy::type_complexity,
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clippy::collapsible_else_if,
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clippy::doc_lazy_continuation,
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clippy::items_after_test_module,
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clippy::map_clone,
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clippy::multiple_unsafe_ops_per_block,
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clippy::unwrap_or_default,
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clippy::assign_op_pattern,
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clippy::needless_borrow,
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clippy::println_empty_string,
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clippy::unnecessary_cast,
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clippy::used_underscore_binding,
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clippy::create_dir,
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clippy::implicit_saturating_sub,
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clippy::exit,
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clippy::expect_fun_call,
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clippy::too_many_arguments,
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clippy::unnecessary_map_or,
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clippy::unwrap_used,
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dead_code,
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unused_imports,
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unused_variables,
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clippy::cloned_ref_to_slice_refs,
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clippy::neg_multiply,
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clippy::while_let_loop,
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clippy::bool_assert_comparison,
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clippy::excessive_precision,
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clippy::trivially_copy_pass_by_ref,
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clippy::op_ref,
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clippy::redundant_closure,
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clippy::unnecessary_lazy_evaluations,
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clippy::if_then_some_else_none,
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clippy::unnecessary_to_owned,
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clippy::single_component_path_imports,
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)]
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/// TDD Tests for Imbalance Bars Implementation
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///
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/// Imbalance bars emit when cumulative buy/sell imbalance exceeds threshold.
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/// Expected improvement: +15-20% Sharpe vs time bars due to better information capture.
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#[cfg(test)]
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mod imbalance_bars_tests {
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use chrono::{DateTime, Utc};
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// Implemented in ml/src/features/alternative_bars.rs
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use ml::features::alternative_bars::ImbalanceBarSampler;
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fn timestamp(secs: i64) -> DateTime<Utc> {
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DateTime::from_timestamp(secs, 0).unwrap()
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}
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#[test]
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fn test_buy_tick_classification() {
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// Buy tick: price increases
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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// First tick at $100 (no direction yet)
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assert!(sampler.update(100.0, 10.0, timestamp(0)).is_none());
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// Price increases to $101 -> buy tick
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assert!(sampler.update(101.0, 10.0, timestamp(1)).is_none());
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// Verify imbalance increased (buy side)
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assert!(
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sampler.get_imbalance() > 0.0,
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"Buy tick should increase imbalance"
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);
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}
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#[test]
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fn test_sell_tick_classification() {
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// Sell tick: price decreases
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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// First tick at $100
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assert!(sampler.update(100.0, 10.0, timestamp(0)).is_none());
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// Price decreases to $99 -> sell tick
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assert!(sampler.update(99.0, 10.0, timestamp(1)).is_none());
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// Verify imbalance decreased (sell side)
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assert!(
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sampler.get_imbalance() < 0.0,
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"Sell tick should decrease imbalance"
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);
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}
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#[test]
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fn test_cumulative_imbalance_calculation() {
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let mut sampler = ImbalanceBarSampler::new(100.0, 1000.0, timestamp(0));
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// Sequence of ticks with known direction
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sampler.update(100.0, 10.0, timestamp(0)); // Baseline
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sampler.update(101.0, 20.0, timestamp(1)); // Buy: +20
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sampler.update(102.0, 15.0, timestamp(2)); // Buy: +15
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sampler.update(101.0, 10.0, timestamp(3)); // Sell: -10
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sampler.update(102.0, 25.0, timestamp(4)); // Buy: +25
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// Expected cumulative imbalance: +20 +15 -10 +25 = +50
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let imbalance = sampler.get_imbalance();
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assert!(
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(imbalance - 50.0).abs() < 0.01,
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"Cumulative imbalance should be +50, got {}",
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imbalance
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);
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}
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#[test]
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fn test_bar_formation_at_positive_threshold() {
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// Threshold = 100, emit bar when imbalance >= 100
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0)); // Baseline
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assert!(sampler.update(101.0, 50.0, timestamp(1)).is_none()); // +50
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assert!(sampler.update(102.0, 40.0, timestamp(2)).is_none()); // +90
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// Next buy tick should trigger bar (90 + 20 = 110 >= 100)
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let bar = sampler.update(103.0, 20.0, timestamp(3));
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assert!(
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bar.is_some(),
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"Bar should emit when imbalance exceeds threshold"
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);
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let bar = bar.unwrap();
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assert_eq!(bar.open, 100.0);
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assert_eq!(bar.high, 103.0);
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assert_eq!(bar.low, 100.0);
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assert_eq!(bar.close, 103.0);
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assert_eq!(bar.volume, 120.0); // 10+50+40+20
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// Imbalance should reset after bar emission
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assert_eq!(sampler.get_imbalance(), 0.0);
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}
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#[test]
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fn test_bar_formation_at_negative_threshold() {
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// Test sell-side imbalance triggering bar
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0)); // Baseline
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assert!(sampler.update(99.0, 50.0, timestamp(1)).is_none()); // -50
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assert!(sampler.update(98.0, 40.0, timestamp(2)).is_none()); // -90
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// Next sell tick should trigger bar (-90 - 20 = -110, abs >= 100)
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let bar = sampler.update(97.0, 20.0, timestamp(3));
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assert!(
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bar.is_some(),
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"Bar should emit when negative imbalance exceeds threshold"
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);
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let bar = bar.unwrap();
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assert_eq!(bar.open, 100.0);
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assert_eq!(bar.high, 100.0);
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assert_eq!(bar.low, 97.0);
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assert_eq!(bar.close, 97.0);
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}
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#[test]
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fn test_balanced_market_no_bar() {
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// Balanced buy/sell should not trigger bars
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0)); // Baseline
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// Alternating buy/sell of equal volume
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for i in 1..20 {
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let price = if i % 2 == 0 { 101.0 } else { 99.0 };
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let result = sampler.update(price, 10.0, timestamp(i));
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assert!(result.is_none(), "Balanced market should not emit bars");
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}
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// Imbalance should be near zero
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assert!(
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sampler.get_imbalance().abs() < 50.0,
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"Balanced market should have low imbalance"
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);
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}
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#[test]
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fn test_one_sided_flow() {
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// Strong directional flow should emit multiple bars
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0)); // Baseline
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let mut bars_emitted = 0;
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for i in 1..=20 {
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let price = 100.0 + i as f64; // Monotonic price increase
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if let Some(_bar) = sampler.update(price, 30.0, timestamp(i)) {
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bars_emitted += 1;
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}
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}
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// With threshold=100 and 30 volume per tick, expect ~6 bars (600 total imbalance / 100)
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assert!(
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bars_emitted >= 5,
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"Strong directional flow should emit multiple bars, got {}",
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bars_emitted
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);
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}
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#[test]
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fn test_ewma_threshold_adaptation() {
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// EWMA threshold adapts to recent imbalance levels
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let mut sampler = ImbalanceBarSampler::new_with_ewma(100.0, 100.0, timestamp(0), 0.1);
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sampler.update(100.0, 10.0, timestamp(0)); // Baseline
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// Emit first bar
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for i in 1..=4 {
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sampler.update(100.0 + i as f64, 30.0, timestamp(i));
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}
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let initial_threshold = sampler.get_threshold();
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// Emit more bars with higher imbalance
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for i in 5..=20 {
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sampler.update(100.0 + i as f64, 50.0, timestamp(i));
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}
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let adapted_threshold = sampler.get_threshold();
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// Threshold should increase due to higher recent imbalance
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assert!(
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adapted_threshold > initial_threshold,
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"EWMA threshold should adapt upward with higher imbalance"
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);
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}
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#[test]
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fn test_multiple_bars_sequence() {
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// Test that multiple bars can be emitted in sequence
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let mut sampler = ImbalanceBarSampler::new(100.0, 50.0, timestamp(0));
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let mut bars = Vec::new();
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sampler.update(100.0, 10.0, timestamp(0));
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// Generate enough imbalance for 3 bars
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for i in 1..=10 {
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let price = 100.0 + i as f64;
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if let Some(bar) = sampler.update(price, 20.0, timestamp(i)) {
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bars.push(bar);
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}
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}
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assert!(
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bars.len() >= 3,
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"Should emit multiple bars in sequence, got {}",
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bars.len()
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);
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// Verify bars don't overlap
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for i in 1..bars.len() {
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assert!(
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bars[i].timestamp > bars[i - 1].timestamp,
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"Bars should be chronologically ordered"
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);
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}
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}
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#[test]
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fn test_zero_volume_tick() {
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// Zero volume ticks should not affect imbalance
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0));
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sampler.update(101.0, 20.0, timestamp(1)); // +20 imbalance
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let imbalance_before = sampler.get_imbalance();
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sampler.update(102.0, 0.0, timestamp(2)); // Zero volume
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let imbalance_after = sampler.get_imbalance();
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assert_eq!(
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imbalance_before, imbalance_after,
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"Zero volume should not change imbalance"
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);
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}
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#[test]
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fn test_price_unchanged_tick() {
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// Price unchanged: use previous tick direction (MLFinLab convention)
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0));
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sampler.update(101.0, 10.0, timestamp(1)); // Buy tick
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// Price unchanged -> should repeat last direction (buy)
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sampler.update(101.0, 10.0, timestamp(2));
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sampler.update(101.0, 10.0, timestamp(3));
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// Imbalance should continue increasing (all buy ticks)
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assert!(
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sampler.get_imbalance() >= 30.0,
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"Unchanged price should use previous direction"
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);
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}
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#[test]
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fn test_high_low_tracking() {
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// Verify high/low are correctly tracked within bar
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// Threshold=100, need cumulative imbalance of ±100 to emit bar
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let mut sampler = ImbalanceBarSampler::new(100.0, 100.0, timestamp(0));
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sampler.update(100.0, 10.0, timestamp(0)); // Open (imbalance=0, baseline)
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sampler.update(105.0, 20.0, timestamp(1)); // Buy: +20, total=+20 (high candidate)
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sampler.update(95.0, 15.0, timestamp(2)); // Sell: -15, total=+5 (low candidate)
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sampler.update(102.0, 25.0, timestamp(3)); // Buy: +25, total=+30
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sampler.update(108.0, 30.0, timestamp(4)); // Buy: +30, total=+60 (new high)
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sampler.update(103.0, 50.0, timestamp(5)); // Sell: -50, total=+10
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// Next buy tick pushes imbalance to +110 >= 100 → triggers bar
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let bar = sampler.update(104.0, 100.0, timestamp(6));
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assert!(
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bar.is_some(),
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"Bar should emit when imbalance reaches 110 (>= 100)"
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);
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let bar = bar.unwrap();
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assert_eq!(bar.open, 100.0);
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assert_eq!(bar.high, 108.0);
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assert_eq!(bar.low, 95.0);
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assert_eq!(bar.close, 104.0); // Last price before bar emission
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}
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}
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