foxhunt/ml/tests/ppo_transaction_costs_tests.rs

//! Transaction Cost Tests for PPO
//!
//! Test-driven development (TDD) - Tests written FIRST before implementation.
//! These tests verify that PPO transaction cost calculations match DQN behavior.

use ml::ppo::transaction_costs::{calculate_transaction_cost, OrderType};

#[test]
fn test_transaction_cost_maker_fee() {
    // LimitMaker: 0.05% (0.0005)
    let trade_value = 10_000.0; // $10,000 trade
    let cost = calculate_transaction_cost(OrderType::LimitMaker, trade_value);

    // Expected: 0.0005 * 10,000 = $5.00
    assert_eq!(cost, 5.0, "LimitMaker fee should be 0.05%");

    // Test larger trade
    let large_trade = 100_000.0; // $100K trade
    let large_cost = calculate_transaction_cost(OrderType::LimitMaker, large_trade);
    assert_eq!(large_cost, 50.0, "LimitMaker fee on $100K should be $50");
}

#[test]
fn test_transaction_cost_taker_fee() {
    // Market: 0.15% (0.0015)
    let trade_value = 10_000.0; // $10,000 trade
    let cost = calculate_transaction_cost(OrderType::Market, trade_value);

    // Expected: 0.0015 * 10,000 = $15.00
    assert_eq!(cost, 15.0, "Market fee should be 0.15%");

    // Test smaller trade
    let small_trade = 1_000.0; // $1K trade
    let small_cost = calculate_transaction_cost(OrderType::Market, small_trade);
    assert_eq!(small_cost, 1.5, "Market fee on $1K should be $1.50");
}

#[test]
fn test_transaction_cost_ioc_fee() {
    // IoC (Immediate-or-Cancel): 0.10% (0.0010)
    let trade_value = 10_000.0; // $10,000 trade
    let cost = calculate_transaction_cost(OrderType::IoC, trade_value);

    // Expected: 0.0010 * 10,000 = $10.00
    assert_eq!(cost, 10.0, "IoC fee should be 0.10%");

    // Test edge case: zero trade value
    let zero_cost = calculate_transaction_cost(OrderType::IoC, 0.0);
    assert_eq!(zero_cost, 0.0, "Zero trade value should have zero cost");
}

#[test]
fn test_transaction_cost_negative_trade_value() {
    // Transaction costs should be based on absolute value
    let trade_value = -10_000.0; // Negative trade value (shouldn't happen, but test defensively)
    let cost = calculate_transaction_cost(OrderType::Market, trade_value);

    // Expected: 0.0015 * |-10,000| = $15.00
    assert_eq!(cost, 15.0, "Transaction cost should use absolute trade value");
}

#[test]
fn test_transaction_cost_fee_ordering() {
    // Verify fee ordering: Market (0.15%) > IoC (0.10%) > LimitMaker (0.05%)
    let trade_value = 10_000.0;

    let market_cost = calculate_transaction_cost(OrderType::Market, trade_value);
    let ioc_cost = calculate_transaction_cost(OrderType::IoC, trade_value);
    let maker_cost = calculate_transaction_cost(OrderType::LimitMaker, trade_value);

    assert!(market_cost > ioc_cost, "Market fee should be higher than IoC");
    assert!(ioc_cost > maker_cost, "IoC fee should be higher than LimitMaker");
    assert_eq!(market_cost, 15.0, "Market: 0.15%");
    assert_eq!(ioc_cost, 10.0, "IoC: 0.10%");
    assert_eq!(maker_cost, 5.0, "LimitMaker: 0.05%");
}

#[test]
fn test_transaction_cost_large_values() {
    // Test with large trade values to verify no overflow
    let large_trade = 1_000_000.0; // $1M trade

    let market_cost = calculate_transaction_cost(OrderType::Market, large_trade);
    assert_eq!(market_cost, 1_500.0, "Market fee on $1M should be $1,500");

    let maker_cost = calculate_transaction_cost(OrderType::LimitMaker, large_trade);
    assert_eq!(maker_cost, 500.0, "LimitMaker fee on $1M should be $500");
}