foxhunt/common/tests/volume_indicators_integration_test.rs

//! Integration tests for volume-based technical indicators (OBV, MFI, VWAP)
//!
//! This test suite validates the implementation of volume indicators added in Wave 19.1.3

use chrono::Utc;
use common::ml_strategy::MLFeatureExtractor;

#[test]
fn test_obv_accumulation_uptrend() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Simulate strong uptrend with increasing volume
    for i in 0..20 {
        let price = 100.0 + (i as f64 * 2.0);
        let volume = 1000.0 + (i as f64 * 50.0);
        let features = extractor.extract_features(price, volume, timestamp);

        if i >= 1 {
            // OBV is at index 10 (7 base + 3 oscillators)
            let obv = features[10];

            // OBV should be positive in sustained uptrend
            assert!(
                obv > 0.0 || i == 1,
                "OBV should be positive in uptrend at iteration {}, got {}",
                i,
                obv
            );
        }
    }
}

#[test]
fn test_obv_distribution_downtrend() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Simulate strong downtrend
    for i in 0..20 {
        let price = 140.0 - (i as f64 * 2.0);
        let volume = 1000.0 + (i as f64 * 50.0);
        let features = extractor.extract_features(price, volume, timestamp);

        if i >= 1 {
            let obv = features[10];

            // OBV should be negative in sustained downtrend
            assert!(
                obv < 0.0 || i == 1,
                "OBV should be negative in downtrend at iteration {}, got {}",
                i,
                obv
            );
        }
    }
}

#[test]
fn test_obv_unchanged_on_flat_price() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Extract first feature to initialize
    extractor.extract_features(100.0, 1000.0, timestamp);

    // Same price, different volumes - OBV should remain unchanged
    let features1 = extractor.extract_features(100.0, 1500.0, timestamp);
    let features2 = extractor.extract_features(100.0, 2000.0, timestamp);
    let features3 = extractor.extract_features(100.0, 500.0, timestamp);

    let obv1 = features1[10];
    let obv2 = features2[10];
    let obv3 = features3[10];

    // All OBV values should be equal when price is flat
    assert_eq!(obv1, obv2, "OBV should not change when price is unchanged");
    assert_eq!(obv2, obv3, "OBV should not change when price is unchanged");
}

#[test]
fn test_mfi_overbought_condition() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Generate 15+ bars for MFI calculation
    // Strong sustained uptrend with high volume = overbought
    for i in 0..16 {
        let price = 100.0 + (i as f64 * 3.0);
        let volume = 1000.0 + (i as f64 * 200.0);
        extractor.extract_features(price, volume, timestamp);
    }

    // Final strong up move
    let features = extractor.extract_features(148.0, 4000.0, timestamp);

    // MFI is at index 11 (7 base + 3 oscillators + OBV)
    let mfi = features[11];

    // MFI should be strongly positive (overbought, normalized from high MFI value)
    assert!(
        mfi > 0.3,
        "MFI should indicate overbought condition (positive), got {}",
        mfi
    );
}

#[test]
fn test_mfi_oversold_condition() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Generate 15+ bars for MFI calculation
    // Strong sustained downtrend with high volume = oversold
    for i in 0..16 {
        let price = 148.0 - (i as f64 * 3.0);
        let volume = 1000.0 + (i as f64 * 200.0);
        extractor.extract_features(price, volume, timestamp);
    }

    // Final strong down move
    let features = extractor.extract_features(100.0, 4000.0, timestamp);

    let mfi = features[11];

    // MFI should be strongly negative (oversold, normalized from low MFI value)
    assert!(
        mfi < -0.3,
        "MFI should indicate oversold condition (negative), got {}",
        mfi
    );
}

#[test]
fn test_mfi_neutral_condition() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Generate mixed market with equal buying/selling pressure
    for i in 0..15 {
        let price = if i % 2 == 0 { 100.0 } else { 101.0 };
        let volume = 1000.0;
        extractor.extract_features(price, volume, timestamp);
    }

    let features = extractor.extract_features(100.5, 1000.0, timestamp);
    let mfi = features[11];

    // MFI should be near neutral (close to 0)
    assert!(
        mfi.abs() < 0.5,
        "MFI should be near neutral with mixed signals, got {}",
        mfi
    );
}

#[test]
fn test_vwap_benchmark_oscillating_market() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Trade around a base price with varying volumes
    let base_price = 100.0;
    let prices = vec![100.0, 102.0, 98.0, 101.0, 99.0, 100.0, 103.0, 97.0];
    let volumes = vec![1000.0, 500.0, 1500.0, 800.0, 1200.0, 1000.0, 600.0, 1400.0];

    for (price, volume) in prices.iter().zip(volumes.iter()) {
        extractor.extract_features(*price, *volume, timestamp);
    }

    let features = extractor.extract_features(100.0, 1000.0, timestamp);

    // VWAP is at index 12 (7 base + 3 oscillators + OBV + MFI)
    let vwap_ratio = features[12];

    // VWAP ratio should be near 0 when price oscillates around average
    assert!(
        vwap_ratio.abs() < 0.2,
        "VWAP ratio should be near 0 for oscillating prices, got {}",
        vwap_ratio
    );
}

#[test]
fn test_vwap_below_current_price() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // High volume at low prices, then price rises with low volume
    extractor.extract_features(100.0, 5000.0, timestamp);
    extractor.extract_features(101.0, 4000.0, timestamp);
    extractor.extract_features(102.0, 3000.0, timestamp);

    // Price jumps up with low volume
    let features = extractor.extract_features(110.0, 500.0, timestamp);
    let vwap_ratio = features[12];

    // Price > VWAP, so ratio should be positive (bullish)
    assert!(
        vwap_ratio > 0.0,
        "VWAP ratio should be positive when price > VWAP, got {}",
        vwap_ratio
    );
}

#[test]
fn test_vwap_above_current_price() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // High volume at high prices, then price drops with low volume
    extractor.extract_features(110.0, 5000.0, timestamp);
    extractor.extract_features(109.0, 4000.0, timestamp);
    extractor.extract_features(108.0, 3000.0, timestamp);

    // Price drops with low volume
    let features = extractor.extract_features(100.0, 500.0, timestamp);
    let vwap_ratio = features[12];

    // Price < VWAP, so ratio should be negative (bearish)
    assert!(
        vwap_ratio < 0.0,
        "VWAP ratio should be negative when price < VWAP, got {}",
        vwap_ratio
    );
}

#[test]
fn test_all_volume_indicators_normalized() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Generate diverse market conditions to test normalization
    for i in 0..20 {
        let price = 100.0 + ((i as f64 * 5.0).sin() * 20.0); // Volatile sine wave
        let volume = 500.0 + (i as f64 * 100.0); // Increasing volume
        extractor.extract_features(price, volume, timestamp);
    }

    let features = extractor.extract_features(105.0, 2500.0, timestamp);

    let obv = features[10];
    let mfi = features[11];
    let vwap = features[12];

    // All volume indicators should be in [-1, 1] range
    assert!(
        obv >= -1.0 && obv <= 1.0,
        "OBV should be normalized to [-1, 1], got {}",
        obv
    );
    assert!(
        mfi >= -1.0 && mfi <= 1.0,
        "MFI should be normalized to [-1, 1], got {}",
        mfi
    );
    assert!(
        vwap >= -1.0 && vwap <= 1.0,
        "VWAP should be normalized to [-1, 1], got {}",
        vwap
    );
}

#[test]
fn test_volume_indicators_with_extreme_values() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Test with extreme volume spikes and price movements
    for i in 0..15 {
        let price = if i == 10 { 150.0 } else { 100.0 }; // Price spike
        let volume = if i == 10 { 50000.0 } else { 1000.0 }; // Volume spike
        extractor.extract_features(price, volume, timestamp);
    }

    let features = extractor.extract_features(102.0, 1200.0, timestamp);

    let obv = features[10];
    let mfi = features[11];
    let vwap = features[12];

    // Even with extreme values, indicators should remain normalized
    assert!(
        obv >= -1.0 && obv <= 1.0,
        "OBV should handle extreme values, got {}",
        obv
    );
    assert!(
        mfi >= -1.0 && mfi <= 1.0,
        "MFI should handle extreme values, got {}",
        mfi
    );
    assert!(
        vwap >= -1.0 && vwap <= 1.0,
        "VWAP should handle extreme values, got {}",
        vwap
    );
}

#[test]
fn test_volume_indicators_insufficient_data() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Test with minimal data points
    let features1 = extractor.extract_features(100.0, 1000.0, timestamp);
    let features2 = extractor.extract_features(101.0, 1100.0, timestamp);

    // OBV should work with 2 data points
    assert_eq!(features1[10], 0.0, "OBV should be 0 for first data point");

    // MFI should default to 0 with insufficient data (needs 15 points)
    assert_eq!(features1[11], 0.0, "MFI should be 0 with insufficient data");
    assert_eq!(features2[11], 0.0, "MFI should be 0 with insufficient data");

    // VWAP should work with any amount of data
    assert!(
        features1[12] >= -1.0 && features1[12] <= 1.0,
        "VWAP should be calculated even with minimal data"
    );
}

#[test]
fn test_feature_vector_includes_volume_indicators() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Generate sufficient data for all indicators
    for i in 0..30 {
        let price = 100.0 + (i as f64 * 0.5);
        let volume = 1000.0 + (i as f64 * 10.0);
        extractor.extract_features(price, volume, timestamp);
    }

    let features = extractor.extract_features(115.0, 1300.0, timestamp);

    // Total features: 18
    // 7 base (price_return, short_ma, volatility, volume_ratio, volume_ma_ratio, hour, day_of_week)
    // 3 oscillators (Williams %R, ROC, Ultimate Oscillator)
    // 3 volume indicators (OBV, MFI, VWAP)
    // 5 EMA (ema_9_norm, ema_21_norm, ema_50_norm, ema_9_21_cross, ema_21_50_cross)
    assert_eq!(
        features.len(),
        18,
        "Feature vector should include all 18 features"
    );

    // Verify volume indicators are at correct indices
    let obv = features[10];
    let mfi = features[11];
    let vwap = features[12];

    assert!(obv.abs() <= 1.0, "OBV at index 10");
    assert!(mfi.abs() <= 1.0, "MFI at index 11");
    assert!(vwap.abs() <= 1.0, "VWAP at index 12");
}

#[test]
fn test_volume_indicators_provide_unique_signals() {
    let mut extractor = MLFeatureExtractor::new(30);
    let timestamp = Utc::now();

    // Create scenario where volume indicators should diverge
    // Phase 1: High volume accumulation at low prices
    for i in 0..10 {
        let price = 100.0 - (i as f64 * 0.5);
        let volume = 1000.0 + (i as f64 * 300.0); // Increasing volume
        extractor.extract_features(price, volume, timestamp);
    }

    // Phase 2: Price recovery with moderate volume
    for i in 0..10 {
        let price = 95.0 + (i as f64 * 1.0);
        let volume = 1500.0; // Consistent moderate volume
        extractor.extract_features(price, volume, timestamp);
    }

    let features = extractor.extract_features(105.0, 1600.0, timestamp);

    let obv = features[10];
    let mfi = features[11];
    let vwap = features[12];

    // All three indicators should provide different perspectives
    // OBV: Should reflect volume accumulation during downturn + recovery
    // MFI: Should show recent buying pressure (14-period window)
    // VWAP: Should show price relative to volume-weighted average

    // Verify they're not all the same (they provide unique information)
    let indicators_equal = (obv - mfi).abs() < 0.01 && (mfi - vwap).abs() < 0.01;
    assert!(
        !indicators_equal,
        "Volume indicators should provide different signals: OBV={}, MFI={}, VWAP={}",
        obv, mfi, vwap
    );
}