Fix $volume normalization issue (microsoft#792)

* Fix $volume normalization issue Fix: microsoft#765 * black formatting black formatting * black formatting black formatting * black formatting black formatting
qianyun210603 · Jan 1, 2022 · 79f34ea · 79f34ea
1 parent 5692cc2
commit 79f34ea
Showing 1 changed file with 3 additions and 3 deletions.
diff --git a/qlib/contrib/data/handler.py b/qlib/contrib/data/handler.py
@@ -126,9 +126,9 @@ def get_feature_config(self):
         fields += ["$vwap/$close"]
         names += ["VWAP0"]
         for i in range(59, 0, -1):
-            fields += ["Ref($volume, %d)/$volume" % (i)]
+            fields += ["Ref($volume, %d)/($volume+1e-12)" % (i)]
             names += ["VOLUME%d" % (i)]
-        fields += ["$volume/$volume"]
+        fields += ["$volume/($volume+1e-12)"]
         names += ["VOLUME0"]
 
         return fields, names
@@ -249,7 +249,7 @@ def parse_config_to_fields(config):
                 names += [field.upper() + str(d) for d in windows]
         if "volume" in config:
             windows = config["volume"].get("windows", range(5))
-            fields += ["Ref($volume, %d)/$volume" % d if d != 0 else "$volume/$volume" for d in windows]
+            fields += ["Ref($volume, %d)/($volume+1e-12)" % d if d != 0 else "$volume/($volume+1e-12)" for d in windows]
             names += ["VOLUME" + str(d) for d in windows]
         if "rolling" in config:
             windows = config["rolling"].get("windows", [5, 10, 20, 30, 60])