From 69e28ceab8bf9a758eeac3282db5166cf69a7172 Mon Sep 17 00:00:00 2001
From: Fivele-Li <128388363+Fivele-Li@users.noreply.github.com>
Date: Fri, 1 Sep 2023 18:12:49 +0800
Subject: [PATCH] suppress the SettingWithCopyWarning of pandas (#1513)

* df value is set as expected, suppress the warning;

* depress warning with pandas option_context

---------

Co-authored-by: Cadenza-Li <362237642@qq.com>
---
 qlib/data/dataset/processor.py | 10 +++++++---
 1 file changed, 7 insertions(+), 3 deletions(-)

diff --git a/qlib/data/dataset/processor.py b/qlib/data/dataset/processor.py
index 63acd937e..714693d18 100644
--- a/qlib/data/dataset/processor.py
+++ b/qlib/data/dataset/processor.py
@@ -318,9 +318,13 @@ class CSZScoreNorm(Processor):
         # try not modify original dataframe
         if not isinstance(self.fields_group, list):
             self.fields_group = [self.fields_group]
-        for g in self.fields_group:
-            cols = get_group_columns(df, g)
-            df[cols] = df[cols].groupby("datetime", group_keys=False).apply(self.zscore_func)
+        # depress warning by references:
+        # https://stackoverflow.com/questions/20625582/how-to-deal-with-settingwithcopywarning-in-pandas
+        # https://pandas.pydata.org/pandas-docs/stable/user_guide/options.html#getting-and-setting-options
+        with pd.option_context("mode.chained_assignment", None):
+            for g in self.fields_group:
+                cols = get_group_columns(df, g)
+                df[cols] = df[cols].groupby("datetime", group_keys=False).apply(self.zscore_func)
         return df