From e76b409d9a1f25b05cd2f223dc66b7e7104e9741 Mon Sep 17 00:00:00 2001
From: =?UTF-8?q?=E5=AE=89=E9=98=81=E9=94=90?=
 <40440788+2young-2simple-sometimes-naive@users.noreply.github.com>
Date: Sat, 1 Jan 2022 10:44:17 -0500
Subject: [PATCH] Fix $volume normalization issue (#792)

* Fix $volume normalization issue

Fix: https://github.com/microsoft/qlib/issues/765

* black formatting

black formatting

* black formatting

black formatting

* black formatting

black formatting
---
 qlib/contrib/data/handler.py | 6 +++---
 1 file changed, 3 insertions(+), 3 deletions(-)

diff --git a/qlib/contrib/data/handler.py b/qlib/contrib/data/handler.py
index 1e82ed67e..3c6a93f22 100644
--- a/qlib/contrib/data/handler.py
+++ b/qlib/contrib/data/handler.py
@@ -126,9 +126,9 @@ class Alpha360(DataHandlerLP):
         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 @@ class Alpha158(DataHandlerLP):
                 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])