Fix bug of zero dollar volume

mgao6767 · Dec 20, 2023 · 7062ae9 · 7062ae9
1 parent b017092
commit 7062ae9
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Showing 3 changed files with 13 additions and 6 deletions.
diff --git a/pyproject.toml b/pyproject.toml
@@ -1,6 +1,6 @@
 [project]
 name = "frds"
-version = "2.4.0"
+version = "2.4.1"
 authors = [{ name = "Mingze Gao", email = "adrian.gao@outlook.com" }]
 description = "Financial Research Data Services"
 readme = "README.md"

diff --git a/src/frds/measures/price_impact.py b/src/frds/measures/price_impact.py
@@ -42,5 +42,7 @@ def simple_price_impact(
             spread = 2 * trade_direction * (midpoint_later - midpoint) / midpoint * 100
         else:
             spread = 2 * trade_direction * (np.log(midpoint_later) - np.log(midpoint))
-
-    return np.average(spread, weights=volume * price)
+    dollar_volume = volume * price
+    if all(dollar_volume == 0):
+        return np.nanmean(spread)
+    return np.average(spread, weights=dollar_volume)
diff --git a/src/frds/measures/spread.py b/src/frds/measures/spread.py
@@ -63,7 +63,10 @@ def effective_spread(
             spread = 2 * trade_direction * (price - midpoint) / midpoint * 100
         else:
             spread = 2 * trade_direction * (np.log(price) - np.log(midpoint))
-    return np.average(spread, weights=volume * price)
+    dollar_volume = volume * price
+    if all(dollar_volume == 0):
+        return np.nanmean(spread)
+    return np.average(spread, weights=dollar_volume)
 
 
 def realized_spread(
@@ -108,5 +111,7 @@ def realized_spread(
             spread = 2 * trade_direction * (price - midpoint_later) / midpoint * 100
         else:
             spread = 2 * trade_direction * (np.log(price) - np.log(midpoint_later))
-
-    return np.average(spread, weights=volume * price)
+    dollar_volume = volume * price
+    if all(dollar_volume == 0):
+        return np.nanmean(spread)
+    return np.average(spread, weights=dollar_volume)