RuntimeWarning: invalid value encountered in double_scalars

eguidotti / bidask

Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices

https://doi.org/10.1016/j.jfineco.2024.103916

GNU General Public License v3.0

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RuntimeWarning: invalid value encountered in double_scalars #4

Closed tommedema closed 2 years ago

tommedema commented 2 years ago

Reproducible code:

import warnings
from bidask import edge

# treat warnings as errors
warnings.filterwarnings('error')

edge(
    np.array([18.21, 17.61, 17.61]),
    np.array([18.21, 17.61, 17.61]),
    np.array([17.61, 17.61, 17.61]),
    np.array([17.61, 17.61, 17.61])
)

eguidotti commented 2 years ago

Thanks! This is fixed in the new version (just updated on PyPI). The function now returns nan when the variance is zero, as it should be.