Correlations.py RuntimeWarning

[MountainCountry]

When trying to run the 'optimisation.py':

In [86]: print(system.accounts.portfolio().stats())
Calculating pandl for portfolio
Calculating instrument div. multiplier
Calculating instrument correlations
C:\Anaconda3\lib\site-packages\systems\portfolio.py:665: FutureWarning:
.resample() is now a deferred operation
You called diff(...) on this deferred object which materialized it into a dataframe
by implicitly taking the mean. Use .resample(...).mean() instead
pandl = pandl.cumsum().resample(frequency).diff()
Correlation estimate
C:\Anaconda3\lib\site-packages\syscore\correlations.py:181: RuntimeWarning: invalid value encountered in less
corrmat[corrmat < 0] = 0.0

[ericscheier]

+1

I am running into this as well in the course of running the system on new assets/data. It does not happen with certain asset combinations but does with others. FWIW, I am using cryptocurrency data which in many cases is highly correlated, so maybe the correlation matrix has an Inf in it somewhere.

OS: Ubuntu 16.04
Python 3.5.2 |Anaconda custom (64-bit)| (default, Jul 2 2016, 17:53:06)
[GCC 4.4.7 20120313 (Red Hat 4.4.7-1)] on linux

[herrold]

This appears to he a pandas warning, handled in a later version

pandas-dev/pandas#13520

[ericscheier]

Thanks for the reference @herrold, but that thread seems to be about the FutureWarning in @MountainCountry 's post. Based on the issue title I was treating this topic as relating to the RuntimeWarning, which I am still getting in pandas.__version__ '0.19.2'.

[robcarver17]

Fixed in latest version.