[huuan26]

Summary

Fix close/volume index misalignment and ValueError: operands could not be broadcast together crashes in _amihud_illiquidity when frame["close"] contains NaN or non-finite values, and handle zero-volume or non-positive traded-value bars cleanly without emitting runtime divide-by-zero warnings.

Previously, _amihud_illiquidity dropped missing entries from close and volume independently (close = _numeric_series(...) vs. volume = _numeric_series(...)). Whenever a bar had a valid volume and a missing close (or trailing NaN close at the end of a rolling cross-sectional window), taking the last period elements from each vector misaligned timestamps or caused unequal-length broadcasting errors that could abort cross-factor correlation checks inside FactorResearchEngine.run.

Changes

• backend_api_python/app/services/factors/registry.py: in _amihud_illiquidity, coerce close and volume with non-finite values mapped to NaN, filter both series through the same valid_close = raw_close.notna().to_numpy() mask, align prev_close, curr_close, and curr_volume on identical valid-close bar slices, compute abs_returns / np.where(traded_value > 0.0, traded_value, np.nan) under np.errstate(divide="ignore", invalid="ignore"), and return float("nan") if no finite daily ratio remains.
• backend_api_python/tests/test_factor_registry.py: add test_amihud_illiquidity_aligns_close_and_volume_with_missing_or_zero_bars covering trailing NaN closes, internal NaN closes paired with distinct volumes, all-zero volumes, and insufficient valid closes (factor.insufficientHistory).
• backend_api_python/tests/test_factor_research.py: add test_factor_research_correlation_survives_nan_close_in_amihud_illiquidity regression test confirming FactorResearchEngine.run retains amihud_illiquidity in factorCorrelation when a constituent has a NaN close on a research date.

Test plan

• Tested locally with docker compose up -d --build (not run; pure unit/factor calculation fix)
• Backend logs show no errors
• Relevant pytest tests pass:
  • pytest tests/test_factor_registry.py tests/test_factor_research.py tests/test_qlib_factor_adapter.py -v (59 passed, 1 skipped; test_factor_research_builds_talib_081_panel_with_selected_parameters skipped locally because optional talib is not installed)
  • coverage run --branch --include="app/services/factors/registry.py" -m pytest tests/test_factor_registry.py tests/test_factor_research.py -q (28 passed, 1 skipped; zero missed statements/branches in _amihud_illiquidity)
  • ruff check app scripts tests, python -m py_compile run.py, python -m compileall -q app scripts tests
  • python scripts/backend_quality_check.py, python scripts/check_requirements_lock.py, python scripts/check_docs.py, python scripts/check_version.py, python scripts/check_mojibake.py

API documentation (if routes/schemas changed)

• No API routes or OpenAPI schemas modified.

[sonarqubecloud]

Quality Gate passed

Issues
0 New issues
0 Accepted issues

Measures
0 Security Hotspots
0.0% Coverage on New Code
0.0% Duplication on New Code

See analysis details on SonarQube Cloud

[codecov]

Codecov Report

✅ All modified and coverable lines are covered by tests.

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