helpers.py 文件源码

def read_mongodb_matrix(tickers, matrix_name):
    mis = MatrixItem.objects(i__in = tickers,
                             j__in = tickers,
                             matrix_name = matrix_name)
    n = len(tickers)
    available_tickers = set([mi.i for mi in mis])
    np.random.seed(n)
    a = np.absolute(np.random.normal(0, 0.001, [n, n]))
    a_triu = np.triu(a, k=0)
    a_tril = np.tril(a, k=0)
    a_diag = np.diag(np.diag(a))
    a_sym_triu = a_triu + a_triu.T - a_diag
    matrix = pd.DataFrame(a_sym_triu,
                          index = tickers,
                          columns = tickers)
    for mi in mis:
        if abs(mi.v) > 10:
            mi.v = 0.001

        matrix.set_value(mi.i, mi.j, mi.v)
        matrix.set_value(mi.j, mi.i, mi.v)

    matrix = matrix.round(6)
    return matrix