mirror of
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ENH: Adds BMF, LSE, TSX to get_calendar
This commit is contained in:
jfkirk
@@ -462,7 +462,7 @@ class ExchangeCalendar(with_metaclass(ABCMeta)):
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_static_calendars = {}
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_lazy_calendar_names = ['NYSE', 'CME']
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_lazy_calendar_names = ['NYSE', 'CME', 'BMF', 'LSE', 'TSX']
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def get_calendar(name):
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@@ -493,6 +493,24 @@ def get_calendar(name):
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cme_cal = CMEExchangeCalendar()
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register_calendar(cme_cal)
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if name == 'BMF':
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from zipline.utils.calendars.exchange_calendar_bmf \
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import BMFExchangeCalendar
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bmf_cal = BMFExchangeCalendar()
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register_calendar(bmf_cal)
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if name == 'LSE':
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from zipline.utils.calendars.exchange_calendar_lse \
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import LSEExchangeCalendar
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lse_cal = LSEExchangeCalendar()
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register_calendar(lse_cal)
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if name == 'TSX':
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from zipline.utils.calendars.exchange_calendar_tsx \
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import TSXExchangeCalendar
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tsx_cal = TSXExchangeCalendar()
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register_calendar(tsx_cal)
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return _static_calendars[name]
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@@ -1,315 +0,0 @@
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#
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# Copyright 2014 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import pandas as pd
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import pytz
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from datetime import datetime
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from dateutil import rrule
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from zipline.utils.tradingcalendar import end, canonicalize_datetime, \
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get_open_and_closes
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start = pd.Timestamp('1994-01-01', tz='UTC')
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def get_non_trading_days(start, end):
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non_trading_rules = []
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start = canonicalize_datetime(start)
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end = canonicalize_datetime(end)
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weekends = rrule.rrule(
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rrule.YEARLY,
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byweekday=(rrule.SA, rrule.SU),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(weekends)
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# Universal confraternization
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conf_universal = rrule.rrule(
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rrule.MONTHLY,
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byyearday=1,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(conf_universal)
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# Sao Paulo city birthday
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aniversario_sao_paulo = rrule.rrule(
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rrule.MONTHLY,
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bymonth=1,
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bymonthday=25,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(aniversario_sao_paulo)
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# Carnival Monday
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carnaval_segunda = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-48,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(carnaval_segunda)
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# Carnival Tuesday
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carnaval_terca = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-47,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(carnaval_terca)
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# Passion of the Christ
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sexta_paixao = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-2,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(sexta_paixao)
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# Corpus Christi
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corpus_christi = rrule.rrule(
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rrule.MONTHLY,
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byeaster=60,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(corpus_christi)
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tiradentes = rrule.rrule(
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rrule.MONTHLY,
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bymonth=4,
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bymonthday=21,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(tiradentes)
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# Labor day
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dia_trabalho = rrule.rrule(
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rrule.MONTHLY,
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bymonth=5,
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bymonthday=1,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(dia_trabalho)
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# Constitutionalist Revolution
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constitucionalista = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=9,
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cache=True,
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dtstart=datetime(1997, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(constitucionalista)
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# Independency day
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independencia = rrule.rrule(
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rrule.MONTHLY,
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bymonth=9,
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bymonthday=7,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(independencia)
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# Our Lady of Aparecida
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aparecida = rrule.rrule(
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rrule.MONTHLY,
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bymonth=10,
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bymonthday=12,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(aparecida)
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# All Souls' day
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finados = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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bymonthday=2,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(finados)
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# Proclamation of the Republic
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proclamacao_republica = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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bymonthday=15,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(proclamacao_republica)
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# Day of Black Awareness
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consciencia_negra = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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bymonthday=20,
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cache=True,
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dtstart=datetime(2004, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(consciencia_negra)
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# Christmas Eve
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vespera_natal = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=24,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(vespera_natal)
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# Christmas
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natal = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=25,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(natal)
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# New Year Eve
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ano_novo = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=31,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(ano_novo)
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# New Year Eve on saturday
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ano_novo_sab = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=30,
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byweekday=rrule.FR,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(ano_novo_sab)
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non_trading_ruleset = rrule.rruleset()
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for rule in non_trading_rules:
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non_trading_ruleset.rrule(rule)
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non_trading_days = non_trading_ruleset.between(start, end, inc=True)
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# World Cup 2014 Opening
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non_trading_days.append(datetime(2014, 6, 12, tzinfo=pytz.utc))
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non_trading_days.sort()
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return pd.DatetimeIndex(non_trading_days)
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non_trading_days = get_non_trading_days(start, end)
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trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
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def get_trading_days(start, end, trading_day=trading_day):
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return pd.date_range(start=start.date(),
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end=end.date(),
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freq=trading_day).tz_localize('UTC')
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trading_days = get_trading_days(start, end)
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# Ash Wednesday
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quarta_cinzas = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-46,
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cache=True,
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dtstart=start,
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until=end
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)
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def get_early_closes(start, end):
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# TSX closed at 1:00 PM on december 24th.
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start = canonicalize_datetime(start)
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end = canonicalize_datetime(end)
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early_close_rules = []
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early_close_rules.append(quarta_cinzas)
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early_close_ruleset = rrule.rruleset()
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for rule in early_close_rules:
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early_close_ruleset.rrule(rule)
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early_closes = early_close_ruleset.between(start, end, inc=True)
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early_closes.sort()
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return pd.DatetimeIndex(early_closes)
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early_closes = get_early_closes(start, end)
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def get_open_and_close(day, early_closes):
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# only "early close" event in Bovespa actually is a late start
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# as the market only opens at 1pm
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open_hour = 13 if day in quarta_cinzas else 10
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market_open = pd.Timestamp(
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datetime(
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year=day.year,
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month=day.month,
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day=day.day,
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hour=open_hour,
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minute=00),
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tz='America/Sao_Paulo').tz_convert('UTC')
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market_close = pd.Timestamp(
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datetime(
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year=day.year,
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month=day.month,
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day=day.day,
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hour=16),
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tz='America/Sao_Paulo').tz_convert('UTC')
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return market_open, market_close
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open_and_closes = get_open_and_closes(trading_days, early_closes,
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get_open_and_close)
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@@ -1,186 +0,0 @@
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#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
|
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
|
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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# References:
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# http://www.londonstockexchange.com
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# /about-the-exchange/company-overview/business-days/business-days.htm
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# http://en.wikipedia.org/wiki/Bank_holiday
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# http://www.adviceguide.org.uk/england/work_e/work_time_off_work_e/
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# bank_and_public_holidays.htm
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import pytz
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import pandas as pd
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from datetime import datetime
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from dateutil import rrule
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from zipline.utils.tradingcalendar import end
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start = datetime(2002, 1, 1, tzinfo=pytz.utc)
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non_trading_rules = []
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# Weekends
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weekends = rrule.rrule(
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rrule.YEARLY,
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byweekday=(rrule.SA, rrule.SU),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(weekends)
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# New Year's Day
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new_year = rrule.rrule(
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rrule.MONTHLY,
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byyearday=1,
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cache=True,
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dtstart=start,
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until=end
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)
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# If new years day is on Saturday then Monday 3rd is a holiday
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# If new years day is on Sunday then Monday 2nd is a holiday
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weekend_new_year = rrule.rrule(
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rrule.MONTHLY,
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bymonth=1,
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bymonthday=[2, 3],
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byweekday=(rrule.MO),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(new_year)
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non_trading_rules.append(weekend_new_year)
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# Good Friday
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good_friday = rrule.rrule(
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rrule.DAILY,
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byeaster=-2,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(good_friday)
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# Easter Monday
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easter_monday = rrule.rrule(
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rrule.DAILY,
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byeaster=1,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(easter_monday)
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# Early May Bank Holiday (1st Monday in May)
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may_bank = rrule.rrule(
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rrule.MONTHLY,
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bymonth=5,
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byweekday=(rrule.MO(1)),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(may_bank)
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# Spring Bank Holiday (Last Monday in May)
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spring_bank = rrule.rrule(
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rrule.MONTHLY,
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bymonth=5,
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byweekday=(rrule.MO(-1)),
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cache=True,
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dtstart=datetime(2003, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(spring_bank)
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# Summer Bank Holiday (Last Monday in August)
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summer_bank = rrule.rrule(
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rrule.MONTHLY,
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bymonth=8,
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byweekday=(rrule.MO(-1)),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(summer_bank)
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# Christmas Day
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christmas = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=25,
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cache=True,
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dtstart=start,
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until=end
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)
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# If christmas day is Saturday Monday 27th is a holiday
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# If christmas day is sunday the Tuesday 27th is a holiday
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weekend_christmas = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=27,
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byweekday=(rrule.MO, rrule.TU),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(christmas)
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non_trading_rules.append(weekend_christmas)
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# Boxing Day
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boxing_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=26,
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||||
cache=True,
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||||
dtstart=start,
|
||||
until=end
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||||
)
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||||
# If boxing day is saturday then Monday 28th is a holiday
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# If boxing day is sunday then Tuesday 28th is a holiday
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weekend_boxing_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=28,
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||||
byweekday=(rrule.MO, rrule.TU),
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cache=True,
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||||
dtstart=start,
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||||
until=end
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||||
)
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||||
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non_trading_rules.append(boxing_day)
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non_trading_rules.append(weekend_boxing_day)
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||||
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||||
non_trading_ruleset = rrule.rruleset()
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||||
|
||||
# In 2002 May bank holiday was moved to 4th June to follow the Queens
|
||||
# Golden Jubilee
|
||||
non_trading_ruleset.exdate(datetime(2002, 9, 27, tzinfo=pytz.utc))
|
||||
non_trading_ruleset.rdate(datetime(2002, 6, 3, tzinfo=pytz.utc))
|
||||
non_trading_ruleset.rdate(datetime(2002, 6, 4, tzinfo=pytz.utc))
|
||||
# TODO: not sure why Feb 18 2008 is not available in the yahoo data
|
||||
non_trading_ruleset.rdate(datetime(2008, 2, 18, tzinfo=pytz.utc))
|
||||
# In 2011 The Friday before Mayday was the Royal Wedding
|
||||
non_trading_ruleset.rdate(datetime(2011, 4, 29, tzinfo=pytz.utc))
|
||||
# In 2012 May bank holiday was moved to 4th June to preceed the Queens
|
||||
# Diamond Jubilee
|
||||
non_trading_ruleset.exdate(datetime(2012, 5, 28, tzinfo=pytz.utc))
|
||||
non_trading_ruleset.rdate(datetime(2012, 6, 4, tzinfo=pytz.utc))
|
||||
non_trading_ruleset.rdate(datetime(2012, 6, 5, tzinfo=pytz.utc))
|
||||
|
||||
for rule in non_trading_rules:
|
||||
non_trading_ruleset.rrule(rule)
|
||||
|
||||
non_trading_days = non_trading_ruleset.between(start, end, inc=True)
|
||||
non_trading_day_index = pd.DatetimeIndex(sorted(non_trading_days))
|
||||
|
||||
business_days = pd.DatetimeIndex(start=start, end=end,
|
||||
freq=pd.datetools.BDay())
|
||||
|
||||
trading_days = business_days.difference(non_trading_day_index)
|
||||
@@ -1,364 +0,0 @@
|
||||
#
|
||||
# Copyright 2014 Quantopian, Inc.
|
||||
#
|
||||
# Licensed under the Apache License, Version 2.0 (the "License");
|
||||
# you may not use this file except in compliance with the License.
|
||||
# You may obtain a copy of the License at
|
||||
#
|
||||
# http://www.apache.org/licenses/LICENSE-2.0
|
||||
#
|
||||
# Unless required by applicable law or agreed to in writing, software
|
||||
# distributed under the License is distributed on an "AS IS" BASIS,
|
||||
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
# See the License for the specific language governing permissions and
|
||||
# limitations under the License.
|
||||
|
||||
|
||||
import pandas as pd
|
||||
import pytz
|
||||
|
||||
from datetime import datetime
|
||||
from dateutil import rrule
|
||||
from zipline.utils.tradingcalendar import end, canonicalize_datetime, \
|
||||
get_open_and_closes
|
||||
|
||||
start = pd.Timestamp('1994-01-01', tz='UTC')
|
||||
|
||||
|
||||
def get_non_trading_days(start, end):
|
||||
non_trading_rules = []
|
||||
|
||||
start = canonicalize_datetime(start)
|
||||
end = canonicalize_datetime(end)
|
||||
|
||||
weekends = rrule.rrule(
|
||||
rrule.YEARLY,
|
||||
byweekday=(rrule.SA, rrule.SU),
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(weekends)
|
||||
|
||||
new_years = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
byyearday=1,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(new_years)
|
||||
|
||||
new_years_sunday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
byyearday=2,
|
||||
byweekday=rrule.MO,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(new_years_sunday)
|
||||
|
||||
new_years_saturday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
byyearday=3,
|
||||
byweekday=rrule.MO,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(new_years_saturday)
|
||||
|
||||
# Family day in Ontario, starting in 2008, third monday of February
|
||||
family_day = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=2,
|
||||
byweekday=(rrule.MO(3)),
|
||||
cache=True,
|
||||
dtstart=datetime(2008, 1, 1, tzinfo=pytz.utc),
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(family_day)
|
||||
|
||||
good_friday = rrule.rrule(
|
||||
rrule.DAILY,
|
||||
byeaster=-2,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(good_friday)
|
||||
|
||||
# Monday prior to May 25th.
|
||||
victoria_day = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=5,
|
||||
byweekday=rrule.MO,
|
||||
bymonthday=[24, 23, 22, 21, 20, 19, 18],
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(victoria_day)
|
||||
|
||||
july_1st = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=7,
|
||||
bymonthday=1,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(july_1st)
|
||||
|
||||
july_1st_sunday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=7,
|
||||
bymonthday=2,
|
||||
byweekday=rrule.MO,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(july_1st_sunday)
|
||||
|
||||
july_1st_saturday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=7,
|
||||
bymonthday=3,
|
||||
byweekday=rrule.MO,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(july_1st_saturday)
|
||||
|
||||
civic_holiday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=8,
|
||||
byweekday=rrule.MO(1),
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(civic_holiday)
|
||||
|
||||
labor_day = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=9,
|
||||
byweekday=(rrule.MO(1)),
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(labor_day)
|
||||
|
||||
thanksgiving = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=10,
|
||||
byweekday=(rrule.MO(2)),
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(thanksgiving)
|
||||
|
||||
christmas = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=25,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(christmas)
|
||||
|
||||
# If Christmas is a Sunday then the 26th, a Monday is observed.
|
||||
# (but that would be boxing day), so the 27th is also observed.
|
||||
christmas_sunday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=27,
|
||||
byweekday=rrule.TU,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(christmas_sunday)
|
||||
|
||||
# If Christmas is a Saturday then the 27th, a monday is observed.
|
||||
christmas_saturday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=27,
|
||||
byweekday=rrule.MO,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(christmas_saturday)
|
||||
|
||||
boxing_day = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=26,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(boxing_day)
|
||||
|
||||
# if boxing day is a sunday, the Christmas was saturday.
|
||||
# Christmas is observed on the 27th, a month and boxing day is observed
|
||||
# on the 28th, a tuesday.
|
||||
boxing_day_sunday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=28,
|
||||
byweekday=rrule.TU,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(boxing_day_sunday)
|
||||
|
||||
# If boxing day is a Saturday then the 28th, a monday is observed.
|
||||
boxing_day_saturday = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=28,
|
||||
byweekday=rrule.MO,
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
non_trading_rules.append(boxing_day_saturday)
|
||||
|
||||
non_trading_ruleset = rrule.rruleset()
|
||||
|
||||
for rule in non_trading_rules:
|
||||
non_trading_ruleset.rrule(rule)
|
||||
|
||||
non_trading_days = non_trading_ruleset.between(start, end, inc=True)
|
||||
|
||||
# Add September 11th closings
|
||||
# The TSX was open for 71 minutes on September 11, 2011.
|
||||
# It was closed on the 12th and reopened on the 13th.
|
||||
# http://www.cbc.ca/news2/interactives/map-tsx/
|
||||
#
|
||||
# September 2001
|
||||
# Su Mo Tu We Th Fr Sa
|
||||
# 1
|
||||
# 2 3 4 5 6 7 8
|
||||
# 9 10 11 12 13 14 15
|
||||
# 16 17 18 19 20 21 22
|
||||
# 23 24 25 26 27 28 29
|
||||
# 30
|
||||
|
||||
non_trading_days.append(
|
||||
datetime(2001, 9, 12, tzinfo=pytz.utc))
|
||||
|
||||
non_trading_days.sort()
|
||||
return pd.DatetimeIndex(non_trading_days)
|
||||
|
||||
non_trading_days = get_non_trading_days(start, end)
|
||||
trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
|
||||
|
||||
|
||||
def get_trading_days(start, end, trading_day=trading_day):
|
||||
return pd.date_range(start=start.date(),
|
||||
end=end.date(),
|
||||
freq=trading_day).tz_localize('UTC')
|
||||
|
||||
trading_days = get_trading_days(start, end)
|
||||
|
||||
# Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
|
||||
# --------------------------------------------------------------------
|
||||
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
|
||||
# to check whether exchange was open on these days.
|
||||
# 1994-07-01 - July 1st, Yahoo Finance has Volume = 0
|
||||
# 1996-07-01 - July 1st, Yahoo Finance has Volume = 0
|
||||
# 1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
|
||||
# 1997-07-01 - July 1st, Yahoo Finance has Volume = 0
|
||||
# 1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
|
||||
# 2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
|
||||
# 2004-10-11 - Closed, Thanksgiving - Confirmed closed
|
||||
# 2004-12-28 - Closed, Boxing Day - Confirmed closed
|
||||
# 2012-10-08 - Closed, Thanksgiving - Confirmed closed
|
||||
|
||||
# Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
|
||||
# --------------------------------------------------------------------
|
||||
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
|
||||
# to check whether exchange was open on these days.
|
||||
# 2000-06-28 - No data this far back, can't confirm
|
||||
# 2000-08-28 - No data this far back, can't confirm
|
||||
# 2000-08-29 - No data this far back, can't confirm
|
||||
# 2001-09-11 - TSE Open for 71 min.
|
||||
# 2002-02-01 - Confirm TSE Open
|
||||
# 2002-06-14 - Confirm TSE Open
|
||||
# 2002-07-02 - Confirm TSE Open
|
||||
# 2002-11-11 - TSX website has no data for 2 weeks in 2002
|
||||
# 2003-07-07 - Confirm TSE Open
|
||||
# 2003-12-16 - Confirm TSE Open
|
||||
|
||||
|
||||
def get_early_closes(start, end):
|
||||
# TSX closed at 1:00 PM on december 24th.
|
||||
|
||||
start = canonicalize_datetime(start)
|
||||
end = canonicalize_datetime(end)
|
||||
|
||||
start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
|
||||
end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
|
||||
|
||||
# Not included here are early closes prior to 1993
|
||||
# or unplanned early closes
|
||||
|
||||
early_close_rules = []
|
||||
|
||||
christmas_eve = rrule.rrule(
|
||||
rrule.MONTHLY,
|
||||
bymonth=12,
|
||||
bymonthday=24,
|
||||
byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR),
|
||||
cache=True,
|
||||
dtstart=start,
|
||||
until=end
|
||||
)
|
||||
early_close_rules.append(christmas_eve)
|
||||
|
||||
early_close_ruleset = rrule.rruleset()
|
||||
|
||||
for rule in early_close_rules:
|
||||
early_close_ruleset.rrule(rule)
|
||||
early_closes = early_close_ruleset.between(start, end, inc=True)
|
||||
|
||||
early_closes.sort()
|
||||
return pd.DatetimeIndex(early_closes)
|
||||
|
||||
early_closes = get_early_closes(start, end)
|
||||
|
||||
|
||||
def get_open_and_close(day, early_closes):
|
||||
market_open = pd.Timestamp(
|
||||
datetime(
|
||||
year=day.year,
|
||||
month=day.month,
|
||||
day=day.day,
|
||||
hour=9,
|
||||
minute=31),
|
||||
tz='US/Eastern').tz_convert('UTC')
|
||||
# 1 PM if early close, 4 PM otherwise
|
||||
close_hour = 13 if day in early_closes else 16
|
||||
market_close = pd.Timestamp(
|
||||
datetime(
|
||||
year=day.year,
|
||||
month=day.month,
|
||||
day=day.day,
|
||||
hour=close_hour),
|
||||
tz='US/Eastern').tz_convert('UTC')
|
||||
|
||||
return market_open, market_close
|
||||
|
||||
open_and_closes = get_open_and_closes(trading_days, early_closes,
|
||||
get_open_and_close)
|
||||
Reference in New Issue
Block a user