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ENH: Add Brazilian calendar for BMF&Bovespa stock market
Add Brazilian Bovespa Stock Market calendar
This commit is contained in:
Moises Trovo
committed by
Eddie Hebert
Eddie Hebert
parent
b69590a2f7
commit
64b28d15f8
@@ -17,6 +17,7 @@ from unittest import TestCase
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from zipline.utils import tradingcalendar
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from zipline.utils import tradingcalendar_lse
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from zipline.utils import tradingcalendar_tse
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from zipline.utils import tradingcalendar_bmf
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import pytz
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import datetime
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from zipline.finance.trading import TradingEnvironment
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@@ -73,6 +74,19 @@ class TestTradingCalendar(TestCase):
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cal_days = tradingcalendar_tse.trading_days
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self.check_days(env_days, cal_days)
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@nottest
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def test_bmf_calendar_vs_environment(self):
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env = TradingEnvironment(
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bm_symbol='^BVSP',
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exchange_tz='America/Sao_Paulo'
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)
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env_start_index = \
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env.trading_days.searchsorted(tradingcalendar_bmf.start)
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env_days = env.trading_days[env_start_index:]
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cal_days = tradingcalendar_bmf.trading_days
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self.check_days(env_days, cal_days)
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def check_days(self, env_days, cal_days):
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diff = env_days - cal_days
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self.assertEqual(
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@@ -0,0 +1,302 @@
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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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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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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_closes(trading_days, early_closes):
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open_and_closes = pd.DataFrame(index=trading_days,
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columns=('market_open', 'market_close'))
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for day in trading_days:
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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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open_and_closes.ix[day]['market_open'] = market_open
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open_and_closes.ix[day]['market_close'] = market_close
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return open_and_closes
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open_and_closes = get_open_and_closes(trading_days, early_closes)
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