Started datetime utiles lib.

zipline/date_utils.py

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+from collections import namedtuple
+
+import pytz
+import calendar
+from dateutil import rrule
+from datetime import datetime, date, timedelta
+from dateutil.relativedelta import *
+
+# Datetime Tuple
+d_tuple = namedtuple('dt', ['year', 'month', 'day', 'hour', 'minute', 'second', 'micros'])
+
+WEEKDAYS = [rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR]
+
+HOLIDAYS = {
+    'new_years'    : datetime(2008 , 1  , 1 ),
+    'mlk_day'      : datetime(2008 , 1  , 21),
+    'presidents'   : datetime(2008 , 2  , 18),
+    'good_friday'  : datetime(2008 , 3  , 21),
+    'memorial_day' : datetime(2008 , 5  , 26),
+    'july_4th'     : datetime(2008 , 7  , 4 ),
+    'labor_day'    : datetime(2008 , 9  , 1 ),
+    'tgiving'      : datetime(2008 , 11 , 27),
+    'christmas'    : datetime(2008 , 5  , 25),
+}
+
+# Create a rule to recur every weekday starting today
+rule = rrule.rrule(
+    rrule.DAILY,
+    byweekday=WEEKDAYS,
+)
+
+# Precompute the rule, so that dates are cached.
+rs = rrule.rruleset()
+rs.rrule(rule)
+
+# Add holidays as exclusion days
+for holiday in HOLIDAYS.itervalues():
+    rs.exdate(holiday)
+
+def trading_days(after, before, inclusive=False):
+    """
+    Iterates over the NYSE trading days between the two given
+    dates.
+    """
+    return rs.between(after, before, inc=inclusive)
+
+if __name__ == '__main__':
+
+    now = datetime.now()
+    now30 = datetime.now() + timedelta(days=30)
+
+    # Iterate over the trading days between any two arbitrary
+    # days, excluding the preset holidays.
+    for day in trading_days(now, now30):
+        print day