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Merge pull request #1698 from trical09/master

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ENH: Add CFE Adhoc Holidays
This commit is contained in:
Freddie Vargus
2017-03-26 19:30:04 -04:00
committed by GitHub
parent 15b8832421 d66f7f53a0
commit 759fc5bdff
2 changed files with 11 additions and 6 deletions
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tests/resources/calendars/cfe.csv
-5
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@@ -1092,7 +1092,6 @@
1994-04-22 00:00:00+00:00,1994-04-22 13:31:00,1994-04-22 20:15:00
1994-04-25 00:00:00+00:00,1994-04-25 13:31:00,1994-04-25 20:15:00
1994-04-26 00:00:00+00:00,1994-04-26 13:31:00,1994-04-26 20:15:00
1994-04-27 00:00:00+00:00,1994-04-27 13:31:00,1994-04-27 20:15:00
1994-04-28 00:00:00+00:00,1994-04-28 13:31:00,1994-04-28 20:15:00
1994-04-29 00:00:00+00:00,1994-04-29 13:31:00,1994-04-29 20:15:00
1994-05-02 00:00:00+00:00,1994-05-02 13:31:00,1994-05-02 20:15:00
@@ -3647,7 +3646,6 @@
2004-06-08 00:00:00+00:00,2004-06-08 13:31:00,2004-06-08 20:15:00
2004-06-09 00:00:00+00:00,2004-06-09 13:31:00,2004-06-09 20:15:00
2004-06-10 00:00:00+00:00,2004-06-10 13:31:00,2004-06-10 20:15:00
2004-06-11 00:00:00+00:00,2004-06-11 13:31:00,2004-06-11 20:15:00
2004-06-14 00:00:00+00:00,2004-06-14 13:31:00,2004-06-14 20:15:00
2004-06-15 00:00:00+00:00,2004-06-15 13:31:00,2004-06-15 20:15:00
2004-06-16 00:00:00+00:00,2004-06-16 13:31:00,2004-06-16 20:15:00
@@ -4292,7 +4290,6 @@
2006-12-27 00:00:00+00:00,2006-12-27 14:31:00,2006-12-27 21:15:00
2006-12-28 00:00:00+00:00,2006-12-28 14:31:00,2006-12-28 21:15:00
2006-12-29 00:00:00+00:00,2006-12-29 14:31:00,2006-12-29 21:15:00
2007-01-02 00:00:00+00:00,2007-01-02 14:31:00,2007-01-02 21:15:00
2007-01-03 00:00:00+00:00,2007-01-03 14:31:00,2007-01-03 21:15:00
2007-01-04 00:00:00+00:00,2007-01-04 14:31:00,2007-01-04 21:15:00
2007-01-05 00:00:00+00:00,2007-01-05 14:31:00,2007-01-05 21:15:00
@@ -5761,8 +5758,6 @@
2012-10-24 00:00:00+00:00,2012-10-24 13:31:00,2012-10-24 20:15:00
2012-10-25 00:00:00+00:00,2012-10-25 13:31:00,2012-10-25 20:15:00
2012-10-26 00:00:00+00:00,2012-10-26 13:31:00,2012-10-26 20:15:00
2012-10-29 00:00:00+00:00,2012-10-29 13:31:00,2012-10-29 20:15:00
2012-10-30 00:00:00+00:00,2012-10-30 13:31:00,2012-10-30 20:15:00
2012-10-31 00:00:00+00:00,2012-10-31 13:31:00,2012-10-31 20:15:00
2012-11-01 00:00:00+00:00,2012-11-01 13:31:00,2012-11-01 20:15:00
2012-11-02 00:00:00+00:00,2012-11-02 13:31:00,2012-11-02 20:15:00
1 market_open market_close
1092 1994-04-22 00:00:00+00:00 1994-04-22 13:31:00 1994-04-22 20:15:00
1093 1994-04-25 00:00:00+00:00 1994-04-25 13:31:00 1994-04-25 20:15:00
1094 1994-04-26 00:00:00+00:00 1994-04-26 13:31:00 1994-04-26 20:15:00
1994-04-27 00:00:00+00:00 1994-04-27 13:31:00 1994-04-27 20:15:00
1095 1994-04-28 00:00:00+00:00 1994-04-28 13:31:00 1994-04-28 20:15:00
1096 1994-04-29 00:00:00+00:00 1994-04-29 13:31:00 1994-04-29 20:15:00
1097 1994-05-02 00:00:00+00:00 1994-05-02 13:31:00 1994-05-02 20:15:00
3646 2004-06-08 00:00:00+00:00 2004-06-08 13:31:00 2004-06-08 20:15:00
3647 2004-06-09 00:00:00+00:00 2004-06-09 13:31:00 2004-06-09 20:15:00
3648 2004-06-10 00:00:00+00:00 2004-06-10 13:31:00 2004-06-10 20:15:00
2004-06-11 00:00:00+00:00 2004-06-11 13:31:00 2004-06-11 20:15:00
3649 2004-06-14 00:00:00+00:00 2004-06-14 13:31:00 2004-06-14 20:15:00
3650 2004-06-15 00:00:00+00:00 2004-06-15 13:31:00 2004-06-15 20:15:00
3651 2004-06-16 00:00:00+00:00 2004-06-16 13:31:00 2004-06-16 20:15:00
4290 2006-12-27 00:00:00+00:00 2006-12-27 14:31:00 2006-12-27 21:15:00
4291 2006-12-28 00:00:00+00:00 2006-12-28 14:31:00 2006-12-28 21:15:00
4292 2006-12-29 00:00:00+00:00 2006-12-29 14:31:00 2006-12-29 21:15:00
2007-01-02 00:00:00+00:00 2007-01-02 14:31:00 2007-01-02 21:15:00
4293 2007-01-03 00:00:00+00:00 2007-01-03 14:31:00 2007-01-03 21:15:00
4294 2007-01-04 00:00:00+00:00 2007-01-04 14:31:00 2007-01-04 21:15:00
4295 2007-01-05 00:00:00+00:00 2007-01-05 14:31:00 2007-01-05 21:15:00
5758 2012-10-24 00:00:00+00:00 2012-10-24 13:31:00 2012-10-24 20:15:00
5759 2012-10-25 00:00:00+00:00 2012-10-25 13:31:00 2012-10-25 20:15:00
5760 2012-10-26 00:00:00+00:00 2012-10-26 13:31:00 2012-10-26 20:15:00
2012-10-29 00:00:00+00:00 2012-10-29 13:31:00 2012-10-29 20:15:00
2012-10-30 00:00:00+00:00 2012-10-30 13:31:00 2012-10-30 20:15:00
5761 2012-10-31 00:00:00+00:00 2012-10-31 13:31:00 2012-10-31 20:15:00
5762 2012-11-01 00:00:00+00:00 2012-11-01 13:31:00 2012-11-01 20:15:00
5763 2012-11-02 00:00:00+00:00 2012-11-02 13:31:00 2012-11-02 20:15:00
zipline/utils/calendars/exchange_calendar_cfe.py
+11 -1
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@@ -1,4 +1,5 @@
from datetime import time
from itertools import chain
from pandas.tseries.holiday import (
USPresidentsDay,
@@ -16,7 +17,9 @@ from zipline.utils.calendars.us_holidays import (
USBlackFridayInOrAfter1993,
USNewYearsDay,
USIndependenceDay,
Christmas
Christmas,
HurricaneSandyClosings,
USNationalDaysofMourning,
)
@@ -69,3 +72,10 @@ class CFEExchangeCalendar(TradingCalendar):
USBlackFridayInOrAfter1993,
])
)]
@property
def adhoc_holidays(self):
return list(chain(
HurricaneSandyClosings,
USNationalDaysofMourning,
))