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https://github.com/wassname/catalyst.git
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ENH: Added early closes to trading environment
specifically, expected 1 PM closes since 1993
This commit is contained in:
Richard Frank
committed by
Eddie Hebert
Eddie Hebert
parent
efe50f8494
commit
75dd77ea03
@@ -182,3 +182,63 @@ If Nov has 5 Thursdays, {0} Thanksgiving is not the last week.
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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def test_day_after_thanksgiving(self):
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early_closes = tradingcalendar.get_early_closes(
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tradingcalendar.start,
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tradingcalendar.end.replace(year=tradingcalendar.end.year + 1)
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)
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# November 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3
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# 4 5 6 7 8 9 10
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# 11 12 13 14 15 16 17
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# 18 19 20 21 22 23 24
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# 25 26 27 28 29 30
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fourth_friday = datetime.datetime(2012, 11, 23, tzinfo=pytz.utc)
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self.assertIn(fourth_friday, early_closes)
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# November 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2
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# 3 4 5 6 7 8 9
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# 10 11 12 13 14 15 16
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# 17 18 19 20 21 22 23
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# 24 25 26 27 28 29 30
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fifth_friday = datetime.datetime(2013, 11, 29, tzinfo=pytz.utc)
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self.assertIn(fifth_friday, early_closes)
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def test_early_close_independence_day_thursday(self):
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"""
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Until 2013, the market closed early the Friday after an
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Independence Day on Thursday. Since then, the early close is on
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Wednesday.
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"""
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early_closes = tradingcalendar.get_early_closes(
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tradingcalendar.start,
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tradingcalendar.end.replace(year=tradingcalendar.end.year + 1)
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)
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# July 2002
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = datetime.datetime(2002, 7, 3, tzinfo=pytz.utc)
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friday_after = datetime.datetime(2002, 7, 5, tzinfo=pytz.utc)
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self.assertNotIn(wednesday_before, early_closes)
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self.assertIn(friday_after, early_closes)
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# July 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = datetime.datetime(2013, 7, 3, tzinfo=pytz.utc)
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friday_after = datetime.datetime(2013, 7, 5, tzinfo=pytz.utc)
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self.assertIn(wednesday_before, early_closes)
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self.assertNotIn(friday_after, early_closes)
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@@ -22,6 +22,7 @@ from delorean import Delorean
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import pandas as pd
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from zipline.data.loader import load_market_data
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from zipline.utils.tradingcalendar import get_early_closes
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log = logbook.Logger('Trading')
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@@ -89,6 +90,7 @@ class TradingEnvironment(object):
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self.treasury_curves = self.treasury_curves[:max_date]
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self.full_trading_day = datetime.timedelta(hours=6, minutes=30)
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self.early_close_trading_day = datetime.timedelta(hours=3, minutes=30)
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self.exchange_tz = exchange_tz
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bm = None
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@@ -112,6 +114,9 @@ class TradingEnvironment(object):
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self.first_trading_day = self.trading_days[0]
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self.last_trading_day = self.trading_days[-1]
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self.early_closes = get_early_closes(self.first_trading_day,
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self.last_trading_day)
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def __enter__(self, *args, **kwargs):
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global environment
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self.prev_environment = environment
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@@ -203,8 +208,10 @@ Last successful date: %s" % self.last_trading_day)
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return market_open, market_close
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def get_trading_day_duration(self, trading_day):
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# TODO: make a list of half-days and modify the
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# calculation of market close to reflect them.
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trading_day = self.normalize_date(trading_day)
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if trading_day in self.early_closes:
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return self.early_close_trading_day
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return self.full_trading_day
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def trading_day_distance(self, first_date, second_date):
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@@ -247,4 +247,105 @@ def get_trading_days(start, end):
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return business_days - non_trading_days
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trading_days = get_trading_days(start, end)
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def get_early_closes(start, end):
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# 1:00 PM close rules based on
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# http://quant.stackexchange.com/questions/4083/nyse-early-close-rules-july-4th-and-dec-25th # noqa
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# and verified against http://www.nyse.com/pdfs/closings.pdf
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# These rules are valid starting in 1993
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start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
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end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
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# Not included here are early closes prior to 1993
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# or unplanned early closes
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early_close_rules = []
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day_after_thanksgiving = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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# 4th Friday isn't correct if month starts on Friday, so restrict to
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# day range:
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byweekday=(rrule.FR),
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bymonthday=range(23, 30),
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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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early_close_rules.append(day_after_thanksgiving)
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christmas_eve = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=24,
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byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH),
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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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early_close_rules.append(christmas_eve)
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friday_after_christmas = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=26,
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byweekday=rrule.FR,
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cache=True,
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dtstart=start,
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# valid 1993-2007
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until=min(end, datetime(2007, 12, 31, tzinfo=pytz.utc))
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)
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early_close_rules.append(friday_after_christmas)
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day_before_independence_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=3,
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byweekday=(rrule.MO, rrule.TU, rrule.TH),
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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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early_close_rules.append(day_before_independence_day)
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day_after_independence_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=5,
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byweekday=rrule.FR,
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cache=True,
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dtstart=start,
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# starting in 2013: wednesday before independence day
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until=min(end, datetime(2012, 12, 31, tzinfo=pytz.utc))
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)
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early_close_rules.append(day_after_independence_day)
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wednesday_before_independence_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=3,
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byweekday=rrule.WE,
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cache=True,
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# starting in 2013
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dtstart=max(start, datetime(2013, 1, 1, tzinfo=pytz.utc)),
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until=max(end, datetime(2013, 1, 1, tzinfo=pytz.utc))
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)
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early_close_rules.append(wednesday_before_independence_day)
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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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# Misc early closings from NYSE listing.
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# http://www.nyse.com/pdfs/closings.pdf
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#
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# New Year's Eve
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early_closes.append(datetime(1999, 12, 31, tzinfo=pytz.utc))
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return pd.DatetimeIndex(sorted(early_closes))
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