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ENH: Added early closes to trading environment

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specifically, expected 1 PM closes since 1993
This commit is contained in:
Richard Frank
2013-07-16 12:02:34 -04:00
committed by Eddie Hebert
parent efe50f8494
commit 75dd77ea03
3 changed files with 170 additions and 2 deletions
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tests/test_tradingcalendar.py
+60
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@@ -182,3 +182,63 @@ If Nov has 5 Thursdays, {0} Thanksgiving is not the last week.
If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
""".strip().format(first_trading_day_after_new_years_sunday)
)
def test_day_after_thanksgiving(self):
early_closes = tradingcalendar.get_early_closes(
tradingcalendar.start,
tradingcalendar.end.replace(year=tradingcalendar.end.year + 1)
)
# November 2012
# 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
fourth_friday = datetime.datetime(2012, 11, 23, tzinfo=pytz.utc)
self.assertIn(fourth_friday, early_closes)
# November 2013
# 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
fifth_friday = datetime.datetime(2013, 11, 29, tzinfo=pytz.utc)
self.assertIn(fifth_friday, early_closes)
def test_early_close_independence_day_thursday(self):
"""
Until 2013, the market closed early the Friday after an
Independence Day on Thursday. Since then, the early close is on
Wednesday.
"""
early_closes = tradingcalendar.get_early_closes(
tradingcalendar.start,
tradingcalendar.end.replace(year=tradingcalendar.end.year + 1)
)
# July 2002
# 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 31
wednesday_before = datetime.datetime(2002, 7, 3, tzinfo=pytz.utc)
friday_after = datetime.datetime(2002, 7, 5, tzinfo=pytz.utc)
self.assertNotIn(wednesday_before, early_closes)
self.assertIn(friday_after, early_closes)
# July 2013
# 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 31
wednesday_before = datetime.datetime(2013, 7, 3, tzinfo=pytz.utc)
friday_after = datetime.datetime(2013, 7, 5, tzinfo=pytz.utc)
self.assertIn(wednesday_before, early_closes)
self.assertNotIn(friday_after, early_closes)