diff --git a/zipline/utils/tradingcalendar.py b/zipline/utils/tradingcalendar.py index ac2c2638..43a5e216 100644 --- a/zipline/utils/tradingcalendar.py +++ b/zipline/utils/tradingcalendar.py @@ -128,3 +128,48 @@ for rule in non_trading_rules: non_trading_ruleset.rrule(rule) non_trading_days = non_trading_ruleset.between(start, end, inc=True) + +# Add September 11th closings +# http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks +# Due to the terrorist attacks, the stock market did not open on 9/11/2001 +# It did not open again until 9/17/2001. +# +# September 2001 +# 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 + +for day_num in range(11, 17): + non_trading_days.append( + datetime(2001, 9, day_num, tzinfo=pytz.utc)) + +# Add closings due to Hurricane Sandy in 2012 +# http://en.wikipedia.org/wiki/Hurricane_sandy +# +# The stock exchange was closed due to Hurricane Sandy's +# impact on New York. +# It closed on 10/29 and 10/30, reopening on 10/31 +# October 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 31 + +for day_num in range(29, 31): + non_trading_days.append( + datetime(2012, 10, day_num, tzinfo=pytz.utc)) + +# Misc closings from NYSE listing. +# http://www.nyse.com/pdfs/closings.pdf +# +# National Days of Mourning +# - President Ronald W. Reagan - June 11, 2004 +non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc)) +# - President Gerald R. Ford - Jan 2, 2007 +non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))