Fixes New Year's holidays inclusion in trading calendar.

If NYE lands on the weekend, the Monday following is a holiday.

tests/test_tradingcalendar.py

@@ -0,0 +1,112 @@
+#
+# Copyright 2012 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from unittest import TestCase
+from zipline.utils import tradingcalendar
+import pytz
+import datetime
+
+
+class TestTradingCalendar(TestCase):
+
+    def test_tradingcalendar(self):
+        """
+        Check whether tradingcalendar contains certain dates.
+        """
+        #     January 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
+
+        day_after_new_years_sunday = datetime.datetime(
+            2012, 1, 2, tzinfo=pytz.utc)
+
+        self.assertNotIn(day_after_new_years_sunday,
+                         tradingcalendar.trading_days,
+                         """
+If NYE falls on a weekend, {0} the Monday after is a holiday.
+""".strip().format(day_after_new_years_sunday)
+        )
+
+        first_trading_day_after_new_years_sunday = datetime.datetime(
+            2012, 1, 3, tzinfo=pytz.utc)
+
+        self.assertIn(first_trading_day_after_new_years_sunday,
+                      tradingcalendar.trading_days,
+                      """
+If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
+""".strip().format(first_trading_day_after_new_years_sunday)
+        )
+
+        #     January 2005
+        # 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
+
+        day_after_new_years_saturday = datetime.datetime(
+            2005, 1, 3, tzinfo=pytz.utc)
+
+        self.assertNotIn(day_after_new_years_saturday,
+                         tradingcalendar.trading_days,
+                         """
+If NYE falls on a weekend, {0} the Monday after is a holiday.
+""".strip().format(day_after_new_years_saturday)
+        )
+
+        first_trading_day_after_new_years_saturday = datetime.datetime(
+            2005, 1, 4, tzinfo=pytz.utc)
+
+        self.assertIn(first_trading_day_after_new_years_saturday,
+                      tradingcalendar.trading_days,
+                      """
+If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
+""".strip().format(first_trading_day_after_new_years_saturday)
+        )
+
+        #     January 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
+
+        new_years_day = datetime.datetime(
+            2013, 1, 1, tzinfo=pytz.utc)
+
+        self.assertNotIn(new_years_day,
+                         tradingcalendar.trading_days,
+                         """
+If NYE falls during the week, e.g. {0}, it is a holiday.
+""".strip().format(new_years_day)
+        )
+
+        first_trading_day_after_new_years = datetime.datetime(
+            2013, 1, 2, tzinfo=pytz.utc)
+
+        self.assertIn(first_trading_day_after_new_years,
+                      tradingcalendar.trading_days,
+                      """
+If the day after NYE falls during the week, {0} \
+is the first trading day.
+""".strip().format(first_trading_day_after_new_years)
+        )

zipline/utils/tradingcalendar.py

@@ -46,6 +46,26 @@ def get_non_trading_days(start, end):
     )
     non_trading_rules.append(new_years)
 
+    new_years_sunday = rrule.rrule(
+        rrule.MONTHLY,
+        byyearday=2,
+        byweekday=rrule.MO,
+        cache=True,
+        dtstart=start,
+        until=end
+    )
+    non_trading_rules.append(new_years_sunday)
+
+    new_years_saturday = rrule.rrule(
+        rrule.MONTHLY,
+        byyearday=3,
+        byweekday=rrule.MO,
+        cache=True,
+        dtstart=start,
+        until=end
+    )
+    non_trading_rules.append(new_years_saturday)
+
     mlk_day = rrule.rrule(
         rrule.MONTHLY,
         bymonth=1,