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ENH: Add calendar and test for Toronto stock exchange.

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Note that the calendar test is decorated with @nottest (as per the other calendar test functions).  I've run the test to confirm the calendar works.  The differences between the env (Yahoo Finance of GSPTSE) and the calendar are illustrated in the tradingcalendar_tse file and are confirmed to be errors on Yahoo Finance's part.
This commit is contained in:
David Stephens
2013-12-27 13:27:14 -05:00
committed by Thomas Wiecki
parent 2cc9cab17f
commit e5786b2593
2 changed files with 383 additions and 0 deletions
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tests/test_tradingcalendar.py
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@@ -16,6 +16,7 @@
from unittest import TestCase
from zipline.utils import tradingcalendar
from zipline.utils import tradingcalendar_lse
from zipline.utils import tradingcalendar_tse
import pytz
import datetime
from zipline.finance.trading import TradingEnvironment
@@ -59,6 +60,19 @@ class TestTradingCalendar(TestCase):
cal_days = tradingcalendar_lse.trading_days
self.check_days(env_days, cal_days)
@nottest
def test_tse_calendar_vs_environment(self):
env = TradingEnvironment(
bm_symbol='^GSPTSE',
exchange_tz='US/Eastern'
)
env_start_index = \
env.trading_days.searchsorted(tradingcalendar_tse.start)
env_days = env.trading_days[env_start_index:]
cal_days = tradingcalendar_tse.trading_days
self.check_days(env_days, cal_days)
def check_days(self, env_days, cal_days):
diff = env_days - cal_days
self.assertEqual(
zipline/utils/tradingcalendar_tse.py
+369
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@@ -0,0 +1,369 @@
#
# Copyright 2013 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.
import pandas as pd
import pytz
from datetime import datetime
from dateutil import rrule
from zipline.utils.tradingcalendar import end, canonicalize_datetime
start = pd.Timestamp('1994-01-01', tz='UTC')
def get_non_trading_days(start, end):
non_trading_rules = []
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
weekends = rrule.rrule(
rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(weekends)
new_years = rrule.rrule(
rrule.MONTHLY,
byyearday=1,
cache=True,
dtstart=start,
until=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)
# Family day in Ontario, starting in 2008, third monday of February
family_day = rrule.rrule(
rrule.MONTHLY,
bymonth=2,
byweekday=(rrule.MO(3)),
cache=True,
dtstart=datetime(2008, 1, 1, tzinfo=pytz.utc),
until=end
)
non_trading_rules.append(family_day)
good_friday = rrule.rrule(
rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(good_friday)
#Monday prior to May 25th.
victoria_day = rrule.rrule(
rrule.MONTHLY,
bymonth=5,
byweekday=rrule.MO,
bymonthday=[24, 23, 22, 21, 20, 19, 18],
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(victoria_day)
july_1st = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=1,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st)
july_1st_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=2,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st_sunday)
july_1st_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st_saturday)
civic_holiday = rrule.rrule(
rrule.MONTHLY,
bymonth=8,
byweekday=rrule.MO(1),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(civic_holiday)
labor_day = rrule.rrule(
rrule.MONTHLY,
bymonth=9,
byweekday=(rrule.MO(1)),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(labor_day)
thanksgiving = rrule.rrule(
rrule.MONTHLY,
bymonth=10,
byweekday=(rrule.MO(2)),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(thanksgiving)
christmas = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=25,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas)
# If Christmas is a Sunday then the 26th, a Monday is observed.
# (but that would be boxing day), so the 27th is also observed.
christmas_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=27,
byweekday=rrule.TU,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_sunday)
# If Christmas is a Saturday then the 27th, a monday is observed.
christmas_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=27,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_saturday)
boxing_day = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=26,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day)
#if boxing day is a sunday, the Christmas was saturday.
# Christmas is observed on the 27th, a month and boxing day is observed
# on the 28th, a tuesday.
boxing_day_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=28,
byweekday=rrule.TU,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day_sunday)
# If boxing day is a Saturday then the 28th, a monday is observed.
boxing_day_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=28,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day_saturday)
non_trading_ruleset = rrule.rruleset()
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
# The TSX was open for 71 minutes on September 11, 2011.
# It was closed on the 12th and reopened on the 13th.
# http://www.cbc.ca/news2/interactives/map-tsx/
#
# 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
non_trading_days.append(
datetime(2001, 9, 12, tzinfo=pytz.utc))
non_trading_days.sort()
return pd.DatetimeIndex(non_trading_days)
non_trading_days = get_non_trading_days(start, end)
trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
def get_trading_days(start, end, trading_day=trading_day):
return pd.date_range(start=start.date(),
end=end.date(),
freq=trading_day).tz_localize('UTC')
trading_days = get_trading_days(start, end)
#Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
#--------------------------------------------------------------------
#Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
#to check whether exchange was open on these days.
#1994-07-01 - July 1st, Yahoo Finance has Volume = 0
#1996-07-01 - July 1st, Yahoo Finance has Volume = 0
#1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
#1997-07-01 - July 1st, Yahoo Finance has Volume = 0
#1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
#2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
#2004-10-11 - Closed, Thanksgiving - Confirmed closed
#2004-12-28 - Closed, Boxing Day - Confirmed closed
#2012-10-08 - Closed, Thanksgiving - Confirmed closed
#Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
#--------------------------------------------------------------------
#Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
#to check whether exchange was open on these days.
#2000-06-28 - No data this far back, can't confirm
#2000-08-28 - No data this far back, can't confirm
#2000-08-29 - No data this far back, can't confirm
#2001-09-11 - TSE Open for 71 min.
#2002-02-01 - Confirm TSE Open
#2002-06-14 - Confirm TSE Open
#2002-07-02 - Confirm TSE Open
#2002-11-11 - TSX website has no data for 2 weeks in 2002
#2003-07-07 - Confirm TSE Open
#2003-12-16 - Confirm TSE Open
def get_early_closes(start, end):
# TSX closed at 1:00 PM on december 24th.
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
# Not included here are early closes prior to 1993
# or unplanned early closes
early_close_rules = []
christmas_eve = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=24,
byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR),
cache=True,
dtstart=start,
until=end
)
early_close_rules.append(christmas_eve)
early_close_ruleset = rrule.rruleset()
for rule in early_close_rules:
early_close_ruleset.rrule(rule)
early_closes = early_close_ruleset.between(start, end, inc=True)
early_closes.sort()
return pd.DatetimeIndex(early_closes)
early_closes = get_early_closes(start, end)
def get_open_and_closes(trading_days, early_closes, tz='US/Eastern'):
open_and_closes = pd.DataFrame(index=trading_days,
columns=('market_open', 'market_close'))
for day in trading_days:
market_open = pd.Timestamp(
datetime(
year=day.year,
month=day.month,
day=day.day,
hour=9,
minute=31),
tz='US/Eastern').tz_convert('UTC')
# 1 PM if early close, 4 PM otherwise
close_hour = 13 if day in early_closes else 16
market_close = pd.Timestamp(
datetime(
year=day.year,
month=day.month,
day=day.day,
hour=close_hour),
tz='US/Eastern').tz_convert('UTC')
open_and_closes.ix[day]['market_open'] = market_open
open_and_closes.ix[day]['market_close'] = market_close
return open_and_closes
open_and_closes = get_open_and_closes(trading_days, early_closes)