In preparation of adding futures, add equity to the names of both the
classes and methods for writing bcolz data. Futures data will use a
different minutes per day with a separate reader. This change will allow
both equity and futures fixtures to be side by side.
Also, break out the method which generates the dataframes and trading
days member into fixtures (`EquityMinuteBarData` and
`EquityDailyBarData`) on which the `*BarReader` fixture depends. This
fixture is separated out to enable reader/writers in different formats
to use the same data setup. (There is internal code which needs to write
minute and daily bar data in a database format.)
Since the CME calendar was based off of the NYSE calendar, closings for
Hurricane Sandy were included, but shouldn't have been for CME.
This is the explanation we had included prior to the new exchange
calendars:
http://en.wikipedia.org/wiki/Hurricane_sandy
We *do not* add any non-trading days for Hurricane Sandy. Although
trading on CME Group exchanges was disrupted, trading still occurred at
some point on each day. Importantly, the disruptions do not appear to
have affected the expiration dates stipulated in the futures contracts
expiring during this period.
Trading of CME US equity index futures & NYMEX futures was disrupted due
to the hurricane's impact on New York. CME US equity index futures
markets were disrupted on October 29th 2012, but reopened at 5:00pm CT.
The US equity index markets were closed from 8:15am CT on October 30,
both for the trading floor and CME Globex. The trading floor of the
NYMEX was closed on October 30, but all floor-trading products were
available electronically on CME Globex.
Source:
http://investor.cmegroup.com/investor-relations/releasedetail.cfm?ReleaseID=716923
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
Also see:
-- http://www.chicagobusiness.com/article/20121029/NEWS01/121029818/cme-cboe-other-markets-closed-for-hurricane-sandy-about-500-local-flights-scrapped
-- http://money.cnn.com/2012/10/29/investing/hurricane-sandy-stock-markets
The tradingcalendar module has been replaced by the new exchange
calendars and trading schedules. Issues a ZiplineDeprecationWarning at
tradingcalendar module scope to be triggered on imports.
next_scheduled_day and previous_scheduled day should raise if
trying a return a date outside the calendar. Previously it just
returns None, but it should be made consistent with the behavior
of add_scheduled_days
The file format converted by this script has no support for reading in
Zipline. Remove since it requires import of a library not defined in
requirements.
Instead of inferring it from the minute/daily writer, we now require the
first trading day to be passed explicitly, so the creator of the
DataPortal controls what is used as the first trading day.
Adds `mask_time_between` to do more efficient comparisons between
pandas.DatetimeIndex and datetime.time objects.
This is used in the loader utils to more efficiently normalize datetimes
around the query time.
Eddie Hebert