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The tradingcalendar module has been replaced by the new exchange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.
- Return a value from `verify_all_indices_unique` so that `panel` isn't
unconditionally `None` in `PanelDailyBarReader`.
- Fix a bug where we always set the volume of every asset to `1e9`.
- Add minimal suite of tests for get_spot_value, which catch both of the
above.
NOTE: There are still several issues with `PanelDailyBarReader`. The
docstring for `get_spot_value` claims that it will return -1 on days
where an asset didn't trade, which isn't the case. It also claims that
it will raise `NoDataOnDate` when a request is made outside the panel
range, but it just raises a KeyError. We also still have no coverage
for `load_raw_arrays`, so it's likely that there are more bugs lurking.
This data bundle will use the quantopian mirror of the quandl WIKI data
instead of downloading from quandl directly. This dramatically improves
the speed because we do not pay the rate limiting for quandl and we can
send the data in the format zipline expects.
Andrew Daniels