from unittest import TestCase import pandas as pd from .test_trading_calendar import ExchangeCalendarTestBase from catalyst.utils.calendars.exchange_calendar_nyse import ( NYSEExchangeCalendar, ) class NYSECalendarTestCase(ExchangeCalendarTestBase, TestCase): answer_key_filename = 'nyse' calendar_class = NYSEExchangeCalendar MAX_SESSION_HOURS = 6.5 def test_2012(self): # holidays we expect: holidays_2012 = [ pd.Timestamp("2012-01-02", tz='UTC'), pd.Timestamp("2012-01-16", tz='UTC'), pd.Timestamp("2012-02-20", tz='UTC'), pd.Timestamp("2012-04-06", tz='UTC'), pd.Timestamp("2012-05-28", tz='UTC'), pd.Timestamp("2012-07-04", tz='UTC'), pd.Timestamp("2012-09-03", tz='UTC'), pd.Timestamp("2012-11-22", tz='UTC'), pd.Timestamp("2012-12-25", tz='UTC') ] for session_label in holidays_2012: self.assertNotIn(session_label, self.calendar.all_sessions) # early closes we expect: early_closes_2012 = [ pd.Timestamp("2012-07-03", tz='UTC'), pd.Timestamp("2012-11-23", tz='UTC'), pd.Timestamp("2012-12-24", tz='UTC') ] for early_close_session_label in early_closes_2012: self.assertIn(early_close_session_label, self.calendar.early_closes) def test_special_holidays(self): # 9/11 # Sept 11, 12, 13, 14 2001 self.assertNotIn(pd.Period("9/11/2001"), self.calendar.all_sessions) self.assertNotIn(pd.Period("9/12/2001"), self.calendar.all_sessions) self.assertNotIn(pd.Period("9/13/2001"), self.calendar.all_sessions) self.assertNotIn(pd.Period("9/14/2001"), self.calendar.all_sessions) # Hurricane Sandy # Oct 29, 30 2012 self.assertNotIn(pd.Period("10/29/2012"), self.calendar.all_sessions) self.assertNotIn(pd.Period("10/30/2012"), self.calendar.all_sessions) # various national days of mourning # Gerald Ford - 1/2/2007 self.assertNotIn(pd.Period("1/2/2007"), self.calendar.all_sessions) # Ronald Reagan - 6/11/2004 self.assertNotIn(pd.Period("6/11/2004"), self.calendar.all_sessions) # Richard Nixon - 4/27/1994 self.assertNotIn(pd.Period("4/27/1994"), self.calendar.all_sessions) def test_new_years(self): """ Check whether the 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 start_session = pd.Timestamp("2012-01-02", tz='UTC') end_session = pd.Timestamp("2013-12-31", tz='UTC') sessions = self.calendar.sessions_in_range(start_session, end_session) day_after_new_years_sunday = pd.Timestamp("2012-01-02", tz='UTC') self.assertNotIn(day_after_new_years_sunday, sessions, """ 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 = pd.Timestamp("2012-01-03", tz='UTC') self.assertIn(first_trading_day_after_new_years_sunday, sessions, """ 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 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 = pd.Timestamp("2013-01-01", tz='UTC') self.assertNotIn(new_years_day, sessions, """ If NYE falls during the week, e.g. {0}, it is a holiday. """.strip().format(new_years_day) ) first_trading_day_after_new_years = pd.Timestamp("2013-01-02", tz='UTC') self.assertIn(first_trading_day_after_new_years, sessions, """ If the day after NYE falls during the week, {0} \ is the first trading day. """.strip().format(first_trading_day_after_new_years) ) def test_thanksgiving(self): """ Check TradingCalendar Thanksgiving dates. """ # November 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 start_session_label = pd.Timestamp('2005-01-01', tz='UTC') end_session_label = pd.Timestamp('2012-12-31', tz='UTC') sessions = self.calendar.sessions_in_range(start_session_label, end_session_label) thanksgiving_with_four_weeks = pd.Timestamp("2005-11-24", tz='UTC') self.assertNotIn(thanksgiving_with_four_weeks, sessions, """ If Nov has 4 Thursdays, {0} Thanksgiving is the last Thursday. """.strip().format(thanksgiving_with_four_weeks) ) # November 2006 # 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 thanksgiving_with_five_weeks = pd.Timestamp("2006-11-23", tz='UTC') self.assertNotIn(thanksgiving_with_five_weeks, sessions, """ If Nov has 5 Thursdays, {0} Thanksgiving is not the last week. """.strip().format(thanksgiving_with_five_weeks) ) first_trading_day_after_new_years_sunday = pd.Timestamp("2012-01-03", tz='UTC') self.assertIn(first_trading_day_after_new_years_sunday, sessions, """ If NYE falls on a weekend, {0} the Tuesday after is the first trading day. """.strip().format(first_trading_day_after_new_years_sunday) ) def test_day_after_thanksgiving(self): # November 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 fourth_friday_open = pd.Timestamp('11/23/2012 11:00AM', tz='EST') fourth_friday = pd.Timestamp('11/23/2012 3:00PM', tz='EST') self.assertTrue(self.calendar.is_open_on_minute(fourth_friday_open)) self.assertFalse(self.calendar.is_open_on_minute(fourth_friday)) # November 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 fifth_friday_open = pd.Timestamp('11/29/2013 11:00AM', tz='EST') fifth_friday = pd.Timestamp('11/29/2013 3:00PM', tz='EST') self.assertTrue(self.calendar.is_open_on_minute(fifth_friday_open)) self.assertFalse(self.calendar.is_open_on_minute(fifth_friday)) def test_early_close_independence_day_thursday(self): """ Until 2013, the market closed early the Friday after an Independence Day on Thursday. Since then, the early close is on Wednesday. """ # July 2002 # 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 wednesday_before = pd.Timestamp('7/3/2002 3:00PM', tz='EST') friday_after_open = pd.Timestamp('7/5/2002 11:00AM', tz='EST') friday_after = pd.Timestamp('7/5/2002 3:00PM', tz='EST') self.assertTrue(self.calendar.is_open_on_minute(wednesday_before)) self.assertTrue(self.calendar.is_open_on_minute(friday_after_open)) self.assertFalse(self.calendar.is_open_on_minute(friday_after)) # July 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 wednesday_before = pd.Timestamp('7/3/2013 3:00PM', tz='EST') friday_after_open = pd.Timestamp('7/5/2013 11:00AM', tz='EST') friday_after = pd.Timestamp('7/5/2013 3:00PM', tz='EST') self.assertFalse(self.calendar.is_open_on_minute(wednesday_before)) self.assertTrue(self.calendar.is_open_on_minute(friday_after_open)) self.assertTrue(self.calendar.is_open_on_minute(friday_after)) class CalendarStartEndTestCase(TestCase): def test_start_end(self): """ Check TradingCalendar with defined start/end dates. """ start = pd.Timestamp('2010-1-3', tz='UTC') end = pd.Timestamp('2010-1-10', tz='UTC') calendar = NYSEExchangeCalendar(start=start, end=end) expected_first = pd.Timestamp('2010-1-4', tz='UTC') expected_last = pd.Timestamp('2010-1-8', tz='UTC') self.assertTrue(calendar.first_trading_session == expected_first) self.assertTrue(calendar.last_trading_session == expected_last)