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Conner Fromknecht
40 lines
1.4 KiB
Python
40 lines
1.4 KiB
Python
from unittest import TestCase
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import pandas as pd
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from .test_trading_calendar import ExchangeCalendarTestBase
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from catalyst.utils.calendars.exchange_calendar_cme import CMEExchangeCalendar
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class CMECalendarTestCase(ExchangeCalendarTestBase, TestCase):
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answer_key_filename = "cme"
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calendar_class = CMEExchangeCalendar
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GAPS_BETWEEN_SESSIONS = False
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MAX_SESSION_HOURS = 24
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def test_2016_holidays(self):
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# good friday: 2016-03-25
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# christmas (observed)_: 2016-12-26
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# new years (observed): 2016-01-02
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for date in ["2016-03-25", "2016-12-26", "2016-01-02"]:
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self.assertFalse(
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self.calendar.is_session(pd.Timestamp(date, tz='UTC'))
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)
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def test_2016_early_closes(self):
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# mlk day: 2016-01-18
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# presidents: 2016-02-15
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# mem day: 2016-05-30
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# july 4: 2016-07-04
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# labor day: 2016-09-05
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# thankgiving: 2016-11-24
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for date in ["2016-01-18", "2016-02-15", "2016-05-30", "2016-07-04",
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"2016-09-05", "2016-11-24"]:
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dt = pd.Timestamp(date, tz='UTC')
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self.assertTrue(dt in self.calendar.early_closes)
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market_close = self.calendar.schedule.loc[dt].market_close
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self.assertEqual(
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12,
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market_close.tz_convert(self.calendar.tz).hour,
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)
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