mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-01 12:35:15 +08:00
Conner Fromknecht
245 lines
9.2 KiB
Python
245 lines
9.2 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_nyse import (
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NYSEExchangeCalendar,
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)
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class NYSECalendarTestCase(ExchangeCalendarTestBase, TestCase):
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answer_key_filename = 'nyse'
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calendar_class = NYSEExchangeCalendar
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MAX_SESSION_HOURS = 6.5
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def test_2012(self):
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# holidays we expect:
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holidays_2012 = [
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pd.Timestamp("2012-01-02", tz='UTC'),
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pd.Timestamp("2012-01-16", tz='UTC'),
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pd.Timestamp("2012-02-20", tz='UTC'),
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pd.Timestamp("2012-04-06", tz='UTC'),
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pd.Timestamp("2012-05-28", tz='UTC'),
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pd.Timestamp("2012-07-04", tz='UTC'),
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pd.Timestamp("2012-09-03", tz='UTC'),
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pd.Timestamp("2012-11-22", tz='UTC'),
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pd.Timestamp("2012-12-25", tz='UTC')
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]
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for session_label in holidays_2012:
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self.assertNotIn(session_label, self.calendar.all_sessions)
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# early closes we expect:
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early_closes_2012 = [
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pd.Timestamp("2012-07-03", tz='UTC'),
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pd.Timestamp("2012-11-23", tz='UTC'),
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pd.Timestamp("2012-12-24", tz='UTC')
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]
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for early_close_session_label in early_closes_2012:
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self.assertIn(early_close_session_label,
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self.calendar.early_closes)
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def test_special_holidays(self):
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# 9/11
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# Sept 11, 12, 13, 14 2001
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self.assertNotIn(pd.Period("9/11/2001"), self.calendar.all_sessions)
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self.assertNotIn(pd.Period("9/12/2001"), self.calendar.all_sessions)
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self.assertNotIn(pd.Period("9/13/2001"), self.calendar.all_sessions)
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self.assertNotIn(pd.Period("9/14/2001"), self.calendar.all_sessions)
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# Hurricane Sandy
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# Oct 29, 30 2012
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self.assertNotIn(pd.Period("10/29/2012"), self.calendar.all_sessions)
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self.assertNotIn(pd.Period("10/30/2012"), self.calendar.all_sessions)
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# various national days of mourning
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# Gerald Ford - 1/2/2007
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self.assertNotIn(pd.Period("1/2/2007"), self.calendar.all_sessions)
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# Ronald Reagan - 6/11/2004
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self.assertNotIn(pd.Period("6/11/2004"), self.calendar.all_sessions)
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# Richard Nixon - 4/27/1994
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self.assertNotIn(pd.Period("4/27/1994"), self.calendar.all_sessions)
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def test_new_years(self):
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"""
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Check whether the TradingCalendar contains certain dates.
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"""
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# January 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6 7
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# 8 9 10 11 12 13 14
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# 15 16 17 18 19 20 21
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# 22 23 24 25 26 27 28
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# 29 30 31
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start_session = pd.Timestamp("2012-01-02", tz='UTC')
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end_session = pd.Timestamp("2013-12-31", tz='UTC')
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sessions = self.calendar.sessions_in_range(start_session, end_session)
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day_after_new_years_sunday = pd.Timestamp("2012-01-02",
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tz='UTC')
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self.assertNotIn(day_after_new_years_sunday, sessions,
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"""
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If NYE falls on a weekend, {0} the Monday after is a holiday.
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""".strip().format(day_after_new_years_sunday)
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)
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first_trading_day_after_new_years_sunday = pd.Timestamp("2012-01-03",
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tz='UTC')
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self.assertIn(first_trading_day_after_new_years_sunday, sessions,
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"""
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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# January 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5
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# 6 7 8 9 10 11 12
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# 13 14 15 16 17 18 19
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# 20 21 22 23 24 25 26
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# 27 28 29 30 31
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new_years_day = pd.Timestamp("2013-01-01", tz='UTC')
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self.assertNotIn(new_years_day, sessions,
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"""
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If NYE falls during the week, e.g. {0}, it is a holiday.
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""".strip().format(new_years_day)
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)
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first_trading_day_after_new_years = pd.Timestamp("2013-01-02",
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tz='UTC')
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self.assertIn(first_trading_day_after_new_years, sessions,
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"""
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If the day after NYE falls during the week, {0} \
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is the first trading day.
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""".strip().format(first_trading_day_after_new_years)
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)
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def test_thanksgiving(self):
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"""
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Check TradingCalendar Thanksgiving dates.
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"""
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# November 2005
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5
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# 6 7 8 9 10 11 12
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# 13 14 15 16 17 18 19
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# 20 21 22 23 24 25 26
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# 27 28 29 30
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start_session_label = pd.Timestamp('2005-01-01', tz='UTC')
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end_session_label = pd.Timestamp('2012-12-31', tz='UTC')
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sessions = self.calendar.sessions_in_range(start_session_label,
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end_session_label)
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thanksgiving_with_four_weeks = pd.Timestamp("2005-11-24", tz='UTC')
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self.assertNotIn(thanksgiving_with_four_weeks, sessions,
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"""
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If Nov has 4 Thursdays, {0} Thanksgiving is the last Thursday.
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""".strip().format(thanksgiving_with_four_weeks)
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)
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# November 2006
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4
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# 5 6 7 8 9 10 11
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# 12 13 14 15 16 17 18
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# 19 20 21 22 23 24 25
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# 26 27 28 29 30
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thanksgiving_with_five_weeks = pd.Timestamp("2006-11-23", tz='UTC')
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self.assertNotIn(thanksgiving_with_five_weeks, sessions,
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"""
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If Nov has 5 Thursdays, {0} Thanksgiving is not the last week.
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""".strip().format(thanksgiving_with_five_weeks)
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)
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first_trading_day_after_new_years_sunday = pd.Timestamp("2012-01-03",
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tz='UTC')
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self.assertIn(first_trading_day_after_new_years_sunday, sessions,
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"""
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If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
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""".strip().format(first_trading_day_after_new_years_sunday)
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)
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def test_day_after_thanksgiving(self):
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# November 2012
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# Su Mo Tu We Th Fr Sa
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# 1 2 3
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# 4 5 6 7 8 9 10
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# 11 12 13 14 15 16 17
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# 18 19 20 21 22 23 24
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# 25 26 27 28 29 30
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fourth_friday_open = pd.Timestamp('11/23/2012 11:00AM', tz='EST')
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fourth_friday = pd.Timestamp('11/23/2012 3:00PM', tz='EST')
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self.assertTrue(self.calendar.is_open_on_minute(fourth_friday_open))
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self.assertFalse(self.calendar.is_open_on_minute(fourth_friday))
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# November 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2
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# 3 4 5 6 7 8 9
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# 10 11 12 13 14 15 16
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# 17 18 19 20 21 22 23
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# 24 25 26 27 28 29 30
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fifth_friday_open = pd.Timestamp('11/29/2013 11:00AM', tz='EST')
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fifth_friday = pd.Timestamp('11/29/2013 3:00PM', tz='EST')
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self.assertTrue(self.calendar.is_open_on_minute(fifth_friday_open))
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self.assertFalse(self.calendar.is_open_on_minute(fifth_friday))
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def test_early_close_independence_day_thursday(self):
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"""
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Until 2013, the market closed early the Friday after an
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Independence Day on Thursday. Since then, the early close is on
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Wednesday.
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"""
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# July 2002
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = pd.Timestamp('7/3/2002 3:00PM', tz='EST')
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friday_after_open = pd.Timestamp('7/5/2002 11:00AM', tz='EST')
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friday_after = pd.Timestamp('7/5/2002 3:00PM', tz='EST')
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self.assertTrue(self.calendar.is_open_on_minute(wednesday_before))
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self.assertTrue(self.calendar.is_open_on_minute(friday_after_open))
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self.assertFalse(self.calendar.is_open_on_minute(friday_after))
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# July 2013
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# Su Mo Tu We Th Fr Sa
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# 1 2 3 4 5 6
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# 7 8 9 10 11 12 13
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# 14 15 16 17 18 19 20
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# 21 22 23 24 25 26 27
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# 28 29 30 31
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wednesday_before = pd.Timestamp('7/3/2013 3:00PM', tz='EST')
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friday_after_open = pd.Timestamp('7/5/2013 11:00AM', tz='EST')
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friday_after = pd.Timestamp('7/5/2013 3:00PM', tz='EST')
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self.assertFalse(self.calendar.is_open_on_minute(wednesday_before))
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self.assertTrue(self.calendar.is_open_on_minute(friday_after_open))
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self.assertTrue(self.calendar.is_open_on_minute(friday_after))
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class CalendarStartEndTestCase(TestCase):
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def test_start_end(self):
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"""
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Check TradingCalendar with defined start/end dates.
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"""
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start = pd.Timestamp('2010-1-3', tz='UTC')
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end = pd.Timestamp('2010-1-10', tz='UTC')
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calendar = NYSEExchangeCalendar(start=start, end=end)
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expected_first = pd.Timestamp('2010-1-4', tz='UTC')
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expected_last = pd.Timestamp('2010-1-8', tz='UTC')
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self.assertTrue(calendar.first_trading_session == expected_first)
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self.assertTrue(calendar.last_trading_session == expected_last)
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