catalyst/tests/test_tradingcalendar.py

#
# Copyright 2013 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.

from unittest import TestCase
from zipline.utils import tradingcalendar
from zipline.utils import tradingcalendar_lse
import pytz
import datetime
from zipline.finance.trading import TradingEnvironment
from pandas import DatetimeIndex
from delorean import Delorean
from nose.tools import nottest


class TestTradingCalendar(TestCase):

    def setUp(self):
        today = Delorean().truncate('day')
        self.end = DatetimeIndex([today.datetime])

    @nottest
    def test_calendar_vs_environment(self):
        """
        test_calendar_vs_environment checks whether the
        historical data from yahoo matches our rule based system.
        handy, if not canonical, reference:
        http://www.chronos-st.org/NYSE_Observed_Holidays-1885-Present.html
        """

        env = TradingEnvironment()
        env_start_index = \
            env.trading_days.searchsorted(tradingcalendar.start)
        env_days = env.trading_days[env_start_index:]
        cal_days = tradingcalendar.trading_days
        self.check_days(env_days, cal_days)

    @nottest
    def test_lse_calendar_vs_environment(self):
        env = TradingEnvironment(
            bm_symbol='^FTSE',
            exchange_tz='Europe/London'
        )

        env_start_index = \
            env.trading_days.searchsorted(tradingcalendar_lse.start)
        env_days = env.trading_days[env_start_index:]
        cal_days = tradingcalendar_lse.trading_days
        self.check_days(env_days, cal_days)

    def check_days(self, env_days, cal_days):
        diff = env_days - cal_days
        self.assertEqual(
            len(diff),
            0,
            "{diff} should be empty".format(diff=diff)
        )

        diff2 = cal_days - env_days
        self.assertEqual(
            len(diff2),
            0,
            "{diff} should be empty".format(diff=diff2)
        )

    def test_newyears(self):
        """
        Check whether 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

        day_after_new_years_sunday = datetime.datetime(
            2012, 1, 2, tzinfo=pytz.utc)

        self.assertNotIn(day_after_new_years_sunday,
                         tradingcalendar.trading_days,
                         """
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 = datetime.datetime(
            2012, 1, 3, tzinfo=pytz.utc)

        self.assertIn(first_trading_day_after_new_years_sunday,
                      tradingcalendar.trading_days,
                      """
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 = datetime.datetime(
            2013, 1, 1, tzinfo=pytz.utc)

        self.assertNotIn(new_years_day,
                         tradingcalendar.trading_days,
                         """
If NYE falls during the week, e.g. {0}, it is a holiday.
""".strip().format(new_years_day)
        )

        first_trading_day_after_new_years = datetime.datetime(
            2013, 1, 2, tzinfo=pytz.utc)

        self.assertIn(first_trading_day_after_new_years,
                      tradingcalendar.trading_days,
                      """
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
        thanksgiving_with_four_weeks = datetime.datetime(
            2005, 11, 24, tzinfo=pytz.utc)

        self.assertNotIn(thanksgiving_with_four_weeks,
                         tradingcalendar.trading_days,
                         """
If Nov has 4 Thursdays, {0} Thanksgiving is the last Thursady.
""".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 = datetime.datetime(
            2006, 11, 23, tzinfo=pytz.utc)

        self.assertNotIn(thanksgiving_with_five_weeks,
                         tradingcalendar.trading_days,
                         """
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 = datetime.datetime(
            2012, 1, 3, tzinfo=pytz.utc)

        self.assertIn(first_trading_day_after_new_years_sunday,
                      tradingcalendar.trading_days,
                      """
If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
""".strip().format(first_trading_day_after_new_years_sunday)
        )