mirror of
https://github.com/wassname/catalyst.git
synced 2026-07-04 22:10:44 +08:00
Eddie Hebert
251 lines
6.3 KiB
Python
251 lines
6.3 KiB
Python
#
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# Copyright 2013 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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import pandas as pd
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import pytz
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from datetime import datetime, timedelta
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from dateutil import rrule
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from delorean import Delorean
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start = datetime(1990, 1, 1, tzinfo=pytz.utc)
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end_dln = Delorean(datetime.utcnow(), pytz.utc.zone)
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end_dln.shift('US/Eastern').truncate('day').shift(pytz.utc.zone)
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end = end_dln.datetime - timedelta(days=1)
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def get_non_trading_days(start, end):
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non_trading_rules = []
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weekends = rrule.rrule(
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rrule.YEARLY,
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byweekday=(rrule.SA, rrule.SU),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(weekends)
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new_years = rrule.rrule(
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rrule.MONTHLY,
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byyearday=1,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(new_years)
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new_years_sunday = rrule.rrule(
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rrule.MONTHLY,
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byyearday=2,
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byweekday=rrule.MO,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(new_years_sunday)
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mlk_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=1,
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byweekday=(rrule.MO(+3)),
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cache=True,
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dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(mlk_day)
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presidents_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=2,
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byweekday=(rrule.MO(3)),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(presidents_day)
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good_friday = rrule.rrule(
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rrule.DAILY,
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byeaster=-2,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(good_friday)
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memorial_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=5,
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byweekday=(rrule.MO(-1)),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(memorial_day)
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july_4th = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=4,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(july_4th)
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july_4th_sunday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=5,
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byweekday=rrule.MO,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(july_4th_sunday)
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july_4th_saturday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=3,
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byweekday=rrule.FR,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(july_4th_saturday)
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labor_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=9,
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byweekday=(rrule.MO(1)),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(labor_day)
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thanksgiving = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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byweekday=(rrule.TH(4)),
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(thanksgiving)
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christmas = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=25,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(christmas)
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christmas_sunday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=26,
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byweekday=rrule.MO,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(christmas_sunday)
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# If Christmas is a Saturday then 24th, a Friday is observed.
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christmas_saturday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=24,
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byweekday=rrule.FR,
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cache=True,
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dtstart=start,
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until=end
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)
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non_trading_rules.append(christmas_saturday)
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non_trading_ruleset = rrule.rruleset()
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for rule in non_trading_rules:
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non_trading_ruleset.rrule(rule)
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non_trading_days = non_trading_ruleset.between(start, end, inc=True)
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# Add September 11th closings
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# http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
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# Due to the terrorist attacks, the stock market did not open on 9/11/2001
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# It did not open again until 9/17/2001.
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#
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# September 2001
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# Su Mo Tu We Th Fr Sa
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# 1
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# 2 3 4 5 6 7 8
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# 9 10 11 12 13 14 15
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# 16 17 18 19 20 21 22
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# 23 24 25 26 27 28 29
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# 30
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for day_num in range(11, 17):
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non_trading_days.append(
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datetime(2001, 9, day_num, tzinfo=pytz.utc))
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# Add closings due to Hurricane Sandy in 2012
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# http://en.wikipedia.org/wiki/Hurricane_sandy
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#
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# The stock exchange was closed due to Hurricane Sandy's
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# impact on New York.
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# It closed on 10/29 and 10/30, reopening on 10/31
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# October 2012
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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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for day_num in range(29, 31):
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non_trading_days.append(
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datetime(2012, 10, day_num, tzinfo=pytz.utc))
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# Misc closings from NYSE listing.
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# http://www.nyse.com/pdfs/closings.pdf
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#
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# National Days of Mourning
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# - President Richard Nixon
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non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
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# - President Ronald W. Reagan - June 11, 2004
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non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
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# - President Gerald R. Ford - Jan 2, 2007
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non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))
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return pd.DatetimeIndex(sorted(non_trading_days))
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def get_trading_days(start, end):
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business_days = pd.DatetimeIndex(start=start, end=end,
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freq=pd.datetools.BDay())
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non_trading_days = get_non_trading_days(start, end)
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return business_days - non_trading_days
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trading_days = get_trading_days(start, end)
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