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https://github.com/wassname/catalyst.git
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Jean Bredeche
6fb4923cc7
Instead of having separate ExchangeCalendar and TradingSchedule objects, we now just have TradingCalendar. The TradingCalendar keeps track of each session (defined as a contiguous set of minutes between an open and a close). It's also responsible for handling the grouping logic of any given minute to its containing session, or the next/previous session if it's not a market minute for the given calendar.
148 lines
3.9 KiB
Python
148 lines
3.9 KiB
Python
from pandas import (
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Timestamp,
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DateOffset,
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date_range,
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)
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from pandas.tseries.holiday import (
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Holiday,
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sunday_to_monday,
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nearest_workday,
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)
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from dateutil.relativedelta import (
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MO,
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TH
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)
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from pandas.tseries.offsets import Day
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from zipline.utils.calendars.trading_calendar import (
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MONDAY,
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TUESDAY,
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WEDNESDAY,
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THURSDAY,
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FRIDAY,
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)
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# These have the same definition, but are used in different places because the
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# NYSE closed at 2:00 PM on Christmas Eve until 1993.
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from zipline.utils.pandas_utils import july_5th_holiday_observance
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ChristmasEveBefore1993 = Holiday(
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'Christmas Eve',
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month=12,
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day=24,
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end_date=Timestamp('1993-01-01'),
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# When Christmas is a Saturday, the 24th is a full holiday.
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days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY),
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)
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ChristmasEveInOrAfter1993 = Holiday(
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'Christmas Eve',
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month=12,
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day=24,
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start_date=Timestamp('1993-01-01'),
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# When Christmas is a Saturday, the 24th is a full holiday.
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days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY),
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)
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USNewYearsDay = Holiday(
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'New Years Day',
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month=1,
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day=1,
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# When Jan 1 is a Sunday, US markets observe the subsequent Monday.
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# When Jan 1 is a Saturday (as in 2005 and 2011), no holiday is observed.
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observance=sunday_to_monday
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)
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USMartinLutherKingJrAfter1998 = Holiday(
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'Dr. Martin Luther King Jr. Day',
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month=1,
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day=1,
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# The US markets didn't observe MLK day as a holiday until 1998.
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start_date=Timestamp('1998-01-01'),
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offset=DateOffset(weekday=MO(3)),
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)
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USMemorialDay = Holiday(
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# NOTE: The definition for Memorial Day is incorrect as of pandas 0.16.0.
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# See https://github.com/pydata/pandas/issues/9760.
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'Memorial Day',
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month=5,
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day=25,
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offset=DateOffset(weekday=MO(1)),
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)
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USIndependenceDay = Holiday(
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'July 4th',
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month=7,
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day=4,
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observance=nearest_workday,
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)
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Christmas = Holiday(
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'Christmas',
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month=12,
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day=25,
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observance=nearest_workday,
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)
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MonTuesThursBeforeIndependenceDay = Holiday(
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# When July 4th is a Tuesday, Wednesday, or Friday, the previous day is a
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# half day.
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'Mondays, Tuesdays, and Thursdays Before Independence Day',
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month=7,
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day=3,
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days_of_week=(MONDAY, TUESDAY, THURSDAY),
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start_date=Timestamp("1995-01-01"),
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)
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FridayAfterIndependenceDayExcept2013 = Holiday(
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# When July 4th is a Thursday, the next day is a half day (except in 2013,
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# when, for no explicable reason, Wednesday was a half day instead).
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"Fridays after Independence Day that aren't in 2013",
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month=7,
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day=5,
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days_of_week=(FRIDAY,),
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observance=july_5th_holiday_observance,
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start_date=Timestamp("1995-01-01"),
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)
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USBlackFridayBefore1993 = Holiday(
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'Black Friday',
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month=11,
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day=1,
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# Black Friday was not observed until 1992.
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start_date=Timestamp('1992-01-01'),
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end_date=Timestamp('1993-01-01'),
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offset=[DateOffset(weekday=TH(4)), Day(1)],
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)
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USBlackFridayInOrAfter1993 = Holiday(
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'Black Friday',
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month=11,
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day=1,
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start_date=Timestamp('1993-01-01'),
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offset=[DateOffset(weekday=TH(4)), Day(1)],
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)
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BattleOfGettysburg = Holiday(
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# All of the floor traders in Chicago were sent to PA
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'Markets were closed during the battle of Gettysburg',
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month=7,
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day=(1, 2, 3),
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start_date=Timestamp("1863-07-01"),
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end_date=Timestamp("1863-07-03")
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)
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# http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
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September11Closings = date_range('2001-09-11', '2001-09-16', tz='UTC')
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# http://en.wikipedia.org/wiki/Hurricane_sandy
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HurricaneSandyClosings = date_range(
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'2012-10-29',
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'2012-10-30',
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tz='UTC'
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)
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# National Days of Mourning
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# - President Richard Nixon - April 27, 1994
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# - President Ronald W. Reagan - June 11, 2004
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# - President Gerald R. Ford - Jan 2, 2007
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USNationalDaysofMourning = [
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Timestamp('1994-04-27', tz='UTC'),
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Timestamp('2004-06-11', tz='UTC'),
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Timestamp('2007-01-02', tz='UTC'),
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]
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