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https://github.com/wassname/catalyst.git
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scottsanderson
334 lines
9.0 KiB
Python
334 lines
9.0 KiB
Python
import pytz
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from datetime import datetime, timedelta
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from dateutil import rrule
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from zipline.utils.date_utils import utcnow
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def market_opens(start, end, inclusive=False):
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"""
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Returns all market opens between the start date and the end date.
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Must use utc-stamped datetimes.
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"""
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return opens.between(start, end, inc=inclusive)
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def market_closes(start, end, inclusive=False):
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"""
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Returns all market closes between the start date and the end date.
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Must use utc-stamped datetimes.
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"""
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return closes.between(start, end, inc=inclusive)
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def trading_days_between(start, end):
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"""
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Calculate the number of "complete" trading days between two
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events. We define this as the number of market opens that
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occurred between start and end, with the caveat that we subtract 1
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from this total if end falls on the same day as the last market
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open and end occurs earlier in its own day than start. This
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reflects the fact that we haven't completed a full day
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corresponding to the last market open.
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Examples:
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1.)
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start = Tuesday, Aug 7, 2012, 1:00 pm
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end = Wednesday, Aug 8, 2012, 1:30 pm
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There is one market open between these dates, on the morning of
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Wednesday the 8th. This falls on the same calendar day as end,
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but end is later in the day than start, so we count this as a full
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day. The correct output is 1.
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2.)
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start = Tuesday, Aug 7, 2012, 1:30 pm
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end = Wednesday, Aug 8, 2012, 1:00 pm
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There is one market open between these dayes, on the morning of
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Wednesday the 8th. This falls on the same calendar day as end,
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and end is earlier in the day than start, so we do not count this
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day as completed. The correct output is 0.
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3.)
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start = Tuesday, Aug 7, 2012, 1:00 pm
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end = Saturday, Aug 11, 2012, 1:30 pm
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There are 3 market opens between these dates, occurring on
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Wednesday, Thursday, and Friday. The last open is not on
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the same day as end, so we simply return 3
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4.)
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start = Tuesday, Aug 7, 2012, 1:30 pm
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end = Monday, Aug, 13, 2012, 1:00 pm
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There are 4 market opens between these dates, occurring on
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Wednesday, Thursday, Friday, and the following Monday. The
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last open occurs on the same calendar day as end, and end
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is earlier in the day than start, so we do not count the
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last market day as completed. The correct output is 3 days.
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"""
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# Calculate the number of opens between the events.
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opens = (market_opens(start, end))
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days_between = len(opens)
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if days_between == 0:
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return days_between
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# If end falls on the same day as an open, subtract 1 from the
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# total if end is earlier in its respective day than start.
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last_open = opens[-1]
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if last_open.date() == end.date() and earlier_in_day(end, start):
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days_between -=1
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return days_between
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def earlier_in_day(d1, d2):
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"""
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Return true if d1 falls earlier in its own day than d2.
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"""
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d1 = d1.replace(year = d2.year, day = d2.day)
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return d1 < d2
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WEEKDAYS = [rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR]
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# Recurrence rule that generates all market opens since Jan 1, 1970.
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# This does not exclude holidays.
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market_opens_with_holidays = rrule.rrule(
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rrule.DAILY,
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byweekday=WEEKDAYS,
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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart=datetime(1970, 1, 1, tzinfo = pytz.utc),
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)
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# Recurrence rule that generates all market closes since Jan 1, 1970.
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# This does not exclude holidays.
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market_closes_with_holidays = rrule.rrule(
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rrule.DAILY,
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byweekday=WEEKDAYS,
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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart=datetime(1970, 1, 1, tzinfo = pytz.utc),
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)
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# Recurrence rules for excluding the market open/close on new years.
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new_years_opens = rrule.rrule(
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rrule.MONTHLY,
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byyearday = 1,
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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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new_years_closes = rrule.rrule(
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rrule.MONTHLY,
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byyearday = 1,
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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rules for excluding MLK day. It is always the third
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# monday in January.
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mlk_opens = 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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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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mlk_closes = 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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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rules for generating the market open/close for
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# presidents' day. Presidents' day always occurs on the third monday
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# of February.
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presidents_day_opens = 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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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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presidents_day_closes = 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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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rules for generating the market open/close for good
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# friday. Good friday always falls 2 days before easter, which
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# thankfully is a built-in refernce in this module.
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good_friday_opens = rrule.rrule(
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rrule.DAILY,
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byeaster = -2,
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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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good_friday_closes = rrule.rrule(
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rrule.DAILY,
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byeaster = -2,
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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rules for generating the market open/close for memorial
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# day. Memorial day always occurs on the last monday of May.
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memorial_day_opens = 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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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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memorial_day_closes = 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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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rules for generating the market open/close for July 4th.
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july_4th_opens = rrule.rrule(
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rrule.MONTHLY,
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bymonth = 6,
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bymonthday = 4,
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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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july_4th_closes = rrule.rrule(
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rrule.MONTHLY,
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bymonth = 6,
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bymonthday = 4,
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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rule for generating the market open/close for labor day.
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# Labor day is always the first monday of September.
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labor_day_opens = 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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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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labor_day_closes = 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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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence rule for generating the market open/close for
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# thanksgiving. Thanksgiving always falls on the fourth thursday in
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# November. (Who decides how these holidays work!?!)
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thanksgiving_opens = rrule.rrule(
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rrule.MONTHLY,
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bymonth = 11,
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byweekday = (rrule.TH(-1)),
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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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thanksgiving_closes = rrule.rrule(
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rrule.MONTHLY,
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bymonth = 11,
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byweekday = (rrule.TH(-1)),
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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# Recurrence relation for generating the market open/close for
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# christmas. Christmas always occurs on december 25th.
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christmas_opens = rrule.rrule(
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rrule.MONTHLY,
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bymonth = 12,
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bymonthday = 25,
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byhour = 14,
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byminute = 30,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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christmas_closes = rrule.rrule(
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rrule.MONTHLY,
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bymonth = 12,
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bymonthday = 25,
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byhour = 21,
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byminute = 0,
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cache = True,
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dtstart = datetime(1970, 1,1,tzinfo = pytz.utc)
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)
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# All NYSE observed holidays.
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holiday_opens = [
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new_years_opens,
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mlk_opens,
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presidents_day_opens,
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good_friday_opens,
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memorial_day_opens,
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july_4th_opens,
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labor_day_opens,
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thanksgiving_opens,
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christmas_opens
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]
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holiday_closes = [
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new_years_closes,
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mlk_closes,
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presidents_day_closes,
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good_friday_closes,
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memorial_day_closes,
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july_4th_closes,
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labor_day_closes,
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thanksgiving_closes,
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christmas_closes
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]
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# Valid market opens are given by all market opens minus holidays.
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opens = rrule.rruleset()
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opens.rrule(market_opens_with_holidays)
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for holiday_rule in holiday_opens:
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opens.exrule(holiday_rule)
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closes = rrule.rruleset()
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closes.rrule(market_closes_with_holidays)
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for holiday_rule in holiday_closes:
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closes.exrule(holiday_rule)
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