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131 lines
2.6 KiB
Python
131 lines
2.6 KiB
Python
#
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# Copyright 2012 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 pytz
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from datetime import datetime
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from dateutil import rrule
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from zipline.utils.date_utils import utcnow
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start = datetime(2002, 1, 1, tzinfo=pytz.utc)
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end = utcnow()
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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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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=start,
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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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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(-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(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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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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