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316 lines
7.4 KiB
Python
316 lines
7.4 KiB
Python
#
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# Copyright 2014 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
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from dateutil import rrule
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from zipline.utils.tradingcalendar import end, canonicalize_datetime, \
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get_open_and_closes
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start = pd.Timestamp('1994-01-01', tz='UTC')
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def get_non_trading_days(start, end):
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non_trading_rules = []
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start = canonicalize_datetime(start)
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end = canonicalize_datetime(end)
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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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# Universal confraternization
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conf_universal = 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(conf_universal)
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# Sao Paulo city birthday
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aniversario_sao_paulo = rrule.rrule(
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rrule.MONTHLY,
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bymonth=1,
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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(aniversario_sao_paulo)
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# Carnival Monday
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carnaval_segunda = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-48,
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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(carnaval_segunda)
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# Carnival Tuesday
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carnaval_terca = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-47,
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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(carnaval_terca)
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# Passion of the Christ
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sexta_paixao = rrule.rrule(
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rrule.MONTHLY,
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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(sexta_paixao)
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# Corpus Christi
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corpus_christi = rrule.rrule(
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rrule.MONTHLY,
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byeaster=60,
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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(corpus_christi)
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tiradentes = rrule.rrule(
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rrule.MONTHLY,
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bymonth=4,
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bymonthday=21,
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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(tiradentes)
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# Labor day
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dia_trabalho = rrule.rrule(
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rrule.MONTHLY,
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bymonth=5,
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bymonthday=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(dia_trabalho)
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# Constitutionalist Revolution
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constitucionalista = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=9,
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cache=True,
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dtstart=datetime(1997, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(constitucionalista)
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# Independency day
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independencia = rrule.rrule(
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rrule.MONTHLY,
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bymonth=9,
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bymonthday=7,
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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(independencia)
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# Our Lady of Aparecida
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aparecida = rrule.rrule(
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rrule.MONTHLY,
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bymonth=10,
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bymonthday=12,
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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(aparecida)
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# All Souls' day
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finados = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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bymonthday=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(finados)
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# Proclamation of the Republic
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proclamacao_republica = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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bymonthday=15,
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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(proclamacao_republica)
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# Day of Black Awareness
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consciencia_negra = rrule.rrule(
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rrule.MONTHLY,
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bymonth=11,
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bymonthday=20,
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cache=True,
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dtstart=datetime(2004, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(consciencia_negra)
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# Christmas Eve
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vespera_natal = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=24,
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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(vespera_natal)
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# Christmas
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natal = 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(natal)
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# New Year Eve
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ano_novo = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=31,
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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(ano_novo)
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# New Year Eve on saturday
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ano_novo_sab = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=30,
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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(ano_novo_sab)
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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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# World Cup 2014 Opening
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non_trading_days.append(datetime(2014, 6, 12, tzinfo=pytz.utc))
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non_trading_days.sort()
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return pd.DatetimeIndex(non_trading_days)
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non_trading_days = get_non_trading_days(start, end)
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trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
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def get_trading_days(start, end, trading_day=trading_day):
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return pd.date_range(start=start.date(),
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end=end.date(),
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freq=trading_day).tz_localize('UTC')
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trading_days = get_trading_days(start, end)
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# Ash Wednesday
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quarta_cinzas = rrule.rrule(
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rrule.MONTHLY,
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byeaster=-46,
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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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def get_early_closes(start, end):
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# TSX closed at 1:00 PM on december 24th.
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start = canonicalize_datetime(start)
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end = canonicalize_datetime(end)
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early_close_rules = []
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early_close_rules.append(quarta_cinzas)
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early_close_ruleset = rrule.rruleset()
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for rule in early_close_rules:
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early_close_ruleset.rrule(rule)
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early_closes = early_close_ruleset.between(start, end, inc=True)
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early_closes.sort()
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return pd.DatetimeIndex(early_closes)
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early_closes = get_early_closes(start, end)
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def get_open_and_close(day, early_closes):
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# only "early close" event in Bovespa actually is a late start
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# as the market only opens at 1pm
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open_hour = 13 if day in quarta_cinzas else 10
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market_open = pd.Timestamp(
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datetime(
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year=day.year,
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month=day.month,
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day=day.day,
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hour=open_hour,
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minute=00),
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tz='America/Sao_Paulo').tz_convert('UTC')
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market_close = pd.Timestamp(
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datetime(
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year=day.year,
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month=day.month,
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day=day.day,
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hour=16),
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tz='America/Sao_Paulo').tz_convert('UTC')
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return market_open, market_close
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open_and_closes = get_open_and_closes(trading_days, early_closes,
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get_open_and_close)
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