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https://github.com/wassname/catalyst.git
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365 lines
9.9 KiB
Python
365 lines
9.9 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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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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new_years_saturday = rrule.rrule(
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rrule.MONTHLY,
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byyearday=3,
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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_saturday)
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# Family day in Ontario, starting in 2008, third monday of February
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family_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=datetime(2008, 1, 1, tzinfo=pytz.utc),
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until=end
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)
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non_trading_rules.append(family_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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# Monday prior to May 25th.
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victoria_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=5,
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byweekday=rrule.MO,
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bymonthday=[24, 23, 22, 21, 20, 19, 18],
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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(victoria_day)
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july_1st = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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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(july_1st)
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july_1st_sunday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=7,
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bymonthday=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(july_1st_sunday)
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july_1st_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.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_1st_saturday)
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civic_holiday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=8,
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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(civic_holiday)
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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=10,
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byweekday=(rrule.MO(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(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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# If Christmas is a Sunday then the 26th, a Monday is observed.
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# (but that would be boxing day), so the 27th is also observed.
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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=27,
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byweekday=rrule.TU,
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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 the 27th, a monday 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=27,
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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_saturday)
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boxing_day = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=26,
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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(boxing_day)
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# if boxing day is a sunday, the Christmas was saturday.
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# Christmas is observed on the 27th, a month and boxing day is observed
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# on the 28th, a tuesday.
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boxing_day_sunday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=28,
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byweekday=rrule.TU,
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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(boxing_day_sunday)
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# If boxing day is a Saturday then the 28th, a monday is observed.
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boxing_day_saturday = rrule.rrule(
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rrule.MONTHLY,
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bymonth=12,
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bymonthday=28,
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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(boxing_day_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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# The TSX was open for 71 minutes on September 11, 2011.
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# It was closed on the 12th and reopened on the 13th.
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# http://www.cbc.ca/news2/interactives/map-tsx/
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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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non_trading_days.append(
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datetime(2001, 9, 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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# Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
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# --------------------------------------------------------------------
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# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
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# to check whether exchange was open on these days.
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# 1994-07-01 - July 1st, Yahoo Finance has Volume = 0
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# 1996-07-01 - July 1st, Yahoo Finance has Volume = 0
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# 1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
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# 1997-07-01 - July 1st, Yahoo Finance has Volume = 0
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# 1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
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# 2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
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# 2004-10-11 - Closed, Thanksgiving - Confirmed closed
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# 2004-12-28 - Closed, Boxing Day - Confirmed closed
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# 2012-10-08 - Closed, Thanksgiving - Confirmed closed
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# Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
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# --------------------------------------------------------------------
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# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
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# to check whether exchange was open on these days.
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# 2000-06-28 - No data this far back, can't confirm
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# 2000-08-28 - No data this far back, can't confirm
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# 2000-08-29 - No data this far back, can't confirm
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# 2001-09-11 - TSE Open for 71 min.
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# 2002-02-01 - Confirm TSE Open
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# 2002-06-14 - Confirm TSE Open
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# 2002-07-02 - Confirm TSE Open
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# 2002-11-11 - TSX website has no data for 2 weeks in 2002
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# 2003-07-07 - Confirm TSE Open
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# 2003-12-16 - Confirm TSE Open
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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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start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
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end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
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# Not included here are early closes prior to 1993
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# or unplanned early closes
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early_close_rules = []
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christmas_eve = 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.MO, rrule.TU, rrule.WE, rrule.TH, 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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early_close_rules.append(christmas_eve)
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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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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=9,
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minute=31),
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tz='US/Eastern').tz_convert('UTC')
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# 1 PM if early close, 4 PM otherwise
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close_hour = 13 if day in early_closes else 16
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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=close_hour),
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tz='US/Eastern').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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