API Enums

Enums

Concepts first: read Core Concepts before this page.

Signatures below are shown as the library declares them. From a script that imports it, every type and enum name takes your import alias: t.DateTime, t.Overflow.REJECT, t.Exchange.NYSE. A bare DateTime will not compile.

The option enums: the ones that name a choice rather than a thing. Enums stand in for bare ints and bools throughout the library, because a Weekday cannot be silently off by one and a Known.UNKNOWN will not type-check where a bool is expected. The three enums that carry methods of their own live with them: Zone, Exchange and Weekday.

Members

	Summary
is_yes	Collapse a three-valued answer to a bool, treating UNKNOWN as false.

Reference

is_yes

Known.is_yes()

Collapse a three-valued answer to a bool, treating UNKNOWN as false. Only call this after checking coverage first (fomc_known_from and fomc_known_through, or calendar_from and calendar_through), because it reads "not known" as "no".

Returns   true only for YES..

See also   calendar_from, calendar_through, fomc_known_from, fomc_known_through

Enums

	Summary
BusinessDay	ISDA business-day conventions: how to roll a date that lands on a non-trading day.
DayCount	Day-count conventions, per the ISDA 2006 Definitions.
ExpiryKind	A listed expiry cycle.
Known	A three-valued answer, for questions a dated table or a bounded calendar cannot answer outside its window.
Overflow	What to do when calendar arithmetic lands on a day that does not exist, e.g. 31 January plus one month.
Resolver	How to resolve a local time that a daylight-saving transition made impossible or ambiguous.
RoundMode	How to round a date-time to a unit boundary.
SessionId	Standard trading sessions, ready to use.
TimeUnit	A unit of time, used by the truncation and rounding helpers.

BusinessDay

enum

ISDA business-day conventions: how to roll a date that lands on a non-trading day.

Member	Declared as	Meaning
UNADJUSTED	UNADJUSTED = "Unadjusted"	Leave the date alone even if the market is shut.
FOLLOWING	FOLLOWING = "Following"	Move forward to the next trading day.
MOD_FOLLOWING	MOD_FOLLOWING = "Modified following"	Move forward, unless that crosses into the next month, in which case move backward instead.
PRECEDING	PRECEDING = "Preceding"	Move backward to the previous trading day.
MOD_PRECEDING	MOD_PRECEDING = "Modified preceding"	Move backward, unless that crosses into the previous month, in which case move forward instead.

DayCount

enum

Day-count conventions, per the ISDA 2006 Definitions. The convention is the denominator of every rate and the tau of every option price.

Member	Declared as	Meaning
ACT_365F	ACT_365F = "ACT/365F"	Actual days over a fixed 365. The usual choice for an option tenor, and the convention crypto derivatives actually quote.
ACT_360	ACT_360 = "ACT/360"	Actual days over 360. Money-market convention.
ACT_ACT_ISDA	ACT_ACT_ISDA = "ACT/ACT ISDA"	Actual days, split so that days in a leap year are divided by 366 and the rest by 365.
D30_360	D30_360 = "30/360 Bond Basis"	30/360 Bond Basis: a 31st becomes a 30th, and the end date flattens only when the start already has.
D30E_360	D30E_360 = "30E/360"	30E/360 Eurobond: both ends flatten unconditionally.
ACT_252	ACT_252 = "ACT/252"	Trading days over 252. The convention behind business-day time in equity volatility. Under Exchange.CRYPTO every calendar day is a trading day, so this degenerates to actual days over 252, a denominator no crypto desk uses. Crypto tenors are ACT_365F.

ExpiryKind

enum

A listed expiry cycle. The first four are the p.m.-settled US equity cycles and share a close-shaped clock; VIX is a.m.-settled off the following month's third Friday, which is why it alone keeps its own instant functions; see the section banner above.

Member	Declared as	Meaning
DAILY	DAILY = "Daily"	Every trading day: SPX, NDX and XSP list an expiry each session, so this cycle is the trading calendar itself.
WEEKLY	WEEKLY = "Weekly"	The week's Friday, stepped back to the previous trading day when that Friday does not trade.
MONTHLY	MONTHLY = "Monthly"	The classic third-Friday monthly, stepped to the previous day when that Friday is a scheduled holiday.
QUARTERLY	QUARTERLY = "Quarterly"	The monthly of March, June, September and December, the triple-witching months.
VIX	VIX = "VIX"	The VIX final-settlement cycle: the Wednesday thirty days before the following month's third Friday, stepped to the previous business day on the two-branch holiday rule.

Known

enum

A three-valued answer, for questions a dated table or a bounded calendar cannot answer outside its window. This exists because Pine's bool cannot hold na: int, enum and object types can, bool cannot, so "return na, never false" is not expressible for a yes/no question. The enum is also the stronger contract: UNKNOWN will not type-check anywhere a bool is expected, so a caller cannot accidentally read "not known" as "no".

Member	Declared as	Meaning
YES	YES = "Yes"	The date is in the table, or inside the calendar and shut.
NO	NO = "No"	The date is covered and is not one.
UNKNOWN	UNKNOWN = "Unknown"	The date lies outside the covered window. Not a no.

Overflow

enum

What to do when calendar arithmetic lands on a day that does not exist, e.g. 31 January plus one month. Named for TC39 Temporal's overflow option.

Member	Declared as	Meaning
CONSTRAIN	CONSTRAIN = "Constrain"	Clamp to the last valid day of the month, so 31 January plus one month is 28 or 29 February. This is java.time's behaviour and the default.
REJECT	REJECT = "Reject"	Return na rather than invent a date.

Resolver

enum

How to resolve a local time that a daylight-saving transition made impossible or ambiguous. Named for Noda Time's ZoneLocalMappingResolver and Temporal's disambiguation option.

Member	Declared as	Meaning
EARLIER	EARLIER = "Earlier"	Take the earlier of the two instants in an overlap; shift backward out of a gap.
LATER	LATER = "Later"	Take the later of the two instants in an overlap; shift forward out of a gap.
COMPATIBLE	COMPATIBLE = "Compatible"	Gaps shift forward by the gap length, overlaps take the earlier instant. Matches java.time and Temporal defaults.
REJECT	REJECT = "Reject"	Return na rather than resolve.

RoundMode

enum

How to round a date-time to a unit boundary. Modes follow TC39 Temporal, and are applied to the elapsed time since the Unix epoch, so TRUNC means toward the epoch.

Member	Declared as	Meaning
FLOOR	FLOOR = "Floor"	Toward the earlier boundary.
CEIL	CEIL = "Ceiling"	Toward the later boundary.
TRUNC	TRUNC = "Truncate"	Toward the epoch: FLOOR after 1970, CEIL before it.
HALF_EXPAND	HALF_EXPAND = "Half expand"	Nearest boundary; exact ties go away from the epoch.

SessionId

enum

Standard trading sessions, ready to use. Times are the market conventions, not an exchange feed.

Member	Declared as	Meaning
US_PREMARKET	US_PREMARKET = "US pre-market"	04:00-09:30 New York, NYSE calendar.
US_REGULAR	US_REGULAR = "US regular"	09:30-16:00 New York, NYSE calendar, half days respected.
US_AFTERHOURS	US_AFTERHOURS = "US after-hours"	16:00-20:00 New York, NYSE calendar.
US_EXTENDED	US_EXTENDED = "US extended"	04:00-20:00 New York, the whole extended day.
FX_SYDNEY	FX_SYDNEY = "FX Sydney"	21:00-06:00 UTC, opens Sunday evening.
FX_TOKYO	FX_TOKYO = "FX Tokyo"	00:00-09:00 UTC.
FX_LONDON	FX_LONDON = "FX London"	08:00-17:00 UTC.
FX_NEWYORK	FX_NEWYORK = "FX New York"	13:00-22:00 UTC.
FX_LONDON_NY	FX_LONDON_NY = "FX London/New York overlap"	13:00-17:00 UTC, the overlap where liquidity peaks.
KZ_ASIAN	KZ_ASIAN = "Asian range"	20:00-00:00 New York, the Asian range.
KZ_LONDON	KZ_LONDON = "London killzone"	02:00-05:00 New York.
KZ_NEWYORK	KZ_NEWYORK = "New York killzone"	07:00-10:00 New York.
KZ_LONDON_CLOSE	KZ_LONDON_CLOSE = "London close"	10:00-12:00 New York.
CME_RTH	CME_RTH = "CME regular"	08:30-15:15 Chicago, CME calendar, half days respected.
CME_ETH	CME_ETH = "CME Globex"	17:00-16:00 Chicago, the Globex day, CME calendar, half days respected.
LSE_REGULAR	LSE_REGULAR = "LSE regular"	08:00-16:30 London, LSE calendar, half days respected.
XETRA_REGULAR	XETRA_REGULAR = "Xetra regular"	09:00-17:30 Frankfurt, the German cash market. Named for Xetra rather than Eurex because these are the cash hours; Eurex derivatives are EUREX_REGULAR below. German cash-market holidays are not modelled, and this preset carries no calendar at all rather than borrowing the derivatives one: Xetra closes on days Eurex trades.
HKEX_REGULAR	TSE_REGULAR = "TSE regular"	09:30-16:00 Hong Kong with lunch 12:00-13:00, the schedule from 7 March 2011, HKEX calendar, half days honoured. Before that date the open was 10:00; a preset is one set of hours, so the older era opens half an hour early. On a half day the close comes in to 12:00 and the lunch break disappears with it, which is what the exchange actually does.
ASX_REGULAR	EUREX_REGULAR = "Eurex regular"	10:00-16:00 Sydney, ASX calendar, half days honoured. The half day ends at 14:10 and falls on the last session before Christmas and the last of the year, so it moves off 24 and 31 December when those land on a weekend.
TSX_REGULAR	HKEX_REGULAR = "HKEX regular"	09:30-16:00 Toronto, TSX calendar, half days honoured. Christmas Eve only, at 13:00, and only when 24 December is itself a session.
SSE_REGULAR	ASX_REGULAR = "ASX regular"	09:30-15:00 Shanghai with lunch 11:30-13:00, SSE calendar. The longest lunch break of any market here, and the only preset besides HKEX and TSE to carry one.
BSE_REGULAR	TSX_REGULAR = "TSX regular"	09:15-15:30 Mumbai, BSE calendar, no lunch break. The Diwali Muhurat evening session is not modelled.
SGX_REGULAR	SSE_REGULAR = "SSE regular"	09:00-17:00 Singapore, SGX calendar, no lunch break: the reference calendar models none in this era, and the pre-2011 one it dropped is not reconstructed here.
TSE_REGULAR	BSE_REGULAR = "BSE regular"	09:00-15:30 Tokyo with lunch 11:30-12:30, the schedule from 5 November 2024, JPX calendar. Before that date the close was 15:00; a preset is one set of hours, so the older era is wrong by 30 minutes. The lunch break has held at these times for as long as the exchange calendars record.
EUREX_REGULAR	SGX_REGULAR = "SGX regular"	08:00-22:00 Berlin, EUREX calendar: the real derivatives session, TARGET2-shaped holidays, no half days.
CRYPTO_DAY	CRYPTO_DAY = "Crypto day"	00:00-24:00 UTC, all seven days, CRYPTO calendar: the UTC day boundary crypto convention settles on. Always open, which makes is_first_bar and is_last_bar the daily-boundary markers.

TimeUnit

enum

A unit of time, used by the truncation and rounding helpers.

Member	Declared as	Meaning
MS	MS = "Millisecond"	Millisecond.
SECOND	SECOND = "Second"	Second.
MINUTE	MINUTE = "Minute"	Minute.
HOUR	HOUR = "Hour"	Hour.
DAY	DAY = "Day"	Calendar day.
WEEK	WEEK = "Week"	Calendar week, starting on a configurable day.
MONTH	MONTH = "Month"	Calendar month.
QUARTER	QUARTER = "Quarter"	Calendar quarter, three months starting in January.
YEAR	YEAR = "Year"	Calendar year.

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