Exchange Calendars

Exchange Calendars

Twelve calendars. They are not variations of one calendar: CME closes on three days a year and trades the other US federal holidays on a shortened session, while the LSE runs on UK bank holidays that share only Good Friday and Christmas with the NYSE.

Rules where a rule exists, a table where none does

Most holidays follow a statute. Thanksgiving is the fourth Thursday in November, and that is true for every year, past or future, so it is computed.

Unscheduled closures are not derivable from anything. A hurricane, a blackout, a state funeral. Those live in a dated table, and a table is complete only for the past. This is why is_holiday must never be read as "and nothing else can close the market".

Every closure is named, and the name is the source of truth: is_holiday is defined as holiday_name being non-na, so a date cannot be closed and nameless, or named and open.

d = t.new_datetime(2012, 10, 30)
d.holiday_name(t.Exchange.NYSE)    // "Hurricane Sandy"
d.is_holiday(t.Exchange.NYSE)      // true
d.holiday_name(t.Exchange.CME)     // na: CME traded through it

The twelve

Hours are local to the exchange's own zone. "Exact from" and "exact through" are what calendar_from() and calendar_through() return; na through means a rule-driven calendar with no horizon.

Calendar	Zone	Hours	Lunch	Early close	Exact from	Exact through
NYSE	New York	09:30-16:00	none	13:00	1976	no horizon
LSE	London	08:00-16:30	none	12:30	1976	no horizon
CME	Chicago	17:00 prev day to 16:00	none	12:00	2000	no horizon
JPX	Tokyo	09:00-15:30	11:30-12:30	none	2000	2099
EUREX	Berlin	08:00-22:00	none	none	2006	no horizon
HKEX	Hong Kong	09:30-16:00	12:00-13:00	12:00	2000	2049
ASX	Sydney	10:00-16:00	none	14:10	1995	no horizon
TSX	Toronto	09:30-16:00	none	13:00	1995	no horizon
SSE	Shanghai	09:30-15:00	11:30-13:00	none	2006	2026
BSE	Mumbai	09:15-15:30	none	none	2006	2026
SGX	Singapore	09:00-17:00	none	none	2006	2026
CRYPTO	UTC	00:00-24:00	none	none	no bound	no horizon

Notes that matter per calendar

NYSE. Juneteenth from 2022. Unscheduled closures named individually, including four days after the September 11 attacks, two for Hurricane Sandy, and five national days of mourning. Election Day appears twice, in 1976 and 1980, because the exchange observed it until 1980 and then stopped.

LSE. Bank holidays with substitute Mondays, plus one-off royal closures: jubilees, two royal weddings, the 2022 state funeral and the 2023 coronation. In several of those years the spring bank holiday also moved, so the moved-away dates are recorded as open.

CME. The Globex equity-index schedule. Closes on three holidays a year and trades the rest on a shortened session. Its unscheduled closures are a different set from the NYSE's: CME traded through Hurricane Sandy. September 2001 they share, but for different lengths, because the equity-index complex did not resume until the 17th.

JPX. Closed 31 December through 3 January, no half days. Carries the Happy Monday moves, the sandwich rule, and substitute chains. Equinox holidays use the standard 1980-2099 approximation, which is why the horizon is 2099.

EUREX. The derivatives calendar, TARGET2-shaped. The German cash market (Xetra) keeps different hours and more holidays and is not this calendar.

HKEX. Lunar festivals are tabled rather than computed, hence the 2049 horizon. Half days at 12:00 on Christmas Eve, New Year's Eve and Lunar New Year's Eve, and on a half day the lunch break disappears with the close. Typhoon and black-rainstorm closures are recorded, named "Severe weather closure".

ASX. New South Wales holidays: no Labour Day, and ANZAC Day does not move off a weekend. Half days at 14:10 before Christmas and New Year.

TSX. Christmas Eve half day only, at 13:00, and only when 24 December is itself a session. No Easter Monday. Family Day exists only from 2008.

SSE. Wholly tabled. State Council holiday blocks have changed length three times in twenty years, so nothing extrapolates them.

BSE. Six fixed dates with no substitution at all, the rest tabled. The two Saturdays the exchange traded as special sessions are recorded. The Diwali Muhurat evening session is not modelled.

SGX. Four fixed dates with a Sunday-only substitute, the rest tabled.

CRYPTO. Every calendar day trades, weekends included. There is nothing to check and no horizon to state.

Horizons, and why is_holiday is not enough

A tabled calendar stops where its data stops. Past that point is_holiday cannot help you, because Pine's bool has no room for "not known" and will read a tabled holiday as an ordinary trading day. That is a wrong answer, not a missing one.

closed_for_holiday() returns Known instead:

d = t.new_datetime(2030, 10, 1)
d.is_holiday(t.Exchange.SSE)            // false, and not to be trusted: past 2026
d.closed_for_holiday(t.Exchange.SSE)    // Known.UNKNOWN

The safe shape is to check coverage first:

int through = t.Exchange.SSE.calendar_through()
if not na(through) and d.Year > through
    // outside the table; do not present an answer as certain

Known.UNKNOWN is a value, not na. if na(k) is dead code. See Error Model.

Three known divergences from the reference data

Each of these is deliberate, and pinned in the test suite in both directions so it fails if it grows or silently disappears.

JPX, 5 November to 30 December 2024. The Tokyo close moved from 15:00 to 15:30 on 2024-11-05. The library models the close at year granularity, so every session in that window closes 30 minutes early. Chosen as the smaller error than applying the new close to all of 2024.

HKEX, early 2011. The open moved from 10:00 to 09:30 on 2011-03-07. Same year-granular gate, so 43 sessions before that date open half an hour early.

CME sessions. The library models Globex equity index as 17:00 the previous day to 16:00 Chicago. exchange_calendars labels the same session 17:00 to 17:00, so the closes differ by exactly one hour by construction. The library also closes the four days after 11 September 2001 that the reference trades; that one is a gap in the reference, not an error here.

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