tradingcalendar.py

#
# Copyright 2013 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.
import pandas as pd
import pytz
# import warnings

from datetime import datetime
from dateutil import rrule
from functools import partial

# from zipline.zipline_warnings import ZiplineDeprecationWarning

# IMPORTANT: This module is deprecated and is only here for temporary backwards
# compatibility.  Look at the `zipline.utils.calendars.trading_schedule`
# module, as well as the calendar definitions in `zipline.utils.calendars`.

# TODO: The new calendar API is currently in flux, so the deprecation
#       warning for this module is currently disabled. Re-enable once
#       the new API is stabilized.
#
# warnings.warn(
#     "The `tradingcalendar` module is deprecated. See the "
#     "`zipline.utils.calendars.trading_schedule` module,  as well as the "
#     "calendar definitions in `zipline.utils.calendars`.",
#     category=ZiplineDeprecationWarning,
#     stacklevel=1,
# )

start = pd.Timestamp('1990-01-01', tz='UTC')
end_base = pd.Timestamp('today', tz='UTC')
# Give an aggressive buffer for logic that needs to use the next trading
# day or minute.
end = end_base + pd.Timedelta(days=365)


def canonicalize_datetime(dt):
    # Strip out any HHMMSS or timezone info in the user's datetime, so that
    # all the datetimes we return will be 00:00:00 UTC.
    return datetime(dt.year, dt.month, dt.day, tzinfo=pytz.utc)


def get_non_trading_days(start, end):
    non_trading_rules = []

    start = canonicalize_datetime(start)
    end = canonicalize_datetime(end)

    weekends = rrule.rrule(
        rrule.YEARLY,
        byweekday=(rrule.SA, rrule.SU),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(weekends)

    new_years = rrule.rrule(
        rrule.MONTHLY,
        byyearday=1,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(new_years)

    new_years_sunday = rrule.rrule(
        rrule.MONTHLY,
        byyearday=2,
        byweekday=rrule.MO,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(new_years_sunday)

    mlk_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=1,
        byweekday=(rrule.MO(+3)),
        cache=True,
        dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
        until=end
    )
    non_trading_rules.append(mlk_day)

    presidents_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=2,
        byweekday=(rrule.MO(3)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(presidents_day)

    good_friday = rrule.rrule(
        rrule.DAILY,
        byeaster=-2,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(good_friday)

    memorial_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=5,
        byweekday=(rrule.MO(-1)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(memorial_day)

    july_4th = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=4,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(july_4th)

    july_4th_sunday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=5,
        byweekday=rrule.MO,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(july_4th_sunday)

    july_4th_saturday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=3,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(july_4th_saturday)

    labor_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=9,
        byweekday=(rrule.MO(1)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(labor_day)

    thanksgiving = rrule.rrule(
        rrule.MONTHLY,
        bymonth=11,
        byweekday=(rrule.TH(4)),
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(thanksgiving)

    christmas = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=25,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(christmas)

    christmas_sunday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=26,
        byweekday=rrule.MO,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(christmas_sunday)

    # If Christmas is a Saturday then 24th, a Friday is observed.
    christmas_saturday = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=24,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        until=end
    )
    non_trading_rules.append(christmas_saturday)

    non_trading_ruleset = rrule.rruleset()

    for rule in non_trading_rules:
        non_trading_ruleset.rrule(rule)

    non_trading_days = non_trading_ruleset.between(start, end, inc=True)

    # Add September 11th closings
    # http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
    # Due to the terrorist attacks, the stock market did not open on 9/11/2001
    # It did not open again until 9/17/2001.
    #
    #    September 2001
    # Su Mo Tu We Th Fr Sa
    #                    1
    #  2  3  4  5  6  7  8
    #  9 10 11 12 13 14 15
    # 16 17 18 19 20 21 22
    # 23 24 25 26 27 28 29
    # 30

    for day_num in range(11, 17):
        non_trading_days.append(
            datetime(2001, 9, day_num, tzinfo=pytz.utc))

    # Add closings due to Hurricane Sandy in 2012
    # http://en.wikipedia.org/wiki/Hurricane_sandy
    #
    # The stock exchange was closed due to Hurricane Sandy's
    # impact on New York.
    # It closed on 10/29 and 10/30, reopening on 10/31
    #     October 2012
    # Su Mo Tu We Th Fr Sa
    #     1  2  3  4  5  6
    #  7  8  9 10 11 12 13
    # 14 15 16 17 18 19 20
    # 21 22 23 24 25 26 27
    # 28 29 30 31

    for day_num in range(29, 31):
        non_trading_days.append(
            datetime(2012, 10, day_num, tzinfo=pytz.utc))

    # Misc closings from NYSE listing.
    # http://www.nyse.com/pdfs/closings.pdf
    #
    # National Days of Mourning
    # - President Richard Nixon
    non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
    # - President Ronald W. Reagan - June 11, 2004
    non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
    # - President Gerald R. Ford - Jan 2, 2007
    non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))

    non_trading_days.sort()
    return pd.DatetimeIndex(non_trading_days)


non_trading_days = get_non_trading_days(start, end)
trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)


def get_trading_days(start, end, trading_day=trading_day):
    return pd.date_range(start=start.date(),
                         end=end.date(),
                         freq=trading_day).tz_localize('UTC')


trading_days = get_trading_days(start, end)


def get_early_closes(start, end):
    # 1:00 PM close rules based on
    # http://quant.stackexchange.com/questions/4083/nyse-early-close-rules-july-4th-and-dec-25th # noqa
    # and verified against http://www.nyse.com/pdfs/closings.pdf

    # These rules are valid starting in 1993

    start = canonicalize_datetime(start)
    end = canonicalize_datetime(end)

    start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
    end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))

    # Not included here are early closes prior to 1993
    # or unplanned early closes

    early_close_rules = []

    day_after_thanksgiving = rrule.rrule(
        rrule.MONTHLY,
        bymonth=11,
        # 4th Friday isn't correct if month starts on Friday, so restrict to
        # day range:
        byweekday=(rrule.FR),
        bymonthday=range(23, 30),
        cache=True,
        dtstart=start,
        until=end
    )
    early_close_rules.append(day_after_thanksgiving)

    christmas_eve = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=24,
        byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH),
        cache=True,
        dtstart=start,
        until=end
    )
    early_close_rules.append(christmas_eve)

    friday_after_christmas = rrule.rrule(
        rrule.MONTHLY,
        bymonth=12,
        bymonthday=26,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        # valid 1993-2007
        until=min(end, datetime(2007, 12, 31, tzinfo=pytz.utc))
    )
    early_close_rules.append(friday_after_christmas)

    day_before_independence_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=3,
        byweekday=(rrule.MO, rrule.TU, rrule.TH),
        cache=True,
        dtstart=start,
        until=end
    )
    early_close_rules.append(day_before_independence_day)

    day_after_independence_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=5,
        byweekday=rrule.FR,
        cache=True,
        dtstart=start,
        # starting in 2013: wednesday before independence day
        until=min(end, datetime(2012, 12, 31, tzinfo=pytz.utc))
    )
    early_close_rules.append(day_after_independence_day)

    wednesday_before_independence_day = rrule.rrule(
        rrule.MONTHLY,
        bymonth=7,
        bymonthday=3,
        byweekday=rrule.WE,
        cache=True,
        # starting in 2013
        dtstart=max(start, datetime(2013, 1, 1, tzinfo=pytz.utc)),
        until=max(end, datetime(2013, 1, 1, tzinfo=pytz.utc))
    )
    early_close_rules.append(wednesday_before_independence_day)

    early_close_ruleset = rrule.rruleset()

    for rule in early_close_rules:
        early_close_ruleset.rrule(rule)
    early_closes = early_close_ruleset.between(start, end, inc=True)

    # Misc early closings from NYSE listing.
    # http://www.nyse.com/pdfs/closings.pdf
    #
    # New Year's Eve
    nye_1999 = datetime(1999, 12, 31, tzinfo=pytz.utc)
    if start <= nye_1999 and nye_1999 <= end:
        early_closes.append(nye_1999)

    early_closes.sort()
    return pd.DatetimeIndex(early_closes)


early_closes = get_early_closes(start, end)


def get_open_and_close(day, early_closes):
    market_open = pd.Timestamp(
        datetime(
            year=day.year,
            month=day.month,
            day=day.day,
            hour=9,
            minute=31),
        tz='US/Eastern').tz_convert('UTC')
    # 1 PM if early close, 4 PM otherwise
    close_hour = 13 if day in early_closes else 16
    market_close = pd.Timestamp(
        datetime(
            year=day.year,
            month=day.month,
            day=day.day,
            hour=close_hour),
        tz='US/Eastern').tz_convert('UTC')

    return market_open, market_close


def get_open_and_closes(trading_days, early_closes, get_open_and_close):
    open_and_closes = pd.DataFrame(index=trading_days,
                                   columns=('market_open', 'market_close'))

    get_o_and_c = partial(get_open_and_close, early_closes=early_closes)

    open_and_closes['market_open'], open_and_closes['market_close'] = \
        zip(*open_and_closes.index.map(get_o_and_c))

    return open_and_closes


open_and_closes = get_open_and_closes(trading_days, early_closes,
                                      get_open_and_close)