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#
# 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
from datetime import datetime, timedelta
from dateutil import rrule
from functools import partial
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 + 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):
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)