- Changed name of folder from "exchange_calendars" to "calendars" to …

…avoid conflict with exchange_calendars package

- Merged in PR #282

docs/calendars.rst

@@ -26,13 +26,14 @@ Exchange  BSE    BSEExchangeCalendar                rakesh1988
 
 Futures Calendars
 #################
-========== ================ =================================== ============ ============
+========== ================= =================================== ============ ============
  Exchange        Name             Class                          Unit Tests    Creator
-========== ================ =================================== ============ ============
+========== ================= =================================== ============ ============
 CME        CME_Equity         CMEEquityExchangeCalendar           Yes         rsheftel
 CME        CME_Bond           CMEBondExchangeCalendar             Yes         rsheftel
-CME        CME_Agricultural   CMEAgriculturalExchangeCalendar     Yes        lionelyoung
-========== ================ =================================== ============ ============
+CME        CME_Agricultural   CMEAgriculturalExchangeCalendar     Yes         lionelyoung
+CME        CME Globex Crypto  CMEGlobexCryptoExchangeCalendar     Yes         Coinbase Asset Management
+========== ================= =================================== ============ ============
 
 Bond Market Calendars
 #####################

examples/usage.ipynb

@@ -1427,7 +1427,7 @@
     "# If you want to use the equity options exchange (8:30 - 15:00), including the order acceptance time at 7:30, and\n",
     "# some special cases when the order acceptance time was different, do this:\n",
     "\n",
-    "from pandas_market_calendars.exchange_calendar_cboe import CFEExchangeCalendar \n",
+    "from pandas_market_calendars.exchange_calendar.cboe import CFEExchangeCalendar \n",
     "\n",
     "class DemoOptionsCalendar(CFEExchangeCalendar):  # Inherit what doesn't need to change\n",
     "    name = \"Demo_Options\"\n",

pandas_market_calendars/calendar_registry.py

@@ -1,31 +1,32 @@
 from .market_calendar import MarketCalendar
-from .exchange_calendar_asx import ASXExchangeCalendar
-from .exchange_calendar_bmf import BMFExchangeCalendar
-from .exchange_calendar_cboe import CFEExchangeCalendar
-from .exchange_calendar_cme import \
+from .calendars.asx import ASXExchangeCalendar
+from .calendars.bmf import BMFExchangeCalendar
+from .calendars.bse import BSEExchangeCalendar
+from .calendars.cboe import CFEExchangeCalendar
+from .calendars.cme import \
     CMEEquityExchangeCalendar, \
     CMEBondExchangeCalendar
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
-from .exchange_calendar_cme_globex_agriculture import CMEGlobexAgricultureExchangeCalendar
-from .exchange_calendar_cme_globex_fx import CMEGlobexFXExchangeCalendar
-from .exchange_calendar_cme_globex_energy_and_metals import CMEGlobexEnergyAndMetalsExchangeCalendar
-from .exchange_calendar_cme_globex_equities import CMEGlobexEquitiesExchangeCalendar
-from .exchange_calendar_cme_globex_fixed_income import CMEGlobexFixedIncomeCalendar
-from .exchange_calendar_eurex import EUREXExchangeCalendar
-from .exchange_calendar_hkex import HKEXExchangeCalendar
-from .exchange_calendar_ice import ICEExchangeCalendar
-from .exchange_calendar_iex import IEXExchangeCalendar
-from .exchange_calendar_jpx import JPXExchangeCalendar
-from .exchange_calendar_lse import LSEExchangeCalendar
-from .exchange_calendar_nyse import NYSEExchangeCalendar
-from .exchange_calendar_ose import OSEExchangeCalendar
-from .exchange_calendar_sifma import SIFMAUSExchangeCalendar, SIFMAUKExchangeCalendar, SIFMAJPExchangeCalendar
-from .exchange_calendar_six import SIXExchangeCalendar
-from .exchange_calendar_sse import SSEExchangeCalendar
-from .exchange_calendar_tsx import TSXExchangeCalendar
-from .exchange_calendar_bse import BSEExchangeCalendar
-from .exchange_calendar_tase import TASEExchangeCalendar
-from .exchange_calendars_mirror import *
+from .calendars.cme_globex_base import CMEGlobexBaseExchangeCalendar
+from .calendars.cme_globex_agriculture import CMEGlobexAgricultureExchangeCalendar
+from .calendars.cme_globex_crypto import CMEGlobexCryptoExchangeCalendar
+from .calendars.cme_globex_energy_and_metals import CMEGlobexEnergyAndMetalsExchangeCalendar
+from .calendars.cme_globex_equities import CMEGlobexEquitiesExchangeCalendar
+from .calendars.cme_globex_fx import CMEGlobexFXExchangeCalendar
+from .calendars.cme_globex_fixed_income import CMEGlobexFixedIncomeCalendar
+from .calendars.eurex import EUREXExchangeCalendar
+from .calendars.hkex import HKEXExchangeCalendar
+from .calendars.ice import ICEExchangeCalendar
+from .calendars.iex import IEXExchangeCalendar
+from .calendars.jpx import JPXExchangeCalendar
+from .calendars.lse import LSEExchangeCalendar
+from .calendars.nyse import NYSEExchangeCalendar
+from .calendars.ose import OSEExchangeCalendar
+from .calendars.sifma import SIFMAUSExchangeCalendar, SIFMAUKExchangeCalendar, SIFMAJPExchangeCalendar
+from .calendars.six import SIXExchangeCalendar
+from .calendars.sse import SSEExchangeCalendar
+from .calendars.tase import TASEExchangeCalendar
+from .calendars.tsx import TSXExchangeCalendar
+from .calendars.mirror import *
 
 
 def get_calendar(name, open_time=None, close_time=None) -> MarketCalendar:

pandas_market_calendars/calendar_utils.py

@@ -14,7 +14,7 @@ def merge_schedules(schedules, how='outer'):
 
     CAVEATS:
         * This does not work for schedules with breaks, the break information will be lost.
-        * Onlu "market_open" and "market_close" are considered, other market times are not yet supported.
+        * Only "market_open" and "market_close" are considered, other market times are not yet supported.
 
     :param schedules: list of schedules
     :param how: outer or inner

pandas_market_calendars/exchange_calendar_asx.py → pandas_market_calendars/calendars/asx.py

@@ -3,8 +3,8 @@
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, EasterMonday
 from pytz import timezone
 
-from .holidays_oz import *
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.oz import *
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 AbstractHolidayCalendar.start_date = '2011-01-01'
 

pandas_market_calendars/exchange_calendar_bmf.py → pandas_market_calendars/calendars/bmf.py

@@ -19,7 +19,7 @@
 from pandas.tseries.holiday import AbstractHolidayCalendar, Day, Easter, GoodFriday, Holiday
 from pytz import timezone
 
-from .market_calendar import (FRIDAY, MarketCalendar)
+from pandas_market_calendars.market_calendar import (FRIDAY, MarketCalendar)
 
 # Universal Confraternization (new years day)
 ConfUniversal = Holiday(

pandas_market_calendars/exchange_calendar_bse.py → pandas_market_calendars/calendars/bse.py

@@ -5,7 +5,7 @@
 from pandas import Timestamp
 from pytz import timezone
 from datetime import time
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
 BSEClosedDay = [

pandas_market_calendars/exchange_calendar_cme.py → pandas_market_calendars/calendars/cme.py

@@ -20,10 +20,10 @@
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
 from pytz import timezone
 
-from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USNationalDaysofMourning,
-                          USNewYearsDay)
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USNationalDaysofMourning,
+                                                 USNewYearsDay)
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
 # Useful resources for making changes to this file: http://www.cmegroup.com/tools-information/holiday-calendar.html

pandas_market_calendars/exchange_calendar_cme_globex_agriculture.py → pandas_market_calendars/calendars/cme_globex_agriculture.py

@@ -13,22 +13,16 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from abc import ABC, abstractmethod
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
+from abc import abstractmethod
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
 
 from datetime import time
-from itertools import chain
 
-from pandas import Timestamp
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
-from pytz import timezone
-
-from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
-                          USNationalDaysofMourning, USNewYearsDay)
-from .market_calendar import MarketCalendar
-
 
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay,
+                                                 USNewYearsDay)
 
 
 class CMEGlobexAgricultureExchangeCalendar(CMEGlobexBaseExchangeCalendar):

pandas_market_calendars/exchange_calendar_cme_globex_base.py → pandas_market_calendars/calendars/cme_globex_base.py

@@ -15,17 +15,13 @@
 
 from abc import ABC, abstractmethod
 
-from datetime import time
-from itertools import chain
-
-from pandas import Timestamp
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
 from pytz import timezone
 
-from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
-                          USNationalDaysofMourning, USNewYearsDay)
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
+                                                 USNewYearsDay)
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
 class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
@@ -34,6 +30,7 @@ class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
 
     CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
     - Agriculture
+    - Crypto
     - Energy
     - Equity Index
     - FX

pandas_market_calendars/calendars/cme_globex_crypto.py

@@ -0,0 +1,147 @@
+import datetime as dt
+
+from pandas.tseries.holiday import AbstractHolidayCalendar
+import pytz
+
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+from pandas_market_calendars.holidays.cme import (
+    GoodFriday2021,
+    GoodFridayAfter2021,
+    GoodFridayBefore2021,
+    USIndependenceDayBefore2022PreviousDay,
+)
+from pandas_market_calendars.holidays.cme_globex import (
+    ChristmasCME,
+    USMartinLutherKingJrFrom2022,
+    USMartinLutherKingJrPre2022,
+    USPresidentsDayFrom2022,
+    USPresidentsDayPre2022,
+    USMemorialDayFrom2022,
+    USMemorialDayPre2022,
+    USJuneteenthFrom2022,
+    USIndependenceDayFrom2022,
+    USIndependenceDayPre2022,
+    USLaborDayFrom2022,
+    USLaborDayPre2022,
+    USThanksgivingDayFrom2022,
+    USThanksgivingDayPre2022,
+    USThanksgivingFridayFrom2021,
+    USThanksgivingFridayPre2021,
+)
+from pandas_market_calendars.holidays.us import (
+    ChristmasEveInOrAfter1993,
+    USNewYearsDay,
+)
+
+
+# https://github.com/rsheftel/pandas_market_calendars/blob/master/docs/new_market.rst
+class CMEGlobexCryptoExchangeCalendar(CMEGlobexBaseExchangeCalendar):
+    # The label you fetch the exchange with in mcal.get_calendar('CME Globex ...')
+    aliases = ["CME Globex Cryptocurrencies", "CME Globex Crypto"]
+
+    # https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/bitcoin.contractSpecs.html
+    regular_market_times = {
+        # Tuple[Tuple[first date used, time, offset], ...]
+        # -1 offset indicates that the open is on the previous day
+        # None for first date used marks the start, subsequent market times must have an actual timestamp
+        "market_open": (
+            (None, dt.time(17, tzinfo=pytz.timezone("America/Chicago")), -1),
+        ),
+        "market_close": (
+            (
+                None,
+                dt.time(16, tzinfo=pytz.timezone("America/Chicago")),
+            ),
+        ),
+        "break_start": (
+            (
+                None,
+                dt.time(16, tzinfo=pytz.timezone("America/Chicago")),
+            ),
+        ),
+        "break_end": (
+            (
+                None,
+                dt.time(17, tzinfo=pytz.timezone("America/Chicago")),
+            ),
+        ),
+    }
+
+    @property
+    def tz(self):
+        # Central Time
+        return pytz.timezone("America/Chicago")
+
+    @property
+    def name(self):
+        return "CME Globex Crypto"
+
+    # Check the .zip files at the bottom of this page
+    # https://www.cmegroup.com/tools-information/holiday-calendar.html?redirect=/tools-information/holiday-calendar/#cmeGlobex
+    # Note: many of the holiday objects (ie. GoodFridayBefore2021) were originally made for equities and other markets
+    #   and hence have a start_date starting before crypto is actually available
+
+    @property
+    def regular_holidays(self):
+        # Days where the market is fully closed
+        return AbstractHolidayCalendar(
+            rules=[
+                GoodFridayBefore2021,
+                GoodFridayAfter2021,
+                ChristmasCME,
+                USNewYearsDay,
+            ]
+        )
+
+    @property
+    def special_closes(self):
+        # Days where the market closes early
+        # list[Tuple[time, AbstractHolidayCalendar]]
+        return [
+            (
+                dt.time(8, 15, tzinfo=pytz.timezone("America/Chicago")),
+                AbstractHolidayCalendar(rules=[GoodFriday2021]),
+            ),
+            (
+                dt.time(12, tzinfo=pytz.timezone("America/Chicago")),
+                AbstractHolidayCalendar(
+                    rules=[
+                        USMartinLutherKingJrPre2022,
+                        USPresidentsDayPre2022,
+                        USMemorialDayPre2022,
+                        USIndependenceDayPre2022,
+                        USLaborDayPre2022,
+                        USThanksgivingDayPre2022,
+                    ]
+                ),
+            ),
+            (
+                dt.time(12, 15, tzinfo=pytz.timezone("America/Chicago")),
+                AbstractHolidayCalendar(
+                    rules=[
+                        ChristmasEveInOrAfter1993,
+                        USIndependenceDayBefore2022PreviousDay,
+                        USThanksgivingFridayPre2021,
+                    ]
+                ),
+            ),
+            (
+                dt.time(12, 45, tzinfo=pytz.timezone("America/Chicago")),
+                AbstractHolidayCalendar(rules=[USThanksgivingFridayFrom2021]),
+            ),
+            # TODO: this market already closes at 1600 normally, do we need these holidays?
+            (
+                dt.time(16, tzinfo=pytz.timezone("America/Chicago")),
+                AbstractHolidayCalendar(
+                    rules=[
+                        USMartinLutherKingJrFrom2022,
+                        USPresidentsDayFrom2022,
+                        USMemorialDayFrom2022,
+                        USJuneteenthFrom2022,
+                        USIndependenceDayFrom2022,
+                        USLaborDayFrom2022,
+                        USThanksgivingDayFrom2022,
+                    ]
+                ),
+            ),
+        ]

pandas_market_calendars/exchange_calendar_cme_globex_energy_and_metals.py → pandas_market_calendars/calendars/cme_globex_energy_and_metals.py

@@ -13,34 +13,26 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from abc import ABC, abstractmethod
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
 
 from datetime import time
-from itertools import chain
 
-import pandas as pd
-from pandas import Timestamp
 from pandas.tseries.holiday import AbstractHolidayCalendar #, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
 from pytz import timezone
 
 #from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
 #                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
 #                          USNationalDaysofMourning, USNewYearsDay)
 
-from .holidays_cme_globex import (  USNewYearsDay,
-                                    USMartinLutherKingJrFrom2022, USMartinLutherKingJrPre2022, USNewYearsDay,
-                                    USPresidentsDayFrom2022, USPresidentsDayPre2022, 
-                                    GoodFriday, 
-                                    USMemorialDayFrom2022, USMemorialDayPre2022, 
-                                    USJuneteenthFrom2022, 
-                                    USIndependenceDayFrom2022, USIndependenceDayPre2022, 
-                                    USLaborDay,
-                                    USThanksgivingDayFrom2022, USThanksgivingDayPre2022, FridayAfterThanksgiving,
-                                    ChristmasCME)                          
-from .market_calendar import MarketCalendar
-
-
+from pandas_market_calendars.holidays.cme_globex import (USMartinLutherKingJrFrom2022, USMartinLutherKingJrPre2022, USNewYearsDay,
+                                                         USPresidentsDayFrom2022, USPresidentsDayPre2022,
+                                                         GoodFriday,
+                                                         USMemorialDayFrom2022, USMemorialDayPre2022,
+                                                         USJuneteenthFrom2022,
+                                                         USIndependenceDayFrom2022, USIndependenceDayPre2022,
+                                                         USLaborDay,
+                                                         USThanksgivingDayFrom2022, USThanksgivingDayPre2022, FridayAfterThanksgiving,
+                                                         ChristmasCME)
 
 
 class CMEGlobexEnergyAndMetalsExchangeCalendar(CMEGlobexBaseExchangeCalendar):