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#
# Copyright 2014 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
from dateutil import rrule
from zipline.utils.tradingcalendar import end, canonicalize_datetime, \
get_open_and_closes
start = pd.Timestamp('1994-01-01', tz='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)
new_years_saturday = rrule.rrule(
rrule.MONTHLY,
byyearday=3,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(new_years_saturday)
# Family day in Ontario, starting in 2008, third monday of February
family_day = rrule.rrule(
rrule.MONTHLY,
bymonth=2,
byweekday=(rrule.MO(3)),
cache=True,
dtstart=datetime(2008, 1, 1, tzinfo=pytz.utc),
until=end
)
non_trading_rules.append(family_day)
good_friday = rrule.rrule(
rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(good_friday)
# Monday prior to May 25th.
victoria_day = rrule.rrule(
rrule.MONTHLY,
bymonth=5,
byweekday=rrule.MO,
bymonthday=[24, 23, 22, 21, 20, 19, 18],
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(victoria_day)
july_1st = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=1,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st)
july_1st_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=2,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st_sunday)
july_1st_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st_saturday)
civic_holiday = rrule.rrule(
rrule.MONTHLY,
bymonth=8,
byweekday=rrule.MO(1),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(civic_holiday)
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=10,
byweekday=(rrule.MO(2)),
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)
# If Christmas is a Sunday then the 26th, a Monday is observed.
# (but that would be boxing day), so the 27th is also observed.
christmas_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=27,
byweekday=rrule.TU,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_sunday)
# If Christmas is a Saturday then the 27th, a monday is observed.
christmas_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=27,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_saturday)
boxing_day = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=26,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day)
# if boxing day is a sunday, the Christmas was saturday.
# Christmas is observed on the 27th, a month and boxing day is observed
# on the 28th, a tuesday.
boxing_day_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=28,
byweekday=rrule.TU,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day_sunday)
# If boxing day is a Saturday then the 28th, a monday is observed.
boxing_day_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=28,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day_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
# The TSX was open for 71 minutes on September 11, 2011.
# It was closed on the 12th and reopened on the 13th.
# http://www.cbc.ca/news2/interactives/map-tsx/
#
# 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
non_trading_days.append(
datetime(2001, 9, 12, 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)
# Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
# --------------------------------------------------------------------
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
# to check whether exchange was open on these days.
# 1994-07-01 - July 1st, Yahoo Finance has Volume = 0
# 1996-07-01 - July 1st, Yahoo Finance has Volume = 0
# 1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
# 1997-07-01 - July 1st, Yahoo Finance has Volume = 0
# 1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
# 2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
# 2004-10-11 - Closed, Thanksgiving - Confirmed closed
# 2004-12-28 - Closed, Boxing Day - Confirmed closed
# 2012-10-08 - Closed, Thanksgiving - Confirmed closed
# Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
# --------------------------------------------------------------------
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
# to check whether exchange was open on these days.
# 2000-06-28 - No data this far back, can't confirm
# 2000-08-28 - No data this far back, can't confirm
# 2000-08-29 - No data this far back, can't confirm
# 2001-09-11 - TSE Open for 71 min.
# 2002-02-01 - Confirm TSE Open
# 2002-06-14 - Confirm TSE Open
# 2002-07-02 - Confirm TSE Open
# 2002-11-11 - TSX website has no data for 2 weeks in 2002
# 2003-07-07 - Confirm TSE Open
# 2003-12-16 - Confirm TSE Open
def get_early_closes(start, end):
# TSX closed at 1:00 PM on december 24th.
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 = []
christmas_eve = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=24,
byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR),
cache=True,
dtstart=start,
until=end
)
early_close_rules.append(christmas_eve)
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)
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
open_and_closes = get_open_and_closes(trading_days, early_closes,
get_open_and_close)
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