pandas-market-calendars 4.1.4__py3-none-any.whl → 4.2.0__py3-none-any.whl

pandas_market_calendars/exchange_calendar_cboe.py

@@ -1,115 +0,0 @@
-from datetime import time
-
-from pandas.tseries.holiday import AbstractHolidayCalendar, \
-    GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay, Holiday
-from pytz import timezone
-from itertools import chain
-import pandas as pd
-
-from .holidays_us import (Christmas, USBlackFridayInOrAfter1993, USIndependenceDay, USMartinLutherKingJrAfter1998,
-                          USMemorialDay, USNewYearsDay, HurricaneSandyClosings, USNationalDaysofMourning)
-from .market_calendar import MarketCalendar
-
-
-def good_friday_unless_christmas_nye_friday(dt):
-    """
-    Good Friday is a valid trading day if Christmas Day or New Years Day fall
-    on a Friday.
-    """
-    year_str = str(dt.year)
-    christmas_weekday = Christmas.observance(
-        pd.Timestamp(year_str+"-12-25")
-    ).weekday()
-    nyd_weekday = USNewYearsDay.observance(
-        pd.Timestamp(year_str+"-01-01")
-    ).weekday()
-    if christmas_weekday != 4 and nyd_weekday != 4:
-        return GoodFriday._apply_rule(
-            pd.Timestamp(str(dt.year)+"-"+str(dt.month)+"-"+str(dt.day))
-        )
-    else:
-        # compatibility for pandas 0.18.1
-        return pd.NaT
-
-
-GoodFridayUnlessChristmasNYEFriday = Holiday(
-    name="Good Friday CFE",
-    month=1,
-    day=1,
-    observance=good_friday_unless_christmas_nye_friday,
-)
-
-
-class CFEExchangeCalendar(MarketCalendar):
-    """
-    Exchange calendar for the CBOE Futures Exchange (CFE).
-
-    http://cfe.cboe.com/aboutcfe/expirationcalendar.aspx
-
-    Open Time: 8:30am, America/Chicago
-    Close Time: 3:15pm, America/Chicago
-
-    (We are ignoring extended trading hours for now)
-    """
-    aliases = ['CFE', "CBOE_Futures"]
-    regular_market_times = {
-        "market_open": ((None, time(8, 30)),),
-        "market_close": ((None, time(15, 15)),)
-    }
-
-
-    @property
-    def name(self):
-        return "CFE"
-
-    @property
-    def tz(self):
-        return timezone("America/Chicago")
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            USMartinLutherKingJrAfter1998,
-            USPresidentsDay,
-            GoodFridayUnlessChristmasNYEFriday,
-            USIndependenceDay,
-            USMemorialDay,
-            USLaborDay,
-            USThanksgivingDay,
-            Christmas
-        ])
-
-    @property
-    def special_closes(self):
-        return [(
-            time(12, 15),
-            AbstractHolidayCalendar(rules=[
-                USBlackFridayInOrAfter1993,
-            ])
-        )]
-
-    @property
-    def adhoc_holidays(self):
-        return list(chain(
-            HurricaneSandyClosings,
-            USNationalDaysofMourning,
-        ))
-
-class CBOEEquityOptionsExchangeCalendar(CFEExchangeCalendar):
-    name = "CBOE_Equity_Options"
-    aliases = [name]
-    regular_market_times = {
-        "market_open": ((None, time(8, 30)),),
-        "market_close": ((None, time(15)),)
-    }
-
-class CBOEIndexOptionsExchangeCalendar(CFEExchangeCalendar):
-    name = "CBOE_Index_Options"
-    aliases = [name]
-    regular_market_times = {
-        "market_open": ((None, time(8, 30)),),
-        "market_close": ((None, time(15, 15)),)
-    }
-
-

pandas_market_calendars/exchange_calendar_cme.py

@@ -1,240 +0,0 @@
-#
-# Copyright 2016 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.
-
-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, USNationalDaysofMourning,
-                          USNewYearsDay)
-from .market_calendar import MarketCalendar
-
-
-# Useful resources for making changes to this file: http://www.cmegroup.com/tools-information/holiday-calendar.html
-# The CME has different holiday rules depending on the type of instrument.
-# For example, http://www.cmegroup.com/tools-information/holiday-calendar/files/2016-4th-of-july-holiday-schedule.pdf # noqa
-# shows that Equity, Interest Rate, FX, Energy, Metals & DME Products close at 1200 CT on July 4, 2016, while Grain,
-# Oilseed & MGEX Products and Livestock, Dairy & Lumber products are completely closed.
-
-
-class CMEEquityExchangeCalendar(MarketCalendar):
-    """
-    Exchange calendar for CME for Equity products
-
-    Open Time: 6:00 PM, America/New_York / 5:00 PM Chicago
-    Close Time: 5:00 PM, America/New_York / 4:00 PM Chicago
-    Break: 4:15 - 4:30pm America/New_York / 3:15 - 3:30 PM Chicago
-    """
-    aliases = ['CME_Equity', 'CBOT_Equity']
-    regular_market_times = {
-        "market_open": ((None, time(17), -1),), # offset by -1 day
-        "market_close": ((None, time(16)),),
-        "break_start": ((None, time(15,15)),),
-        "break_end": ((None, time(15,30)),)
-    }
-
-    @property
-    def name(self):
-        return "CME_Equity"
-
-    @property
-    def tz(self):
-        return timezone('America/Chicago')
-
-    @property
-    def regular_holidays(self):
-        # Many days that are holidays for the NYSE are an early close day for CME
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            GoodFriday,
-            Christmas,
-        ])
-
-    @property
-    def adhoc_holidays(self):
-        return USNationalDaysofMourning
-
-    @property
-    def special_closes(self):
-        return [(
-            time(12),
-            AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter1998,
-                USPresidentsDay,
-                USMemorialDay,
-                USLaborDay,
-                USIndependenceDay,
-                USThanksgivingDay,
-                USBlackFridayInOrAfter1993,
-                ChristmasEveBefore1993,
-                ChristmasEveInOrAfter1993,
-            ])
-        )]
-
-
-
-class CMEAgricultureExchangeCalendar(MarketCalendar):
-    """
-    Exchange calendar for CME for Agriculture products
-
-    Open Time: 5:00 PM, America/Chicago
-    Close Time: 5:00 PM, America/Chicago
-
-    Regularly-Observed Holidays:
-    - New Years Day
-    - Good Friday
-    - Christmas
-    """
-    aliases = ['CME_Agriculture', 'CBOT_Agriculture', 'COMEX_Agriculture', 'NYMEX_Agriculture']
-    regular_market_times = {
-        "market_open": ((None, time(17, 1), -1),), # offset by -1 day
-        "market_close": ((None, time(17)),)
-    }
-
-    @property
-    def name(self):
-        return "CME_Agriculture"
-
-    @property
-    def tz(self):
-        return timezone('America/Chicago')
-
-    @property
-    def regular_holidays(self):
-        # Ignore gap between 13:20 CST and 14:30 CST for regular trading hours
-        #
-        # The CME has different holiday rules depending on the type of
-        # instrument. For example, http://www.cmegroup.com/tools-information/holiday-calendar/files/2016-4th-of-july-holiday-schedule.pdf # noqa
-        # shows that Equity, Interest Rate, FX, Energy, Metals & DME Products
-        # close at 1200 CT on July 4, 2016, while Grain, Oilseed & MGEX
-        # Products and Livestock, Dairy & Lumber products are completely
-        # closed.
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            USMartinLutherKingJrAfter1998,
-            USPresidentsDay,
-            GoodFriday,
-            USMemorialDay,
-            USIndependenceDay,
-            USLaborDay,
-            USThanksgivingDay,
-            Christmas,
-        ])
-
-    @property
-    def adhoc_holidays(self):
-        return USNationalDaysofMourning
-
-    @property
-    def special_closes(self):
-        return [(
-            time(12),
-            AbstractHolidayCalendar(rules=[
-                USBlackFridayInOrAfter1993,
-                ChristmasEveBefore1993,
-                ChristmasEveInOrAfter1993,
-            ])
-        )]
-
-
-# For the bond market Good Friday that coincides with the release of NFP on the first friday of the month is an open day
-goodFridayClosed = ['1970-03-27', '1971-04-09', '1972-03-31', '1973-04-20', '1974-04-12', '1975-03-28', '1976-04-16',
-                    '1977-04-08', '1978-03-24', '1979-04-13', '1981-04-17', '1982-04-09', '1984-04-20', '1986-03-28',
-                    '1987-04-17', '1989-03-24', '1990-04-13', '1991-03-29', '1992-04-17', '1993-04-09', '1995-04-14',
-                    '1997-03-28', '1998-04-10', '2000-04-21', '2001-04-13', '2002-03-29', '2003-04-18', '2004-04-09',
-                    '2005-03-25', '2006-04-14', '2008-03-21', '2009-04-10', '2011-04-22', '2013-03-29', '2014-04-18',
-                    '2016-03-25', '2017-04-14', '2018-03-30', '2019-04-19', '2020-04-10', '2022-04-15', '2024-03-29',
-                    '2025-04-18', '2027-03-26', '2028-04-14', '2029-03-30', '2030-04-19', '2031-04-11', '2032-03-26',
-                    '2033-04-15', '2035-03-23', '2036-04-11', '2038-04-23', '2039-04-08', '2040-03-30', '2041-04-19',
-                    '2043-03-27', '2044-04-15', '2046-03-23', '2047-04-12', '2049-04-16', '2050-04-08', '2051-03-31',
-                    '2052-04-19', '2054-03-27', '2055-04-16', '2056-03-31', '2057-04-20', '2058-04-12', '2059-03-28',
-                    '2060-04-16', '2061-04-08', '2062-03-24', '2063-04-13', '2065-03-27', '2066-04-09', '2068-04-20',
-                    '2069-04-12', '2070-03-28', '2071-04-17', '2072-04-08', '2073-03-24', '2074-04-13', '2076-04-17',
-                    '2077-04-09', '2079-04-21', '2081-03-28', '2082-04-17', '2084-03-24', '2085-04-13', '2086-03-29',
-                    '2087-04-18', '2088-04-09', '2090-04-14', '2092-03-28', '2093-04-10', '2095-04-22', '2096-04-13',
-                    '2097-03-29', '2098-04-18', '2099-04-10']
-
-BondsGoodFridayClosed = [Timestamp(x, tz='UTC') for x in goodFridayClosed]
-
-goodFridayOpen = ['1980-04-04', '1983-04-01', '1985-04-05', '1988-04-01', '1994-04-01', '1996-04-05', '1999-04-02',
-                  '2007-04-06', '2010-04-02', '2012-04-06', '2015-04-03', '2021-04-02', '2023-04-07', '2026-04-03',
-                  '2034-04-07', '2037-04-03', '2042-04-04', '2045-04-07', '2048-04-03', '2053-04-04', '2064-04-04',
-                  '2067-04-01', '2075-04-05', '2078-04-01', '2080-04-05', '2083-04-02', '2089-04-01', '2091-04-06',
-                  '2094-04-02']
-
-BondsGoodFridayOpen = [Timestamp(x, tz='UTC') for x in goodFridayOpen]
-
-
-class CMEBondExchangeCalendar(MarketCalendar):
-    """
-    Exchange calendar for CME for Interest Rate and Bond products
-
-    The Holiday calendar is different between the open outcry trading floor hours and GLOBEX electronic trading hours.
-    This calendar attempts to be accurate for the GLOBEX holidays and hours from approx 2010 onward.
-    """
-    aliases = ['CME_Rate', 'CBOT_Rate', 'CME_InterestRate', 'CBOT_InterestRate', 'CME_Bond', 'CBOT_Bond']
-    regular_market_times = {
-        "market_open": ((None, time(17), -1),), # offset by -1 day
-        "market_close": ((None, time(16)),)
-    }
-
-    @property
-    def name(self):
-        return "CME_Bond"
-
-    @property
-    def tz(self):
-        return timezone('America/Chicago')
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            Christmas,
-        ])
-
-    @property
-    def adhoc_holidays(self):
-        return list(chain(USNationalDaysofMourning, BondsGoodFridayClosed))
-
-    @property
-    def special_closes(self):
-        return [
-            (time(12),
-             AbstractHolidayCalendar(rules=[
-                 USMartinLutherKingJrAfter1998,
-                 USPresidentsDay,
-                 USMemorialDay,
-                 USIndependenceDay,
-                 USLaborDay,
-                 USThanksgivingDay,
-             ])),
-            (time(12, 15),
-             AbstractHolidayCalendar(rules=[
-                 USBlackFridayInOrAfter1993,
-                 ChristmasEveBefore1993,
-                 ChristmasEveInOrAfter1993,
-             ]))
-        ]
-
-    @property
-    def special_closes_adhoc(self):
-        return [
-            (time(10, tzinfo=self.tz), BondsGoodFridayOpen)
-        ]

pandas_market_calendars/exchange_calendar_cme_globex_agriculture.py

@@ -1,109 +0,0 @@
-#
-# Copyright 2016 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.
-
-from abc import ABC, abstractmethod
-from .exchange_calendar_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
-
-
-
-
-class CMEGlobexAgricultureExchangeCalendar(CMEGlobexBaseExchangeCalendar):
-    """
-    Exchange calendar for CME for Agriculture products
-
-    Products:
-    - Grains and Oilseeds (same trading hours and holidays)
-    - Livestock
-    - Dairy
-    - Fertilizer
-    - Lumber and Softs
-
-
-     """
-
-    @property
-    @abstractmethod 
-    def name(self):
-        """
-        Name of the market
-
-        :return: string name
-        """
-        raise NotImplementedError()
-
-
-class CMEGlobexLivestockExchangeCalendar(CMEGlobexAgricultureExchangeCalendar):
-    """
-    Exchange calendar for CME for Livestock products
-
-    https://www.cmegroup.com/trading/agricultural/livestock.html
-
-    GLOBEX Trading Times
-    https://www.cmegroup.com/markets/agriculture/livestock/live-cattle.contractSpecs.html
-    Monday - Friday: 8:30 a.m. - 1:05 p.m. CT
-    """
-    aliases = ['CMEGlobex_Livestock', 'CMEGlobex_Live_Cattle', 'CMEGlobex_Feeder_Cattle', 'CMEGlobex_Lean_Hog', 'CMEGlobex_Port_Cutout']
-
-    regular_market_times = {
-        "market_open": ((None, time(8, 30)),),
-        "market_close": ((None, time(13, 5)),)
-    }
-
-    @property
-    def name(self):
-        return "CMEGlobex_Livestock"
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            USMartinLutherKingJrAfter1998,
-            USPresidentsDay,
-            GoodFriday,
-            USMemorialDay,
-            USIndependenceDay,
-            USLaborDay,
-            USThanksgivingDay,
-            Christmas,
-        ])
-
-    # @property
-    # def adhoc_holidays(self):
-    #     return USNationalDaysofMourning
-
-    @property
-    def special_closes(self):
-        return [(
-            time(12, 5),
-            AbstractHolidayCalendar(rules=[
-                USBlackFridayInOrAfter1993,
-                ChristmasEveBefore1993,
-                ChristmasEveInOrAfter1993,
-            ])
-        )]
-
-

pandas_market_calendars/exchange_calendar_cme_globex_base.py

@@ -1,106 +0,0 @@
-#
-# Copyright 2016 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.
-
-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
-
-
-class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
-    """
-    Base Exchange Calendar for CME.
-
-    CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
-    - Agriculture
-    - Energy
-    - Equity Index
-    - FX
-    - Interest Rates
-    - Metals
-    - Options
-
-    Holiays for which entire GLOBEX is closed:
-    - New Years Day
-    - Good Friday
-    - Christmas
-
-    Product Specific Closures:
-    - MLK Day
-    - Presidents Day
-    - Memorial Day
-    - Juneteenth
-    - US Independence Day
-    - US Labor Day
-    - US Thanksgiving Day
-    """
-    @property
-    @abstractmethod
-    def name(self):
-        """
-        Name of the market
-
-        :return: string name
-        """
-        raise NotImplementedError()
-
-    @property
-    def tz(self):
-        return timezone('America/Chicago')
-
-    @property
-    def regular_holidays(self):
-         return AbstractHolidayCalendar(rules=[
-            USNewYearsDay,
-            GoodFriday,
-            Christmas,
-        ])
-
-    # I can't find any reference to these special closings onther than NYSE
-    # @property
-    # def adhoc_holidays(self):
-    #     return USNationalDaysofMourning
- 
-    @property
-    def special_closes(self):
-        return [(
-            self.special_close_time,
-            AbstractHolidayCalendar(rules=[
-                USMartinLutherKingJrAfter1998,
-                USPresidentsDay,
-                USMemorialDay,
-                USJuneteenthAfter2022,
-                USLaborDay,
-                USIndependenceDay,
-                USThanksgivingDay,
-                USBlackFridayInOrAfter1993,
-                ChristmasEveBefore1993,
-                ChristmasEveInOrAfter1993,
-            ])
-        )]
-
-
-
-
-