pandas-market-calendars 4.2.1__py3-none-any.whl → 4.3.1__py3-none-any.whl
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- pandas_market_calendars/calendar_registry.py +26 -25
- pandas_market_calendars/calendar_utils.py +1 -1
- pandas_market_calendars/calendars/__init__.py +0 -0
- pandas_market_calendars/{exchange_calendar_asx.py → calendars/asx.py} +2 -2
- pandas_market_calendars/{exchange_calendar_bmf.py → calendars/bmf.py} +1 -1
- pandas_market_calendars/{exchange_calendar_bse.py → calendars/bse.py} +1 -1
- pandas_market_calendars/{exchange_calendar_cboe.py → calendars/cboe.py} +15 -16
- pandas_market_calendars/{exchange_calendar_cme.py → calendars/cme.py} +4 -4
- pandas_market_calendars/{exchange_calendar_cme_globex_agriculture.py → calendars/cme_globex_agriculture.py} +5 -11
- pandas_market_calendars/{exchange_calendar_cme_globex_base.py → calendars/cme_globex_base.py} +5 -8
- pandas_market_calendars/calendars/cme_globex_crypto.py +147 -0
- pandas_market_calendars/{exchange_calendar_cme_globex_energy_and_metals.py → calendars/cme_globex_energy_and_metals.py} +10 -18
- pandas_market_calendars/{exchange_calendar_cme_globex_equities.py → calendars/cme_globex_equities.py} +3 -3
- pandas_market_calendars/{exchange_calendar_cme_globex_fixed_income.py → calendars/cme_globex_fixed_income.py} +3 -4
- pandas_market_calendars/{exchange_calendar_cme_globex_fx.py → calendars/cme_globex_fx.py} +3 -3
- pandas_market_calendars/{exchange_calendar_eurex.py → calendars/eurex.py} +1 -1
- pandas_market_calendars/{exchange_calendar_hkex.py → calendars/hkex.py} +3 -3
- pandas_market_calendars/{exchange_calendar_ice.py → calendars/ice.py} +3 -3
- pandas_market_calendars/{exchange_calendar_iex.py → calendars/iex.py} +2 -2
- pandas_market_calendars/{exchange_calendar_jpx.py → calendars/jpx.py} +3 -3
- pandas_market_calendars/{exchange_calendar_lse.py → calendars/lse.py} +2 -2
- pandas_market_calendars/{exchange_calendars_mirror.py → calendars/mirror.py} +2 -2
- pandas_market_calendars/{exchange_calendar_nyse.py → calendars/nyse.py} +2 -2
- pandas_market_calendars/{exchange_calendar_ose.py → calendars/ose.py} +1 -1
- pandas_market_calendars/{exchange_calendar_sifma.py → calendars/sifma.py} +7 -10
- pandas_market_calendars/{exchange_calendar_six.py → calendars/six.py} +1 -1
- pandas_market_calendars/{exchange_calendar_sse.py → calendars/sse.py} +2 -2
- pandas_market_calendars/{exchange_calendar_tase.py → calendars/tase.py} +1 -1
- pandas_market_calendars/{exchange_calendar_tsx.py → calendars/tsx.py} +2 -2
- pandas_market_calendars/holidays/__init__.py +0 -0
- pandas_market_calendars/{holidays_cme.py → holidays/cme.py} +3 -4
- pandas_market_calendars/{holidays_cme_globex.py → holidays/cme_globex.py} +35 -6
- pandas_market_calendars/{holidays_jp.py → holidays/jp.py} +1 -1
- pandas_market_calendars/{holidays_nyse.py → holidays/nyse.py} +3 -5
- pandas_market_calendars/{holidays_us.py → holidays/us.py} +1 -5
- pandas_market_calendars/market_calendar.py +28 -9
- {pandas_market_calendars-4.2.1.dist-info → pandas_market_calendars-4.3.1.dist-info}/METADATA +4 -7
- pandas_market_calendars-4.3.1.dist-info/RECORD +49 -0
- pandas_market_calendars-4.2.1.dist-info/RECORD +0 -46
- /pandas_market_calendars/{holidays_cn.py → holidays/cn.py} +0 -0
- /pandas_market_calendars/{jpx_equinox.py → holidays/jpx_equinox.py} +0 -0
- /pandas_market_calendars/{holidays_oz.py → holidays/oz.py} +0 -0
- /pandas_market_calendars/{holidays_sifma.py → holidays/sifma.py} +0 -0
- /pandas_market_calendars/{holidays_uk.py → holidays/uk.py} +0 -0
- {pandas_market_calendars-4.2.1.dist-info → pandas_market_calendars-4.3.1.dist-info}/LICENSE +0 -0
- {pandas_market_calendars-4.2.1.dist-info → pandas_market_calendars-4.3.1.dist-info}/NOTICE +0 -0
- {pandas_market_calendars-4.2.1.dist-info → pandas_market_calendars-4.3.1.dist-info}/WHEEL +0 -0
- {pandas_market_calendars-4.2.1.dist-info → pandas_market_calendars-4.3.1.dist-info}/top_level.txt +0 -0
@@ -1,31 +1,32 @@
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from .market_calendar import MarketCalendar
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from .
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from .
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from .calendars.asx import ASXExchangeCalendar
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from .calendars.bmf import BMFExchangeCalendar
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from .calendars.bse import BSEExchangeCalendar
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from .calendars.cboe import CFEExchangeCalendar
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from .calendars.cme import \
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CMEEquityExchangeCalendar, \
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CMEBondExchangeCalendar
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from .
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from .calendars.cme_globex_base import CMEGlobexBaseExchangeCalendar
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from .calendars.cme_globex_agriculture import CMEGlobexAgricultureExchangeCalendar
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from .calendars.cme_globex_crypto import CMEGlobexCryptoExchangeCalendar
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from .calendars.cme_globex_energy_and_metals import CMEGlobexEnergyAndMetalsExchangeCalendar
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from .calendars.cme_globex_equities import CMEGlobexEquitiesExchangeCalendar
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from .calendars.cme_globex_fx import CMEGlobexFXExchangeCalendar
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from .calendars.cme_globex_fixed_income import CMEGlobexFixedIncomeCalendar
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from .calendars.eurex import EUREXExchangeCalendar
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from .calendars.hkex import HKEXExchangeCalendar
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from .calendars.ice import ICEExchangeCalendar
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from .calendars.iex import IEXExchangeCalendar
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from .calendars.jpx import JPXExchangeCalendar
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from .calendars.lse import LSEExchangeCalendar
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from .calendars.nyse import NYSEExchangeCalendar
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from .calendars.ose import OSEExchangeCalendar
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from .calendars.sifma import SIFMAUSExchangeCalendar, SIFMAUKExchangeCalendar, SIFMAJPExchangeCalendar
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from .calendars.six import SIXExchangeCalendar
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from .calendars.sse import SSEExchangeCalendar
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from .calendars.tase import TASEExchangeCalendar
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from .calendars.tsx import TSXExchangeCalendar
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from .calendars.mirror import *
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def get_calendar(name, open_time=None, close_time=None) -> MarketCalendar:
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CAVEATS:
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* This does not work for schedules with breaks, the break information will be lost.
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*
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* Only "market_open" and "market_close" are considered, other market times are not yet supported.
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:param schedules: list of schedules
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:param how: outer or inner
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from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, EasterMonday
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from pytz import timezone
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from .
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from .market_calendar import MarketCalendar
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from pandas_market_calendars.holidays.oz import *
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from pandas_market_calendars.market_calendar import MarketCalendar
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AbstractHolidayCalendar.start_date = '2011-01-01'
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from pandas.tseries.holiday import AbstractHolidayCalendar, Day, Easter, GoodFriday, Holiday
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from pytz import timezone
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from .market_calendar import (FRIDAY, MarketCalendar)
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from pandas_market_calendars.market_calendar import (FRIDAY, MarketCalendar)
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# Universal Confraternization (new years day)
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ConfUniversal = Holiday(
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from itertools import chain
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import pandas as pd
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from pandas_market_calendars.holidays.us import (Christmas, USBlackFridayInOrAfter1993, USIndependenceDay, USMartinLutherKingJrAfter1998,
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USMemorialDay, USNewYearsDay, HurricaneSandyClosings, USNationalDaysofMourning,
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USJuneteenthAfter2022)
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from pandas_market_calendars.market_calendar import MarketCalendar
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# TODO: In pandas 2.0.3 this no longer works as the dt passed in is the entire matrix and not a single date
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def good_friday_unless_christmas_nye_friday(dt):
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"""
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Good Friday is a valid trading day if Christmas Day or New Years Day fall
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on a Friday.
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"""
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if isinstance(dt, pd.DatetimeIndex):
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# Pandas < 2.1.0 will call with an index and fall-back to element by element
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# Pandas == 2.1.0 will only call element by element
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raise NotImplementedError()
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year = dt.year
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christmas_weekday = Christmas.observance(
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nyd_weekday = USNewYearsDay.observance(
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pd.Timestamp(year, 1, 1)
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).weekday()
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christmas_weekday = Christmas.observance(pd.Timestamp(year=year, month=12, day=25)).weekday()
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nyd_weekday = USNewYearsDay.observance(pd.Timestamp(year=year, month=1, day=1)).weekday()
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if christmas_weekday != 4 and nyd_weekday != 4:
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return GoodFriday.
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return GoodFriday.dates(pd.Timestamp(year=year, month=1, day=1), pd.Timestamp(year=year, month=12, day=31))[0]
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else:
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#
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# Not a holiday so use NaT to ensure it gets removed
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USNewYearsDay,
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USMartinLutherKingJrAfter1998,
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USPresidentsDay,
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GoodFridayUnlessChristmasNYEFriday,
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USJuneteenthAfter2022,
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USIndependenceDay,
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USMemorialDay,
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USLaborDay,
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"market_open": ((None, time(8, 30)),),
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"market_close": ((None, time(15, 15)),)
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}
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from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
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from .market_calendar import MarketCalendar
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from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
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USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USNationalDaysofMourning,
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USNewYearsDay)
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from pandas_market_calendars.market_calendar import MarketCalendar
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# Useful resources for making changes to this file: http://www.cmegroup.com/tools-information/holiday-calendar.html
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from abc import
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from abc import abstractmethod
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from .cme_globex_base import CMEGlobexBaseExchangeCalendar
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from datetime import time
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from itertools import chain
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from pandas import Timestamp
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from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
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from pytz import timezone
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from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
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USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
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USNationalDaysofMourning, USNewYearsDay)
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from .market_calendar import MarketCalendar
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from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
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USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay,
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USNewYearsDay)
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class CMEGlobexAgricultureExchangeCalendar(CMEGlobexBaseExchangeCalendar):
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pandas_market_calendars/{exchange_calendar_cme_globex_base.py → calendars/cme_globex_base.py}
RENAMED
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from abc import ABC, abstractmethod
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from .market_calendar import MarketCalendar
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from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
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USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
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USNewYearsDay)
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from pandas_market_calendars.market_calendar import MarketCalendar
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class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
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CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
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- Agriculture
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- Crypto
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- Energy
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- Equity Index
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- FX
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import datetime as dt
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from pandas.tseries.holiday import AbstractHolidayCalendar
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import pytz
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from .cme_globex_base import CMEGlobexBaseExchangeCalendar
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from pandas_market_calendars.holidays.cme import (
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GoodFriday2021,
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GoodFridayAfter2021,
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GoodFridayBefore2021,
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USIndependenceDayBefore2022PreviousDay,
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)
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from pandas_market_calendars.holidays.cme_globex import (
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ChristmasCME,
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USMartinLutherKingJrFrom2022,
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USMartinLutherKingJrPre2022,
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USPresidentsDayFrom2022,
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USPresidentsDayPre2022,
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USMemorialDayFrom2022,
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USMemorialDayPre2022,
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USJuneteenthFrom2022,
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USIndependenceDayFrom2022,
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USIndependenceDayPre2022,
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USLaborDayFrom2022,
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USLaborDayPre2022,
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USThanksgivingDayFrom2022,
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USThanksgivingDayPre2022,
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USThanksgivingFridayFrom2021,
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USThanksgivingFridayPre2021,
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)
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from pandas_market_calendars.holidays.us import (
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ChristmasEveInOrAfter1993,
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USNewYearsDay,
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)
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# https://github.com/rsheftel/pandas_market_calendars/blob/master/docs/new_market.rst
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class CMEGlobexCryptoExchangeCalendar(CMEGlobexBaseExchangeCalendar):
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# The label you fetch the exchange with in mcal.get_calendar('CME Globex ...')
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aliases = ["CME Globex Cryptocurrencies", "CME Globex Crypto"]
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# https://www.cmegroup.com/markets/cryptocurrencies/bitcoin/bitcoin.contractSpecs.html
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regular_market_times = {
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# Tuple[Tuple[first date used, time, offset], ...]
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# -1 offset indicates that the open is on the previous day
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# None for first date used marks the start, subsequent market times must have an actual timestamp
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"market_open": (
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(None, dt.time(17, tzinfo=pytz.timezone("America/Chicago")), -1),
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),
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"market_close": (
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(
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None,
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dt.time(16, tzinfo=pytz.timezone("America/Chicago")),
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),
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),
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"break_start": (
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(
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None,
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dt.time(16, tzinfo=pytz.timezone("America/Chicago")),
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),
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),
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"break_end": (
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(
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dt.time(17, tzinfo=pytz.timezone("America/Chicago")),
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),
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),
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}
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def tz(self):
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# Central Time
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@property
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def name(self):
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return "CME Globex Crypto"
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# Check the .zip files at the bottom of this page
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# https://www.cmegroup.com/tools-information/holiday-calendar.html?redirect=/tools-information/holiday-calendar/#cmeGlobex
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# Note: many of the holiday objects (ie. GoodFridayBefore2021) were originally made for equities and other markets
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# and hence have a start_date starting before crypto is actually available
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@property
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def regular_holidays(self):
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# Days where the market is fully closed
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return AbstractHolidayCalendar(
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rules=[
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GoodFridayBefore2021,
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GoodFridayAfter2021,
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ChristmasCME,
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USNewYearsDay,
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]
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)
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@property
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def special_closes(self):
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# list[Tuple[time, AbstractHolidayCalendar]]
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return [
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(
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dt.time(8, 15, tzinfo=pytz.timezone("America/Chicago")),
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AbstractHolidayCalendar(rules=[GoodFriday2021]),
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),
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(
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dt.time(12, tzinfo=pytz.timezone("America/Chicago")),
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AbstractHolidayCalendar(
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rules=[
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USMartinLutherKingJrPre2022,
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USPresidentsDayPre2022,
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USMemorialDayPre2022,
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USIndependenceDayPre2022,
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USLaborDayPre2022,
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USThanksgivingDayPre2022,
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]
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),
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),
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(
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dt.time(12, 15, tzinfo=pytz.timezone("America/Chicago")),
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AbstractHolidayCalendar(
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rules=[
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ChristmasEveInOrAfter1993,
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USIndependenceDayBefore2022PreviousDay,
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USThanksgivingFridayPre2021,
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]
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),
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),
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(
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dt.time(12, 45, tzinfo=pytz.timezone("America/Chicago")),
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AbstractHolidayCalendar(rules=[USThanksgivingFridayFrom2021]),
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),
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# TODO: this market already closes at 1600 normally, do we need these holidays?
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(
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dt.time(16, tzinfo=pytz.timezone("America/Chicago")),
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AbstractHolidayCalendar(
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rules=[
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USMartinLutherKingJrFrom2022,
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USPresidentsDayFrom2022,
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USMemorialDayFrom2022,
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USJuneteenthFrom2022,
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USIndependenceDayFrom2022,
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USLaborDayFrom2022,
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USThanksgivingDayFrom2022,
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]
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),
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),
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]
|
@@ -13,14 +13,10 @@
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# See the License for the specific language governing permissions and
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# limitations under the License.
|
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from
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from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
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from .cme_globex_base import CMEGlobexBaseExchangeCalendar
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from datetime import time
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from itertools import chain
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import pandas as pd
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from pandas import Timestamp
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from pandas.tseries.holiday import AbstractHolidayCalendar #, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
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from pytz import timezone
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22
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@@ -28,19 +24,15 @@ from pytz import timezone
|
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# USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
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# USNationalDaysofMourning, USNewYearsDay)
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from .
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-
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ChristmasCME)
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from .market_calendar import MarketCalendar
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-
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-
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from pandas_market_calendars.holidays.cme_globex import (USMartinLutherKingJrFrom2022, USMartinLutherKingJrPre2022, USNewYearsDay,
|
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USPresidentsDayFrom2022, USPresidentsDayPre2022,
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GoodFriday,
|
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USMemorialDayFrom2022, USMemorialDayPre2022,
|
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USJuneteenthFrom2022,
|
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USIndependenceDayFrom2022, USIndependenceDayPre2022,
|
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USLaborDay,
|
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USThanksgivingDayFrom2022, USThanksgivingDayPre2022, FridayAfterThanksgiving,
|
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+
ChristmasCME)
|
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36
|
|
45
37
|
|
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38
|
class CMEGlobexEnergyAndMetalsExchangeCalendar(CMEGlobexBaseExchangeCalendar):
|
@@ -1,10 +1,10 @@
|
|
1
|
-
from .
|
1
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+
from .cme_globex_base import CMEGlobexBaseExchangeCalendar
|
2
2
|
|
3
3
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from datetime import time
|
4
4
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from pandas.tseries.holiday import AbstractHolidayCalendar
|
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5
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from pytz import timezone
|
6
6
|
|
7
|
-
from pandas_market_calendars.
|
7
|
+
from pandas_market_calendars.holidays.cme import (
|
8
8
|
USMartinLutherKingJrAfter1998Before2015,
|
9
9
|
USMartinLutherKingJrAfter2015,
|
10
10
|
USPresidentsDayBefore2015,
|
@@ -26,7 +26,7 @@ from pandas_market_calendars.holidays_cme import (
|
|
26
26
|
USThanksgivingAfter2014,
|
27
27
|
USThanksgivingFriday,
|
28
28
|
)
|
29
|
-
from pandas_market_calendars.
|
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from pandas_market_calendars.holidays.us import (
|
30
30
|
USNewYearsDay,
|
31
31
|
ChristmasEveInOrAfter1993,
|
32
32
|
Christmas,
|
@@ -1,10 +1,9 @@
|
|
1
|
-
from .
|
1
|
+
from .cme_globex_base import CMEGlobexBaseExchangeCalendar
|
2
2
|
|
3
3
|
from datetime import time
|
4
4
|
from pandas.tseries.holiday import AbstractHolidayCalendar
|
5
|
-
from pytz import timezone
|
6
5
|
|
7
|
-
from pandas_market_calendars.
|
6
|
+
from pandas_market_calendars.holidays.cme import (
|
8
7
|
USMartinLutherKingJrAfter1998Before2015,
|
9
8
|
USMartinLutherKingJrAfter1998Before2016FridayBefore,
|
10
9
|
USMartinLutherKingJrAfter2015,
|
@@ -30,7 +29,7 @@ from pandas_market_calendars.holidays_cme import (
|
|
30
29
|
USThanksgivingAfter2014,
|
31
30
|
USThanksgivingFriday,
|
32
31
|
)
|
33
|
-
from pandas_market_calendars.
|
32
|
+
from pandas_market_calendars.holidays.us import (
|
34
33
|
USNewYearsDay,
|
35
34
|
ChristmasEveInOrAfter1993,
|
36
35
|
Christmas,
|
@@ -2,8 +2,8 @@ from datetime import time
|
|
2
2
|
|
3
3
|
from pandas.tseries.holiday import AbstractHolidayCalendar
|
4
4
|
|
5
|
-
from pandas_market_calendars.
|
6
|
-
from pandas_market_calendars.
|
5
|
+
from pandas_market_calendars.calendars.cme_globex_base import CMEGlobexBaseExchangeCalendar
|
6
|
+
from pandas_market_calendars.holidays.cme import (
|
7
7
|
USMartinLutherKingJrAfter1998Before2022,
|
8
8
|
USPresidentsDayBefore2022,
|
9
9
|
GoodFridayBefore2021,
|
@@ -15,7 +15,7 @@ from pandas_market_calendars.holidays_cme import (
|
|
15
15
|
USThanksgivingBefore2022,
|
16
16
|
USThanksgivingFriday,
|
17
17
|
)
|
18
|
-
from pandas_market_calendars.
|
18
|
+
from pandas_market_calendars.holidays.us import (
|
19
19
|
USNewYearsDay,
|
20
20
|
ChristmasEveInOrAfter1993,
|
21
21
|
Christmas,
|
@@ -7,7 +7,7 @@ from datetime import time
|
|
7
7
|
from pandas.tseries.holiday import AbstractHolidayCalendar, EasterMonday, GoodFriday, Holiday, previous_friday
|
8
8
|
from pytz import timezone
|
9
9
|
|
10
|
-
from .market_calendar import (FRIDAY, MONDAY, MarketCalendar, THURSDAY, TUESDAY, WEDNESDAY)
|
10
|
+
from pandas_market_calendars.market_calendar import (FRIDAY, MONDAY, MarketCalendar, THURSDAY, TUESDAY, WEDNESDAY)
|
11
11
|
|
12
12
|
# New Year's Eve
|
13
13
|
EUREXNewYearsEve = Holiday(
|
@@ -6,9 +6,9 @@ from pandas.tseries.holiday import AbstractHolidayCalendar, EasterMonday, GoodFr
|
|
6
6
|
from pandas.tseries.offsets import LastWeekOfMonth, WeekOfMonth
|
7
7
|
from pytz import timezone
|
8
8
|
|
9
|
-
from pandas_market_calendars.
|
10
|
-
from .
|
11
|
-
from .market_calendar import MarketCalendar
|
9
|
+
from pandas_market_calendars.holidays.us import USNewYearsDay
|
10
|
+
from pandas_market_calendars.holidays.cn import bsd_mapping, dbf_mapping, dnf_mapping, maf_mapping, sf_mapping, tsd_mapping
|
11
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
12
12
|
|
13
13
|
|
14
14
|
def process_date(dt, mapping=None, func=None, delta=None, offset=None):
|
@@ -5,9 +5,9 @@ from pandas import Timestamp
|
|
5
5
|
from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
|
6
6
|
from pytz import timezone
|
7
7
|
|
8
|
-
from .
|
9
|
-
|
10
|
-
from .market_calendar import MarketCalendar
|
8
|
+
from pandas_market_calendars.holidays.us import (Christmas, USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay,
|
9
|
+
USNationalDaysofMourning, USNewYearsDay)
|
10
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
11
11
|
|
12
12
|
|
13
13
|
class ICEExchangeCalendar(MarketCalendar):
|
@@ -1,10 +1,10 @@
|
|
1
1
|
from datetime import time
|
2
2
|
from itertools import chain
|
3
|
-
from .
|
3
|
+
from .nyse import NYSEExchangeCalendar
|
4
4
|
from pandas.tseries.holiday import AbstractHolidayCalendar
|
5
5
|
from pytz import timezone
|
6
6
|
|
7
|
-
from pandas_market_calendars.
|
7
|
+
from pandas_market_calendars.holidays.nyse import (
|
8
8
|
USPresidentsDay,
|
9
9
|
GoodFriday,
|
10
10
|
USMemorialDay,
|
@@ -4,9 +4,9 @@ from itertools import chain
|
|
4
4
|
from pandas.tseries.holiday import AbstractHolidayCalendar
|
5
5
|
from pytz import timezone
|
6
6
|
|
7
|
-
from pandas_market_calendars.
|
8
|
-
from pandas_market_calendars.
|
9
|
-
from .market_calendar import MarketCalendar
|
7
|
+
from pandas_market_calendars.holidays.jp import *
|
8
|
+
from pandas_market_calendars.holidays.us import USNewYearsDay
|
9
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
10
10
|
|
11
11
|
|
12
12
|
# TODO:
|
@@ -18,13 +18,13 @@ from datetime import time
|
|
18
18
|
from pandas.tseries.holiday import AbstractHolidayCalendar, EasterMonday, GoodFriday
|
19
19
|
from pytz import timezone
|
20
20
|
|
21
|
-
from .
|
21
|
+
from pandas_market_calendars.holidays.uk import (
|
22
22
|
BoxingDay, Christmas, ChristmasEve, LSENewYearsDay, LSENewYearsEve,
|
23
23
|
MayBank_pre_1995, MayBank_post_1995_pre_2020, MayBank_post_2020,
|
24
24
|
SpringBank_pre_2002, SpringBank_post_2002_pre_2012, SpringBank_post_2012_pre_2022, SpringBank_post_2022,
|
25
25
|
SummerBank, WeekendBoxingDay, WeekendChristmas, UniqueCloses,
|
26
26
|
)
|
27
|
-
from .market_calendar import MarketCalendar
|
27
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
28
28
|
|
29
29
|
|
30
30
|
class LSEExchangeCalendar(MarketCalendar):
|
@@ -4,7 +4,7 @@ Imported calendars from the exchange_calendars project
|
|
4
4
|
GitHub: https://github.com/gerrymanoim/exchange_calendars
|
5
5
|
"""
|
6
6
|
|
7
|
-
from .market_calendar import MarketCalendar
|
7
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
8
8
|
import exchange_calendars
|
9
9
|
|
10
10
|
|
@@ -106,7 +106,7 @@ for exchange in calendars:
|
|
106
106
|
cal = type(exchange, (TradingCalendar,), {'_ec_class': calendars[exchange],
|
107
107
|
'alias': [exchange],
|
108
108
|
'regular_market_times': regular_market_times})
|
109
|
-
locals()[exchange
|
109
|
+
locals()[f'{exchange}ExchangeCalendar'] = cal
|
110
110
|
|
111
111
|
|
112
112
|
|
@@ -20,7 +20,7 @@ import pandas as pd
|
|
20
20
|
from pandas.tseries.holiday import AbstractHolidayCalendar
|
21
21
|
from pytz import timezone
|
22
22
|
|
23
|
-
from pandas_market_calendars.
|
23
|
+
from pandas_market_calendars.holidays.nyse import (
|
24
24
|
# Always Celebrated Holidays
|
25
25
|
USNewYearsDayNYSEpost1952, USNewYearsDayNYSEpre1952, SatBeforeNewYearsAdhoc,
|
26
26
|
|
@@ -244,7 +244,7 @@ from pandas_market_calendars.holidays_nyse import (
|
|
244
244
|
# 2018
|
245
245
|
GeorgeHWBushDeath2018
|
246
246
|
)
|
247
|
-
from .market_calendar import MarketCalendar
|
247
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
248
248
|
|
249
249
|
# Useful resources for making changes to this file:
|
250
250
|
# http://www.nyse.com/pdfs/closings.pdf
|
@@ -4,7 +4,7 @@ from pandas.tseries.holiday import AbstractHolidayCalendar, EasterMonday, GoodFr
|
|
4
4
|
from pandas.tseries.offsets import Day, Easter
|
5
5
|
from pytz import timezone
|
6
6
|
|
7
|
-
from .market_calendar import MarketCalendar
|
7
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
8
8
|
|
9
9
|
OSENewYearsDay = Holiday(
|
10
10
|
"New Year's Day",
|
@@ -3,8 +3,6 @@ from datetime import time
|
|
3
3
|
from pandas.tseries.holiday import AbstractHolidayCalendar
|
4
4
|
from pytz import timezone
|
5
5
|
from itertools import chain
|
6
|
-
import pandas as pd
|
7
|
-
|
8
6
|
|
9
7
|
########################################################################################################################
|
10
8
|
# SIFMA Financial Markets Calendar for US, UK, JP
|
@@ -22,9 +20,8 @@ import pandas as pd
|
|
22
20
|
########################################################################################################################
|
23
21
|
|
24
22
|
|
25
|
-
from pandas_market_calendars.
|
23
|
+
from pandas_market_calendars.holidays.sifma import(
|
26
24
|
# US Holidays
|
27
|
-
UKWeekendBoxingDay,
|
28
25
|
USNewYearsDay, # Not observed if a Saturday
|
29
26
|
USNewYearsEve2pmEarlyClose,
|
30
27
|
|
@@ -71,7 +68,7 @@ from pandas_market_calendars.holidays_sifma import(
|
|
71
68
|
UKPlatinumJubilee2022,
|
72
69
|
)
|
73
70
|
|
74
|
-
from .market_calendar import MarketCalendar
|
71
|
+
from pandas_market_calendars.market_calendar import MarketCalendar
|
75
72
|
|
76
73
|
#AbstractHolidayCalendar.start_date = '1998-01-01'
|
77
74
|
|
@@ -214,11 +211,11 @@ class SIFMAUKExchangeCalendar(MarketCalendar):
|
|
214
211
|
############################################################
|
215
212
|
# Japan
|
216
213
|
############################################################
|
217
|
-
from .
|
218
|
-
|
219
|
-
|
220
|
-
|
221
|
-
|
214
|
+
from pandas_market_calendars.holidays.jp import (JapanComingOfAgeDay, JapanNationalFoundationDay, JapanEmperorsBirthday, JapanVernalEquinox, JapanShowaDay,
|
215
|
+
JapanConstitutionMemorialDay, JapanGreeneryDay, JapanChildrensDay, JapanMarineDay, JapanMountainDay,
|
216
|
+
JapanRespectForTheAgedDay, JapanAutumnalEquinox,
|
217
|
+
JapanHealthAndSportsDay2000To2019, JapanSportsDay2020, JapanSportsDay,
|
218
|
+
JapanCultureDay, JapanLaborThanksgivingDay)
|
222
219
|
|
223
220
|
class SIFMAJPExchangeCalendar(MarketCalendar):
|
224
221
|
"""
|
@@ -4,7 +4,7 @@ from pandas.tseries.holiday import (AbstractHolidayCalendar, Day, Easter, Easter
|
|
4
4
|
previous_friday)
|
5
5
|
from pytz import timezone
|
6
6
|
|
7
|
-
from .market_calendar import (FRIDAY, MONDAY, MarketCalendar, THURSDAY, TUESDAY, WEDNESDAY)
|
7
|
+
from pandas_market_calendars.market_calendar import (FRIDAY, MONDAY, MarketCalendar, THURSDAY, TUESDAY, WEDNESDAY)
|
8
8
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#################################################
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)
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)
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################################
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# Christmas Dec 25
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Timestamp('2019-04-30', tz='UTC'), # National Holiday
|
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import pandas as pd
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|
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|
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# main reference:
|
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# https://github.com/rsheftel/pandas_market_calendars/files/6827110/Stocks.NYSE-Closings.pdf
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#
|
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# See
|
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|
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#################################################################################################
|
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|
@@ -302,9 +303,6 @@ MonTuesThursBeforeIndependenceDay = Holiday(
|
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|
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)
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def july_5th_holiday_observance(datetime_index):
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|
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|
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|
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|
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# When July 4th is a Thursday, the next day is a half day prior to 2013.
|
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|
# Since 2013 the early close is on Wednesday and Friday is a full day
|
@@ -312,8 +310,8 @@ FridayAfterIndependenceDayNYSEpre2013 = Holiday(
|
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|
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|
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|
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|
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|
-
observance=july_5th_holiday_observance,
|
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|
start_date=Timestamp("1996-01-01"),
|
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|
+
end_date=Timestamp("2012-12-31"),
|
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|
)
|
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|
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|
@@ -10,10 +10,6 @@ from pandas_market_calendars.market_calendar import (FRIDAY, MONDAY, THURSDAY, T
|
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|
# NYSE closed at 2:00 PM on Christmas Eve until 1993.
|
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|
|
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|
|
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|
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def july_5th_holiday_observance(datetime_index):
|
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|
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|
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|
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|
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|
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|
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|
@@ -201,8 +197,8 @@ FridayAfterIndependenceDayPre2013 = Holiday(
|
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|
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|
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|
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observance=july_5th_holiday_observance,
|
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|
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|
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|
)
|
207
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|
WednesdayBeforeIndependenceDayPost2013 = Holiday(
|
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|
# When July 4th is a Thursday, the next day is a half day prior to 2013.
|
@@ -421,17 +421,41 @@ class MarketCalendar(metaclass=MarketCalendarMeta):
|
|
421
421
|
"""
|
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|
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|
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|
|
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|
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def _convert(self, col):
|
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|
+
def _convert(self, col: pd.Series):
|
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|
+
"""
|
426
|
+
col is a series indexed by dates at which interruptions occurred. The values are either the start or end times
|
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|
+
of an interruption, represented by either a timedelta or a tuple with a timedelta and day offset of the form
|
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|
+
(timedelta, offset). _convert produces a new series where the values are replaced by datetimes equal to the
|
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|
+
index of the original series plus the offset if present, at the timedelta.
|
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|
+
|
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|
+
E.g.:
|
432
|
+
>>> self._convert(
|
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|
+
pd.Series(
|
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|
+
[datetime.time(11, 2), (datetime.time(11, 1), 1), datetime.time(10, 0), None],
|
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|
+
index=pd.DatetimeIndex(['2002-02-03', '2010-01-11', '2010-01-13', '2011-01-10'])
|
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|
+
)
|
437
|
+
)
|
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|
+
2002-02-03 2002-02-03 11:02:00+00:00
|
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|
+
2010-01-11 2010-01-12 11:01:00+00:00
|
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|
+
2010-01-13 2010-01-13 10:00:00+00:00
|
441
|
+
2011-01-10 NaT
|
442
|
+
dtype: datetime64[ns, UTC]
|
443
|
+
"""
|
444
|
+
col = col.dropna() # Python 3.8, pandas 2.0.3 cannot create time deltas from NaT
|
425
445
|
try: times = col.str[0]
|
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446
|
except AttributeError: # no tuples, only offset 0
|
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|
-
return (pd.to_timedelta(col.astype("string"), errors="coerce") + col.index
|
447
|
+
return (pd.to_timedelta(col.astype("string").fillna(""), errors="coerce") + col.index
|
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448
|
).dt.tz_localize(self.tz).dt.tz_convert("UTC")
|
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449
|
|
430
|
-
return (pd.to_timedelta(times.fillna(col).astype("string"), errors="coerce"
|
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|
+
return (pd.to_timedelta(times.fillna(col).astype("string").fillna(""), errors="coerce"
|
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451
|
) + pd.to_timedelta(col.str[1].fillna(0), unit="D"
|
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|
) + col.index
|
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|
).dt.tz_localize(self.tz).dt.tz_convert("UTC")
|
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454
|
|
455
|
+
@staticmethod
|
456
|
+
def _col_name(n: int):
|
457
|
+
return f"interruption_start_{n // 2 + 1}" if n % 2 == 1 else f"interruption_end_{n // 2}"
|
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|
+
|
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459
|
@property
|
436
460
|
def interruptions_df(self):
|
437
461
|
"""
|
@@ -441,12 +465,7 @@ class MarketCalendar(metaclass=MarketCalendarMeta):
|
|
441
465
|
intr = pd.DataFrame(self.interruptions)
|
442
466
|
intr.index = pd.to_datetime(intr.pop(0))
|
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467
|
|
444
|
-
columns =
|
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|
-
for i in range(1, intr.shape[1] // 2 + 1):
|
446
|
-
i = str(i)
|
447
|
-
columns.append("interruption_start_" + i)
|
448
|
-
columns.append("interruption_end_" + i)
|
449
|
-
intr.columns = columns
|
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|
+
intr.columns = map(self._col_name, intr.columns)
|
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469
|
intr.index.name = None
|
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470
|
|
452
471
|
return intr.apply(self._convert).sort_index()
|
{pandas_market_calendars-4.2.1.dist-info → pandas_market_calendars-4.3.1.dist-info}/METADATA
RENAMED
@@ -1,6 +1,6 @@
|
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Metadata-Version: 2.1
|
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Name: pandas-market-calendars
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Version: 4.
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Version: 4.3.1
|
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Summary: Market and exchange trading calendars for pandas
|
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Author-email: Ryan Sheftel <rsheftel@alumni.upenn.edu>
|
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License: MIT
|
@@ -36,16 +36,13 @@ Market calendars to use with pandas for trading applications.
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.. image:: https://badge.fury.io/py/pandas-market-calendars.svg
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:target: https://badge.fury.io/py/pandas-market-calendars
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.. image:: https://travis-ci.com/rsheftel/pandas_market_calendars.svg?branch=master
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:target: https://travis-ci.com/rsheftel/pandas_market_calendars
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.. image:: https://coveralls.io/repos/github/rsheftel/pandas_market_calendars/badge.svg?branch=master
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.. image:: https://readthedocs.org/projects/pandas-market-calendars/badge/?version=latest
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:target: http://pandas-market-calendars.readthedocs.io/en/latest/?badge=latest
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:alt: Documentation Status
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.. image:: https://coveralls.io/repos/github/rsheftel/pandas_market_calendars/badge.svg?branch=master
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Documentation
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-------------
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http://pandas-market-calendars.readthedocs.io/en/latest/
|
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pandas_market_calendars/__init__.py,sha256=VWaAauLacIGTUKHa1_3i86emgSWyMubJaYm8gThrNWs,1321
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pandas_market_calendars/calendar_registry.py,sha256=NM-nFGUIcc_UEX7MHjGtjVJlocX4GZxQ5WLtdREqFmA,2317
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pandas_market_calendars/calendar_utils.py,sha256=tN21REa6VNXWin7T-oIQu4lMBsz1912pwfwpwHCdtzU,11132
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pandas_market_calendars/class_registry.py,sha256=qwlWwUagxZxco-ER3VeNSCyd7wKnrycucYAbuYvj9hQ,3780
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pandas_market_calendars/market_calendar.py,sha256=1ob9YdXN-iUB07xF6oaCYUOxCcRiKimDDR2751HVBuA,32129
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pandas_market_calendars/calendars/__init__.py,sha256=47DEQpj8HBSa-_TImW-5JCeuQeRkm5NMpJWZG3hSuFU,0
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pandas_market_calendars/calendars/asx.py,sha256=OQVfEqHppeQe1x7k-9y2Jaqed5Cy7r09L1vLMdfn09c,1533
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+
pandas_market_calendars/calendars/bmf.py,sha256=9_zHmRUSFnfUkJmlaKBYdwOlCjv42EqQaHPATcw3_h0,5380
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pandas_market_calendars/calendars/bse.py,sha256=IcHN9G2ZV4HJkCooDPhLtOscWv4HAiZu8HJfG9kiw_0,16115
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+
pandas_market_calendars/calendars/cboe.py,sha256=z2AOHFicermv2DvbC5F5o-nm-S6OYkF1fGOwlRAECEE,3544
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+
pandas_market_calendars/calendars/cme.py,sha256=7gGr3QyOjZL2N7tDu1DCzzKhvEsLISF_-svjDPIyQBg,9501
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+
pandas_market_calendars/calendars/cme_globex_agriculture.py,sha256=AZBncalV62HhyRDNejqZg6UphuYz_e7CwxaGPPZOPD4,3065
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+
pandas_market_calendars/calendars/cme_globex_base.py,sha256=BjAerRmNcH8o21I4huUIjcMeHI68jobmDiVFgZ3wSA4,2903
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+
pandas_market_calendars/calendars/cme_globex_crypto.py,sha256=UVgdfXKbmnY3h9KZ7YbnbLdb2MgmU8jJWNllJFXgfeA,5105
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