pandas-market-calendars 4.3.0__py3-none-any.whl → 4.3.1__py3-none-any.whl

pandas_market_calendars/holidays/cme.py

@@ -0,0 +1,340 @@
+import datetime
+
+from dateutil.relativedelta import (MO, TH, FR)
+from pandas import (DateOffset, Timestamp)
+from pandas.tseries.holiday import (Holiday, Easter)
+from pandas.tseries.holiday import (nearest_workday)
+from pandas.tseries.offsets import (Day)
+
+
+#########
+# Martin Luther King
+#########
+USMartinLutherKingJrAfter1998Before2022 = Holiday(
+    'Dr. Martin Luther King Jr. Day',
+    month=1,
+    day=1,
+    # The US markets didn't observe MLK day as a holiday until 1998.
+    start_date=Timestamp('1998-01-01'),
+    end_date=Timestamp('2021-12-31'),
+    offset=DateOffset(weekday=MO(3)),
+)
+
+USMartinLutherKingJrAfter1998Before2015 = Holiday(
+    'Dr. Martin Luther King Jr. Day',
+    month=1,
+    day=1,
+    # The US markets didn't observe MLK day as a holiday until 1998.
+    start_date=Timestamp('1998-01-01'),
+    end_date=Timestamp('2014-12-31'),
+    offset=DateOffset(weekday=MO(3)),)
+
+USMartinLutherKingJrAfter2015 = Holiday(
+    'Dr. Martin Luther King Jr. Day',
+    month=1,
+    day=1,
+    # The US markets didn't observe MLK day as a holiday until 1998.
+    start_date=Timestamp('2015-01-01'),
+    offset=DateOffset(weekday=MO(3)),)
+
+USMartinLutherKingJrAfter1998Before2016FridayBefore = Holiday(
+    "Dr. Martin Luther King Jr. Day",
+    month= 1,
+    day= 1,
+    start_date= Timestamp("1998-01-01"),
+    end_date= Timestamp("2015-12-31"),
+    offset= [DateOffset(weekday= MO(3)), DateOffset(weekday= FR(-1))]
+)
+
+#########
+# President's Day
+#########
+USPresidentsDayBefore2022 = Holiday(
+    'President''s Day',
+    start_date=Timestamp('1971-01-01'),
+    end_date=Timestamp('2021-12-31'),
+    month=2, day=1,
+    offset=DateOffset(weekday=MO(3)),
+)
+USPresidentsDayBefore2015 = Holiday(
+    'President''s Day',
+    start_date=Timestamp('1971-01-01'),
+    end_date=Timestamp('2014-12-31'),
+    month=2, day=1,
+    offset=DateOffset(weekday=MO(3)),)
+
+USPresidentsDayAfter2015 = Holiday(
+    'President''s Day',
+    start_date=Timestamp('2015-01-01'),
+    month=2, day=1,
+    offset=DateOffset(weekday=MO(3)),)
+
+USPresidentsDayBefore2016FridayBefore = Holiday(
+    'President''s Day',
+    start_date=Timestamp('1971-01-01'),
+    end_date=Timestamp('2015-12-31'),
+    month=2, day=1,
+    offset=[DateOffset(weekday=MO(3)), DateOffset(weekday= FR(-1))]
+)
+
+#########
+# Good Friday
+#########
+
+
+GoodFridayBefore2021 = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    offset=[Easter(), Day(-2)],
+    end_date=Timestamp('2020-12-31'),
+)
+
+# On some years (i.e. 2010,2012,2015) there is a special close for equities at 08:15
+# so here it is made sure that those are not full holidays
+easter = Easter()
+daymin2 = Day(-2)
+def not_0815_close(dt):
+    if dt.year in (2010, 2012, 2015):
+       return None
+    else:
+        return dt + easter + daymin2
+
+GoodFridayBefore2021NotEarlyClose = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    observance=not_0815_close,
+    end_date=Timestamp('2020-12-31'),
+)
+
+## CME Interest Rate Products have this odd close
+GoodFriday2009 = Holiday(
+    "Good Friday",
+    month= 1, day= 1,
+    offset= [Easter(), Day(-3)],
+    start_date= Timestamp("2009-01-01"),
+    end_date= Timestamp("2009-12-31"),
+)
+
+GoodFriday2021 = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp('2021-01-01'),
+    end_date=Timestamp('2021-12-31'),
+)
+GoodFridayAfter2021 = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp('2022-01-01'),
+)
+# Dates when equities closed at 08:15
+GoodFriday2010 = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp('2010-01-01'),
+    end_date=Timestamp('2010-12-31'),
+)
+GoodFriday2012 = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp('2012-01-01'),
+    end_date=Timestamp('2012-12-31'),)
+
+GoodFriday2015 = Holiday(
+    "Good Friday",
+    month=1, day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp('2015-01-01'),
+    end_date=Timestamp('2015-12-31'),
+)
+
+#########
+# Memorial Day
+#########
+
+USMemorialDay2021AndPrior = Holiday(
+    'Memorial Day',
+    month=5,
+    day=25,
+    start_date=Timestamp('1971-01-01'),
+    end_date=Timestamp('2021-12-31'),
+    offset=DateOffset(weekday=MO(1)),
+)#### Equity Products
+USMemorialDay2013AndPrior = Holiday(
+    'Memorial Day',
+    month=5,
+    day=25,
+    start_date=Timestamp('1971-01-01'),
+    end_date=Timestamp('2013-12-31'),
+    offset=DateOffset(weekday=MO(1)),
+)
+USMemorialDayAfter2013 = Holiday(
+    'Memorial Day',
+    month=5,
+    day=25,
+    start_date=Timestamp('2014-01-01'),
+    offset=DateOffset(weekday=MO(1)),
+)
+USMemorialDay2015AndPriorFridayBefore = Holiday(
+    'Memorial Day',
+    month=5,
+    day=25,
+    start_date=Timestamp('1971-01-01'),
+    end_date=Timestamp('2015-12-31'),
+    offset=[DateOffset(weekday=MO(1)), DateOffset(weekday= FR(-1))],
+)
+
+#######
+# Independence Day
+#######
+
+USIndependenceDayBefore2022 = Holiday(
+    'July 4th',
+    month=7,
+    day=4,
+    start_date=Timestamp('1954-01-01'),
+    end_date=Timestamp('2021-12-31'),
+    observance=nearest_workday,)
+USIndependenceDayBefore2014 = Holiday(
+    'July 4th',
+    month=7,
+    day=4,
+    start_date=Timestamp('1954-01-01'),
+    end_date=Timestamp('2013-12-31'),
+    observance=nearest_workday,)
+USIndependenceDayAfter2014 = Holiday(
+    'July 4th',
+    month=7,
+    day=4,
+    start_date=Timestamp('2014-01-01'),
+    observance=nearest_workday,)
+
+# Necessary for equities and crypto
+def previous_workday_if_july_4th_is_tue_to_fri(dt):
+    july4th = datetime.datetime(dt.year, 7, 4)
+    if july4th.weekday() in (1, 2, 3, 4):
+        return july4th - datetime.timedelta(days=1)
+    # else None
+
+USIndependenceDayBefore2022PreviousDay = Holiday(
+    'July 4th',
+    month=7,
+    day=4,
+    start_date=Timestamp('1954-01-01'),
+    observance= previous_workday_if_july_4th_is_tue_to_fri
+)
+
+#########
+# Labor Day
+#########
+
+USLaborDayStarting1887Before2022 = Holiday(
+    "Labor Day",
+    month=9,
+    day=1,
+    start_date=Timestamp("1887-01-01"),
+    end_date=Timestamp('2021-12-31'),
+    offset=DateOffset(weekday=MO(1))
+)
+USLaborDayStarting1887Before2014 = Holiday(
+    "Labor Day",
+    month=9,
+    day=1,
+    start_date=Timestamp("1887-01-01"),
+    end_date=Timestamp('2013-12-31'),
+    offset=DateOffset(weekday=MO(1))
+)
+USLaborDayStarting1887Before2015FridayBefore = Holiday(
+    "Labor Day",
+    month=9,
+    day=1,
+    start_date=Timestamp("1887-01-01"),
+    end_date=Timestamp('2014-12-31'),
+    offset=[DateOffset(weekday=MO(1)), DateOffset(weekday=FR(-1))]
+
+)
+USLaborDayStarting1887After2014 = Holiday(
+    "Labor Day",
+    month=9,
+    day=1,
+    start_date=Timestamp("2014-01-01"),
+    offset=DateOffset(weekday=MO(1))
+)
+
+
+#########
+# Thanksgiving
+#########
+
+USThanksgivingBefore2022 = Holiday(
+    'ThanksgivingFriday',
+    start_date=Timestamp('1942-01-01'),
+    end_date=Timestamp('2021-12-31'),
+    month=11, day=1,
+    offset=DateOffset(weekday=TH(4)),
+)
+USThanksgivingBefore2014 = Holiday(
+    'ThanksgivingFriday',
+    start_date=Timestamp('1942-01-01'),
+    end_date=Timestamp('2013-12-31'),
+    month=11, day=1,
+    offset=DateOffset(weekday=TH(4)),
+)
+USThanksgivingAfter2014 = Holiday(
+    'ThanksgivingFriday',
+    start_date=Timestamp('2014-01-01'),
+    month=11, day=1,
+    offset=DateOffset(weekday=TH(4)),
+)
+
+######## The following Holidays shouldn't be set with the FR offset
+## In 2013, Nov 1st is a friday, so the 4th Friday is before the 4th Thursday...
+# the observance rule defined herafter fixes this
+
+# USThanksgivingFridayBefore2022 = Holiday(
+#     'ThanksgivingFriday',
+#     start_date=Timestamp('1942-01-01'),
+#     end_date=Timestamp('2021-12-31'),
+#     month=11, day=1,
+#     offset=DateOffset(weekday=FR(4)),
+# )
+#
+# USThanksgivingFriday2022AndAfter = Holiday(
+#     'ThanksgivingFriday',
+#     start_date=Timestamp('2022-01-01'),
+#     month=11, day=1,
+#     offset=DateOffset(weekday=FR(4)),
+# )
+# USThanksgivingFriday = Holiday(
+#     'ThanksgivingFriday',
+#     month=11, day=1,
+#     offset=DateOffset(weekday=FR(4)),
+# )
+
+def fri_after_4th_thu(dt):
+    # dt will just be Nov 1st
+    diff_to_thu = 3 - dt.weekday()
+    if diff_to_thu < 0: diff_to_thu += 7
+    return dt + datetime.timedelta(days=diff_to_thu + 22)
+
+USThanksgivingFriday = Holiday(
+    'ThanksgivingFriday',
+    start_date=Timestamp('1942-01-01'),
+    month=11, day=1,
+    observance= fri_after_4th_thu,
+)
+
+USThanksgivingFriday2022AndAfter = Holiday(
+    'ThanksgivingFriday',
+    start_date=Timestamp('2022-01-01'),
+    month=11, day=1,
+    observance= fri_after_4th_thu,
+)
+# USThanksgivingFriday = Holiday(
+#     'ThanksgivingFriday',
+#     month=11, day=1,
+#     observance= fri_after_4th_thu,
+# )

pandas_market_calendars/holidays/cme_globex.py

@@ -0,0 +1,198 @@
+from dateutil.relativedelta import (MO, TU, WE, TH, FR, SA, SU)
+from pandas import (DateOffset, Timestamp, date_range)
+from datetime import  timedelta
+from pandas.tseries.holiday import (Holiday, nearest_workday, sunday_to_monday,  Easter)
+from pandas.tseries.offsets import Day, CustomBusinessDay
+
+from pandas_market_calendars.market_calendar import ( MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY, SATURDAY, SUNDAY)
+
+
+
+####################################################
+# US New Years Day Jan 1
+#####################################################
+USNewYearsDay = Holiday(
+    'New Years Day',
+    month=1,
+    day=1,
+    start_date = Timestamp('1952-09-29'),
+     #observance=sunday_to_monday,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY,)    
+)
+
+
+
+#########################################################################
+# Martin Luther King Jr. 
+#    Starting 1998
+##########################################################################
+USMartinLutherKingJrFrom2022 = Holiday( 
+    'Dr. Martin Luther King Jr. Day',
+    month=1,
+    day=1,
+    start_date=Timestamp('2022-01-01'),
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY,),
+    offset=DateOffset(weekday=MO(3)),
+)
+
+USMartinLutherKingJrPre2022 = Holiday( 
+    'Dr. Martin Luther King Jr. Day',
+    month=1,
+    day=1,
+    start_date=Timestamp('1998-01-01'),
+    end_date=Timestamp("2021-12-31"),
+    offset=DateOffset(weekday=MO(3)),
+)
+
+
+#########################################################################
+# US Presidents Day Feb 
+##########################################################################
+USPresidentsDayFrom2022 = Holiday('President''s Day',  
+    start_date=Timestamp('2022-01-01'),
+    month=2, day=1,
+    offset=DateOffset(weekday=MO(3)))
+
+USPresidentsDayPre2022 = Holiday('President''s Day',  
+    end_date=Timestamp('2021-12-31'),
+    month=2, day=1,
+    offset=DateOffset(weekday=MO(3)))
+    
+
+
+############################################################
+# Good Friday 
+############################################################
+GoodFriday = Holiday(
+    "Good Friday 1908+", 
+    start_date=Timestamp('1908-01-01'), 
+    month=1, 
+    day=1, 
+    offset=[Easter(), Day(-2)]
+)
+
+##################################################
+# US Memorial Day (Decoration Day) May 30 
+##################################################
+USMemorialDayFrom2022 = Holiday( 
+    'Memorial Day',
+    month=5,
+    day=25,
+    start_date=Timestamp('2022-01-01'),
+    offset=DateOffset(weekday=MO(1)),
+)
+
+USMemorialDayPre2022 = Holiday( 
+    'Memorial Day', 
+    month=5,
+    day=25,
+    end_date=Timestamp('2021-12-31'),
+     offset=DateOffset(weekday=MO(1)),
+)
+
+#######################################
+# US Juneteenth (June 19th)
+#######################################
+USJuneteenthFrom2022 = Holiday(
+    'Juneteenth Starting at 2022',
+    start_date=Timestamp('2022-06-19'),
+    month=6, day=19,
+    observance=nearest_workday,
+)
+
+#######################################
+# US Independence Day July 4
+#######################################
+USIndependenceDayFrom2022 = Holiday(
+    'July 4th',
+    month=7,
+    day=4,
+    start_date=Timestamp('2022-01-01'),
+    observance=nearest_workday,
+)
+USIndependenceDayPre2022 = Holiday(
+    'July 4th',
+    month=7,
+    day=4,
+    end_date=Timestamp('2021-12-31'),
+    observance=nearest_workday,
+)
+
+
+#################################################
+# US Labor Day Starting 1887
+#################################################
+USLaborDayFrom2022 = Holiday(
+    'Labor Day',
+    month=9,
+    day=1,
+    start_date=Timestamp('2022-01-01'),
+    offset=DateOffset(weekday=MO(1)),
+)
+USLaborDayPre2022 = Holiday(
+    'Labor Day',
+    month=9,
+    day=1,
+    end_date=Timestamp('2021-12-31'),
+    offset=DateOffset(weekday=MO(1)),
+)
+USLaborDay = Holiday(
+    "Labor Day", 
+    month=9, 
+    day=1, 
+    start_date=Timestamp("1887-01-01"),
+    offset=DateOffset(weekday=MO(1))
+)
+
+
+################################################
+# US Thanksgiving Nov 30
+################################################
+USThanksgivingDayFrom2022 = Holiday(
+    'Thanksgiving',
+    start_date=Timestamp('2022-01-01'),
+    month=11, day=1,
+    offset=DateOffset(weekday=TH(4))
+)
+
+USThanksgivingDayPre2022 = Holiday(
+    'Thanksgiving',
+    end_date=Timestamp('2021-12-31'),
+    month=11, day=1,
+    offset=DateOffset(weekday=TH(4))
+)
+
+FridayAfterThanksgiving = Holiday(
+    'Friday after Thanksgiving',
+    month=11,
+    day=1,
+    offset=[DateOffset(weekday=TH(4)), Day(1)],
+)
+
+USThanksgivingFridayFrom2021 = Holiday(
+    'Thanksgiving Friday',
+    month=11,
+    day=1,
+    offset=[DateOffset(weekday=TH(4)), Day(1)],
+    start_date=Timestamp('2021-01-01'),
+)
+
+USThanksgivingFridayPre2021 = Holiday(
+    'Thanksgiving Friday',
+    month=11,
+    day=1,
+    offset=[DateOffset(weekday=TH(4)), Day(1)],
+    end_date=Timestamp('2020-12-31'),
+)
+
+################################
+# Christmas Dec 25
+################################
+ChristmasCME = Holiday(
+    'Christmas',
+    month=12,
+    day=25,
+    start_date=Timestamp('1999-01-01'),
+    observance=nearest_workday, 
+)
+