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

pandas_market_calendars/calendars/cme.py

@@ -0,0 +1,240 @@
+#
+# 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 pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USNationalDaysofMourning,
+                                                 USNewYearsDay)
+from pandas_market_calendars.market_calendar import MarketCalendar
+
+
+# Useful resources for making changes to this file: http://www.cmegroup.com/tools-information/holiday-calendar.html
+# 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/calendars/cme_globex_agriculture.py

@@ -0,0 +1,103 @@
+#
+# 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 abstractmethod
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+from datetime import time
+
+from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
+
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay,
+                                                 USNewYearsDay)
+
+
+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/calendars/cme_globex_base.py

@@ -0,0 +1,103 @@
+#
+# 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 pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
+from pytz import timezone
+
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
+                                                 USNewYearsDay)
+from pandas_market_calendars.market_calendar import MarketCalendar
+
+
+class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
+    """
+    Base Exchange Calendar for CME.
+
+    CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
+    - Agriculture
+    - Crypto
+    - 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,
+            ])
+        )]
+
+
+
+
+

pandas_market_calendars/calendars/cme_globex_crypto.py

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