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

pandas_market_calendars/calendars/cme_globex_energy_and_metals.py

@@ -0,0 +1,138 @@
+#
+# 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 .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+from datetime import time
+
+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 pandas_market_calendars.holidays.cme_globex import (USMartinLutherKingJrFrom2022, USMartinLutherKingJrPre2022, USNewYearsDay,
+                                                         USPresidentsDayFrom2022, USPresidentsDayPre2022,
+                                                         GoodFriday,
+                                                         USMemorialDayFrom2022, USMemorialDayPre2022,
+                                                         USJuneteenthFrom2022,
+                                                         USIndependenceDayFrom2022, USIndependenceDayPre2022,
+                                                         USLaborDay,
+                                                         USThanksgivingDayFrom2022, USThanksgivingDayPre2022, FridayAfterThanksgiving,
+                                                         ChristmasCME)
+
+
+class CMEGlobexEnergyAndMetalsExchangeCalendar(CMEGlobexBaseExchangeCalendar):
+    """
+    Exchange calendar for CME for Energy and Metals products
+
+    Both follow the same trading/holiday schedule
+
+    NOT IMPLEMENTED: Dubai Mercantile Exchange (DME) follows this schedule but with holiday exceptions.
+
+    Energy Products:
+      Crude and Refined: https://www.cmegroup.com/trading/energy/crude-and-refined-products.html 
+      - HO NY Harbor ULSD Futures
+      - CL Crude Oil Futures
+      - RB RBOB Gasoline Futures
+      - MCL Micro WTI Crude Oil Futures
+      Natural Gas
+      - NG Henry Hub Natural Gas Futures
+      - TTF Dutch TTF Natural Gas Calendar Month Futures
+      - NN Henry Hub Natural Gas Last Day Financial Futures
+      Voluntary Carbon Emissions Offset Futures
+      - CGO CBL Core Global Emmissions Offset (C-GEO) Futures
+      - NGO CBL Nature-based Global Emissionns Offset Futures
+      - GEO CBL Global Emissions Offset Futures
+
+    Metals Products: https://www.cmegroup.com/markets/metals.html 
+      Precious Metals
+      - GC Gold Futures
+      - SI Silver Futures
+      - PL Platinum Futures
+      Base Metals
+      - HG Copper Futures
+      - ALI Aluminum Futures
+      - QC E-mini Copper Futures
+      Ferrous Metals
+      - HRC U.S. Midwest Domestic Hot-Rolled Coil Steel (CRU) Index Futures
+      - BUS U.S. Midwest Busheling Ferrous Scrap (AMM) Futures
+      - TIO Iron Ore 62% Fe, CFR China (Platts) Futures
+
+      Sample GLOBEX Trading Times
+      https://www.cmegroup.com/markets/energy/crude-oil/light-sweet-crude.contractSpecs.html
+      Sunday - Friday: 5:00pm - 4:00 pm CT 
+
+      Calendar: http://www.cmegroup.com/tools-information/holiday-calendar.html
+     """
+
+    aliases = [ 'CMEGlobex_EnergyAndMetals',
+                'CMEGlobex_Energy',
+                   'CMEGlobex_CrudeAndRefined', 'CMEGlobex_NYHarbor', 'CMEGlobex_HO', 'HO', 'CMEGlobex_Crude', 'CMEGlobex_CL', 'CL', 'CMEGlobex_Gas', 'CMEGlobex_RB', 'RB', 'CMEGlobex_MicroCrude', 'CMEGlobex_MCL', 'MCL',
+                   'CMEGlobex_NatGas',          'CMEGlobex_NG', 'NG', 'CMEGlobex_Dutch_NatGas', 'CMEGlobex_TTF', 'TTF', 'CMEGlobex_LastDay_NatGas', 'CMEGlobex_NN', 'NN',
+                   'CMEGlobex_CarbonOffset',     'CMEGlobex_CGO', 'CGO', 'C-GEO', 'CMEGlobex_NGO', 'NGO', 'CMEGlobex_GEO', 'GEO',
+                'CMEGlobex_Metals',
+                    'CMEGlobex_PreciousMetals', 'CMEGlobex_Gold', 'CMEGlobex_GC', 'GC', 'CMEGlobex_Silver' 'CMEGlobex_SI', 'SI', 'CMEGlobex_Platinum', 'CMEGlobex_PL', 'PL',
+                    'CMEGlobex_BaseMetals',     'CMEGlobex_Copper', 'CMEGlobex_HG', 'HG', 'CMEGlobex_Aluminum', 'CMEGlobex_ALI', 'ALI', 'CMEGlobex_Copper', 'CMEGlobex_QC', 'QC',
+                    'CMEGlobex_FerrousMetals',  'CMEGlobex_HRC', 'HRC', 'CMEGlobex_BUS', 'BUS', 'CMEGlobex_TIO', 'TIO' ]
+
+    regular_market_times = {
+        "market_open": ((None, time(17), -1),), #Sunday offset. Central Timezone (CT)
+        "market_close": ((None, time(16)),)
+    }
+
+    @property
+    def name(self):
+        return "CMEGlobex_EnergyAndMetals"
+
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(rules=[
+            USNewYearsDay,
+            GoodFriday,
+            ChristmasCME,            
+         ])
+
+    # @property
+    # def adhoc_holidays(self):
+    #     return USNationalDaysofMourning
+
+    @property
+    def special_closes(self):
+        return [
+            (time(12, tzinfo=timezone('America/Chicago')), AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrPre2022,
+                USPresidentsDayPre2022,
+                USMemorialDayPre2022,
+                USIndependenceDayPre2022,
+                USLaborDay,
+                USThanksgivingDayPre2022,
+             ])),           
+            (time(12, 45, tzinfo=timezone('America/Chicago')), AbstractHolidayCalendar(rules=[
+                 FridayAfterThanksgiving,
+             ])),           
+             (time(13, 30, tzinfo=timezone('America/Chicago')), AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrFrom2022,
+                USPresidentsDayFrom2022,
+                USMemorialDayFrom2022,
+                USJuneteenthFrom2022,
+                USIndependenceDayFrom2022,
+                USThanksgivingDayFrom2022,
+             ])),
+         ]
+
+

pandas_market_calendars/calendars/cme_globex_equities.py

@@ -0,0 +1,104 @@
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+from datetime import time
+from pandas.tseries.holiday import AbstractHolidayCalendar
+from pytz import timezone
+
+from pandas_market_calendars.holidays.cme import (
+    USMartinLutherKingJrAfter1998Before2015,
+    USMartinLutherKingJrAfter2015,
+    USPresidentsDayBefore2015,
+    USPresidentsDayAfter2015,
+    GoodFridayBefore2021NotEarlyClose,
+    GoodFridayAfter2021,
+    GoodFriday2010,
+    GoodFriday2012,
+    GoodFriday2015,
+    GoodFriday2021,
+    USMemorialDay2013AndPrior,
+    USMemorialDayAfter2013,
+    USIndependenceDayBefore2022PreviousDay,
+    USIndependenceDayBefore2014,
+    USIndependenceDayAfter2014,
+    USLaborDayStarting1887Before2014,
+    USLaborDayStarting1887After2014,
+    USThanksgivingBefore2014,
+    USThanksgivingAfter2014,
+    USThanksgivingFriday,
+)
+from pandas_market_calendars.holidays.us import (
+    USNewYearsDay,
+    ChristmasEveInOrAfter1993,
+    Christmas,
+    USJuneteenthAfter2022
+)
+
+class CMEGlobexEquitiesExchangeCalendar(CMEGlobexBaseExchangeCalendar):
+
+    aliases = ["CME Globex Equity"]
+
+    regular_market_times = {
+        "market_open": ((None, time(17), -1),), # offset by -1 day
+        "market_close": ((None, time(16)),),
+    }
+
+    @property
+    def tz(self): return timezone("America/Chicago")
+
+    @property
+    def name(self):
+        """
+        Name of the market
+
+        :return: string name
+        """
+        return "CME Globex Equities"
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(rules=[
+            USNewYearsDay,
+            GoodFridayBefore2021NotEarlyClose,
+            GoodFridayAfter2021,
+            Christmas,
+        ])
+
+    @property
+    def special_closes(self):
+        # Source https://www.cmegroup.com/tools-information/holiday-calendar.html
+        return [
+            (time(10, 30), AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrAfter1998Before2015,
+                USPresidentsDayBefore2015,
+                USMemorialDay2013AndPrior,
+                USIndependenceDayBefore2014,
+                USLaborDayStarting1887Before2014,
+                USThanksgivingBefore2014,
+            ])),
+
+            (time(12,15), AbstractHolidayCalendar(rules= [
+                USIndependenceDayBefore2022PreviousDay,
+                USThanksgivingFriday,
+                ChristmasEveInOrAfter1993,
+            ])),
+
+            (time(12), AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrAfter2015,
+                USPresidentsDayAfter2015,
+                USMemorialDayAfter2013,
+                USIndependenceDayAfter2014,
+                USLaborDayStarting1887After2014,
+                USThanksgivingAfter2014,
+                USJuneteenthAfter2022
+
+            ])),
+            (time(8,15), AbstractHolidayCalendar(rules=[
+                GoodFriday2010,
+                GoodFriday2012,
+                GoodFriday2015,
+                GoodFriday2021,
+            ])),
+
+        ]
+
+

pandas_market_calendars/calendars/cme_globex_fixed_income.py

@@ -0,0 +1,113 @@
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+from datetime import time
+from pandas.tseries.holiday import AbstractHolidayCalendar
+
+from pandas_market_calendars.holidays.cme import (
+    USMartinLutherKingJrAfter1998Before2015,
+    USMartinLutherKingJrAfter1998Before2016FridayBefore,
+    USMartinLutherKingJrAfter2015,
+    USPresidentsDayBefore2016FridayBefore,
+    USPresidentsDayBefore2015,
+    USPresidentsDayAfter2015,
+    GoodFridayBefore2021NotEarlyClose,
+    GoodFridayAfter2021,
+    GoodFriday2009,
+    GoodFriday2010,
+    GoodFriday2012,
+    GoodFriday2015,
+    GoodFriday2021,
+    USMemorialDay2013AndPrior,
+    USMemorialDayAfter2013,
+    USMemorialDay2015AndPriorFridayBefore,
+    USIndependenceDayBefore2014,
+    USIndependenceDayAfter2014,
+    USLaborDayStarting1887Before2014,
+    USLaborDayStarting1887Before2015FridayBefore,
+    USLaborDayStarting1887After2014,
+    USThanksgivingBefore2014,
+    USThanksgivingAfter2014,
+    USThanksgivingFriday,
+)
+from pandas_market_calendars.holidays.us import (
+    USNewYearsDay,
+    ChristmasEveInOrAfter1993,
+    Christmas,
+    USJuneteenthAfter2022
+)
+
+
+class CMEGlobexFixedIncomeCalendar(CMEGlobexBaseExchangeCalendar):
+    aliases = ["CME Globex Fixed Income", "CME Globex Interest Rate Products"]
+
+    regular_market_times = {
+        "market_open": ((None, time(18), -1),),
+        "market_close": ((None, time(17)),),
+    }
+
+    """ 
+    Not yet implemented:
+        Christmas/New_Years
+            5am special open for a couple years (see tests)
+        
+        regular market_open/market_close changed from 17/16 to 18/17?
+    """
+
+    @property
+    def name(self): return "CME Globex Fixed Income"
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(rules=[
+            USNewYearsDay,
+            GoodFridayBefore2021NotEarlyClose,
+            GoodFridayAfter2021,
+            Christmas,
+        ])
+
+    @property
+    def special_closes_adhoc(self):
+        return [(time(15,15), ["2010-07-02", "2011-07-01"]),
+                (time(12,15), ["2010-12-31"])]
+
+    @property
+    def special_closes(self):
+        # Source https://www.cmegroup.com/tools-information/holiday-calendar.html
+        return [
+            (time(12), AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrAfter1998Before2015,
+                USMartinLutherKingJrAfter2015,
+                USPresidentsDayBefore2015,
+                USPresidentsDayAfter2015,
+                USMemorialDay2013AndPrior,
+                USMemorialDayAfter2013,
+                USIndependenceDayBefore2014,
+                USIndependenceDayAfter2014,
+                USLaborDayStarting1887Before2014,
+                USLaborDayStarting1887After2014,
+                USThanksgivingBefore2014,
+                USThanksgivingAfter2014,
+                USJuneteenthAfter2022,
+            ])),
+
+            (time(15,15), AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrAfter1998Before2016FridayBefore,
+                USPresidentsDayBefore2016FridayBefore,
+                GoodFriday2009,
+                USMemorialDay2015AndPriorFridayBefore,
+                USLaborDayStarting1887Before2015FridayBefore
+            ])),
+
+            (time(12,15), AbstractHolidayCalendar(rules= [
+                USThanksgivingFriday,
+                ChristmasEveInOrAfter1993,
+            ])),
+
+            (time(10,15), AbstractHolidayCalendar(rules=[
+                GoodFriday2010,
+                GoodFriday2012,
+                GoodFriday2015,
+                GoodFriday2021,
+            ])),
+
+        ]

pandas_market_calendars/calendars/cme_globex_fx.py

@@ -0,0 +1,78 @@
+from datetime import time
+
+from pandas.tseries.holiday import AbstractHolidayCalendar
+
+from pandas_market_calendars.calendars.cme_globex_base import CMEGlobexBaseExchangeCalendar
+from pandas_market_calendars.holidays.cme import (
+    USMartinLutherKingJrAfter1998Before2022,
+    USPresidentsDayBefore2022,
+    GoodFridayBefore2021,
+    GoodFriday2021,
+    GoodFridayAfter2021,
+    USMemorialDay2021AndPrior,
+    USIndependenceDayBefore2022,
+    USLaborDayStarting1887Before2022,
+    USThanksgivingBefore2022,
+    USThanksgivingFriday,
+)
+from pandas_market_calendars.holidays.us import (
+    USNewYearsDay,
+    ChristmasEveInOrAfter1993,
+    Christmas,
+)
+
+_1015 = time(10, 15)
+_1200 = time(12, 0)
+_1215 = time(12, 15)
+
+
+class CMEGlobexFXExchangeCalendar(CMEGlobexBaseExchangeCalendar):
+    aliases = ['CME_Currency']
+
+    # Using CME Globex trading times eg AUD/USD, EUR/GBP, and BRL/USD
+    # https://www.cmegroup.com/markets/fx/g10/australian-dollar.contractSpecs.html
+    # https://www.cmegroup.com/markets/fx/cross-rates/euro-fx-british-pound.contractSpecs.html
+    # https://www.cmegroup.com/markets/fx/emerging-market/brazilian-real.contractSpecs.html
+    # CME "NZD spot" has its own holiday schedule; this is a niche product (via "FX Link") and is not handled in this
+    # class; however, its regular hours follow the same schedule (see
+    # https://www.cmegroup.com/trading/fx/files/fx-product-guide-2021-us.pdf)
+    regular_market_times = {
+        "market_open": ((None, time(17), -1),),  # offset by -1 day
+        "market_close": ((None, time(16, 00)),)
+    }
+
+    aliases = ['CMEGlobex_FX', 'CME_FX', 'CME_Currency']
+
+    @property
+    def name(self):
+        return "CMEGlobex_FX"
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(rules=[
+            USNewYearsDay,
+            GoodFridayBefore2021,
+            GoodFridayAfter2021,
+            Christmas,
+        ])
+
+    @property
+    def special_closes(self):
+        """
+        Accurate 2020-2022 inclusive
+        TODO - enhance/verify prior to 2020
+        TODO - Add 2023+ once known
+        """
+        # Source https://www.cmegroup.com/tools-information/holiday-calendar.html
+        return [
+            (_1015, AbstractHolidayCalendar(rules=[GoodFriday2021])),
+            (_1200, AbstractHolidayCalendar(rules=[
+                USMartinLutherKingJrAfter1998Before2022,
+                USPresidentsDayBefore2022,
+                USMemorialDay2021AndPrior,
+                USIndependenceDayBefore2022,
+                USLaborDayStarting1887Before2022,
+                USThanksgivingBefore2022,
+            ])),
+            (_1215, AbstractHolidayCalendar(rules=[USThanksgivingFriday, ChristmasEveInOrAfter1993])),
+        ]

pandas_market_calendars/calendars/eurex.py

@@ -0,0 +1,119 @@
+#
+# kewlfft
+#
+
+from datetime import time
+
+from pandas.tseries.holiday import AbstractHolidayCalendar, EasterMonday, GoodFriday, Holiday, previous_friday
+from pytz import timezone
+
+from pandas_market_calendars.market_calendar import (FRIDAY, MONDAY, MarketCalendar, THURSDAY, TUESDAY, WEDNESDAY)
+
+# New Year's Eve
+EUREXNewYearsEve = Holiday(
+    "New Year's Eve",
+    month=12,
+    day=31,
+    observance=previous_friday,
+)
+# New Year's Day
+EUREXNewYearsDay = Holiday(
+    "New Year's Day",
+    month=1,
+    day=1,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Early May bank holiday
+MayBank = Holiday(
+    "Early May Bank Holiday",
+    month=5,
+    day=1,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# German National Holiday (Tag der Deutschen Einheit)
+GermanNationalDay = Holiday(
+    'Tag der Deutschen Einheit',
+    month=10,
+    day=3,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Christmas Eve
+ChristmasEve = Holiday(
+    'Christmas Eve',
+    month=12,
+    day=24,
+    observance=previous_friday,
+)
+# Christmas
+Christmas = Holiday(
+    "Christmas",
+    month=12,
+    day=25,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# If christmas day is Saturday Monday 27th is a holiday
+# If christmas day is sunday the Tuesday 27th is a holiday
+WeekendChristmas = Holiday(
+    "Weekend Christmas",
+    month=12,
+    day=27,
+    days_of_week=(MONDAY, TUESDAY),
+)
+# Boxing day
+BoxingDay = Holiday(
+    "Boxing Day",
+    month=12,
+    day=26,
+)
+# If boxing day is saturday then Monday 28th is a holiday
+# If boxing day is sunday then Tuesday 28th is a holiday
+WeekendBoxingDay = Holiday(
+    "Weekend Boxing Day",
+    month=12,
+    day=28,
+    days_of_week=(MONDAY, TUESDAY),
+)
+
+
+class EUREXExchangeCalendar(MarketCalendar):
+    """
+    Exchange calendar for EUREX
+
+    """
+    aliases = ['EUREX']
+    regular_market_times = {
+        "market_open": ((None, time(9)),),
+        "market_close": ((None, time(17,30)),)
+    }
+
+    @property
+    def name(self):
+        return "EUREX"
+
+    @property
+    def tz(self):
+        return timezone('Europe/Berlin')
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(rules=[
+            EUREXNewYearsDay,
+            GoodFriday,
+            EasterMonday,
+            MayBank,
+            GermanNationalDay,
+            Christmas,
+            WeekendChristmas,
+            BoxingDay,
+            WeekendBoxingDay
+        ])
+
+    @property
+    def special_closes(self):
+        return [(
+            time(12, 30),
+            AbstractHolidayCalendar(rules=[
+                ChristmasEve,
+                EUREXNewYearsEve,
+            ])
+        )]