pandas-market-calendars 4.3.1__py3-none-any.whl → 4.3.3__py3-none-any.whl

pandas_market_calendars/holidays/cme.py

@@ -1,340 +1,385 @@
-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,
-# )
+import datetime
+
+from dateutil.relativedelta import MO, TH, FR
+from pandas import DateOffset, Timestamp
+from pandas.tseries.holiday import Holiday, Easter, 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"),
+)
+GoodFriday2022 = Holiday(
+    "Good Friday",
+    month=1,
+    day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp("2022-01-01"),
+    end_date=Timestamp("2022-12-31"),
+)
+GoodFridayAfter2022 = Holiday(
+    "Good Friday",
+    month=1,
+    day=1,
+    offset=[Easter(), Day(-2)],
+    start_date=Timestamp("2023-01-01"),
+)
+# 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,
+# )