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

pandas_market_calendars/calendars/cme.py

@@ -1,240 +1,402 @@
-#
-# 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)
-        ]
+#
+# 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)]