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

pandas_market_calendars/calendars/cme_globex_energy_and_metals.py

@@ -1,138 +1,216 @@
-#
-# 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,
-             ])),
-         ]
-
-
+#
+# 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 pandas.tseries.holiday import (
+    AbstractHolidayCalendar,
+)  # , GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
+from pytz import timezone
+
+from pandas_market_calendars.holidays.cme_globex import (
+    USMartinLutherKingJrFrom2022,
+    USMartinLutherKingJrPre2022,
+    USNewYearsDay,
+    USPresidentsDayFrom2022,
+    USPresidentsDayPre2022,
+    GoodFriday,
+    USMemorialDayFrom2022,
+    USMemorialDayPre2022,
+    USJuneteenthFrom2022,
+    USIndependenceDayFrom2022,
+    USIndependenceDayPre2022,
+    USLaborDay,
+    USThanksgivingDayFrom2022,
+    USThanksgivingDayPre2022,
+    FridayAfterThanksgiving,
+    ChristmasCME,
+)
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+
+# from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+#                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
+#                          USNationalDaysofMourning, USNewYearsDay)
+
+
+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

@@ -1,104 +1,123 @@
-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,
-            ])),
-
-        ]
-
-
+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,
+    GoodFriday2010,
+    GoodFriday2012,
+    GoodFriday2015,
+    GoodFriday2021,
+    GoodFriday2022,
+    GoodFridayAfter2022,
+    USMemorialDay2013AndPrior,
+    USMemorialDayAfter2013,
+    USIndependenceDayBefore2022PreviousDay,
+    USIndependenceDayBefore2014,
+    USIndependenceDayAfter2014,
+    USLaborDayStarting1887Before2014,
+    USLaborDayStarting1887After2014,
+    USThanksgivingBefore2014,
+    USThanksgivingAfter2014,
+    USThanksgivingFriday,
+)
+from pandas_market_calendars.holidays.us import (
+    USNewYearsDay,
+    ChristmasEveInOrAfter1993,
+    Christmas,
+    USJuneteenthAfter2022,
+)
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+
+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,
+                GoodFriday2022,
+                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,
+                        GoodFridayAfter2022,
+                    ]
+                ),
+            ),
+        ]