pandas-market-calendars 4.3.2__py3-none-any.whl → 4.3.3__py3-none-any.whl

pandas_market_calendars/calendars/cme_globex_fx.py

@@ -1,92 +1,101 @@
-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]
-                ),
-            ),
-        ]
+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,
+    GoodFriday2022,
+    GoodFridayAfter2022,
+    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,
+                GoodFriday2022,
+                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,
+                        GoodFridayAfter2022,
+                    ]
+                ),
+            ),
+            (
+                _1200,
+                AbstractHolidayCalendar(
+                    rules=[
+                        USMartinLutherKingJrAfter1998Before2022,
+                        USPresidentsDayBefore2022,
+                        USMemorialDay2021AndPrior,
+                        USIndependenceDayBefore2022,
+                        USLaborDayStarting1887Before2022,
+                        USThanksgivingBefore2022,
+                    ]
+                ),
+            ),
+            (
+                _1215,
+                AbstractHolidayCalendar(
+                    rules=[USThanksgivingFriday, ChristmasEveInOrAfter1993]
+                ),
+            ),
+        ]

pandas_market_calendars/calendars/eurex.py

@@ -1,139 +1,139 @@
-#
-# 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,
-                    ]
-                ),
-            )
-        ]
+#
+# 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,
+                    ]
+                ),
+            )
+        ]

pandas_market_calendars/calendars/eurex_fixed_income.py

@@ -0,0 +1,98 @@
+from datetime import time
+
+from pandas.tseries.holiday import (
+    AbstractHolidayCalendar,
+    EasterMonday,
+    GoodFriday,
+    Holiday,
+)
+from pytz import timezone
+
+from pandas_market_calendars.market_calendar import (
+    FRIDAY,
+    MONDAY,
+    MarketCalendar,
+    THURSDAY,
+    TUESDAY,
+    WEDNESDAY,
+)
+
+# 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),
+)
+# Christmas Eve
+ChristmasEve = Holiday(
+    "Christmas Eve",
+    month=12,
+    day=24,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Christmas
+Christmas = Holiday(
+    "Christmas",
+    month=12,
+    day=25,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# Boxing day
+BoxingDay = Holiday(
+    "Boxing Day",
+    month=12,
+    day=26,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+# New Year's Eve
+NewYearsEve = Holiday(
+    "New Year's Eve",
+    month=12,
+    day=31,
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
+)
+
+
+class EUREXFixedIncomeCalendar(MarketCalendar):
+    """
+    Trading calendar available here:
+    https://www.eurex.com/resource/blob/3378814/910cf372738890f691bc1bfbccfd3aef/data/tradingcalendar_2023_en.pdf
+    """
+
+    aliases = ["EUREX_Bond"]
+
+    regular_market_times = {
+        "market_open": ((None, time(1, 10)), ("2018-12-10", time(8, 0))),
+        "market_close": ((None, time(22)),),
+    }
+
+    @property
+    def name(self):
+        return "EUREX_Bond"
+
+    @property
+    def tz(self):
+        return timezone("Europe/Berlin")
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(
+            rules=[
+                EUREXNewYearsDay,
+                GoodFriday,
+                EasterMonday,
+                MayBank,
+                ChristmasEve,
+                Christmas,
+                BoxingDay,
+                NewYearsEve,
+            ]
+        )