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

pandas_market_calendars/calendar_utils.py

@@ -1,261 +1,261 @@
-"""
-Utilities to use with market_calendars
-"""
-import itertools
-import warnings
-
-import pandas as pd
-import numpy as np
-
-
-def merge_schedules(schedules, how="outer"):
-    """
-    Given a list of schedules will return a merged schedule. The merge method (how) will either return the superset
-    of any datetime when any schedule is open (outer) or only the datetime where all markets are open (inner)
-
-    CAVEATS:
-        * This does not work for schedules with breaks, the break information will be lost.
-        * Only "market_open" and "market_close" are considered, other market times are not yet supported.
-
-    :param schedules: list of schedules
-    :param how: outer or inner
-    :return: schedule DataFrame
-    """
-    all_cols = [x.columns for x in schedules]
-    all_cols = list(itertools.chain(*all_cols))
-    if ("break_start" in all_cols) or ("break_end" in all_cols):
-        warnings.warn(
-            "Merge schedules will drop the break_start and break_end from result."
-        )
-
-    result = schedules[0]
-    for schedule in schedules[1:]:
-        result = result.merge(schedule, how=how, right_index=True, left_index=True)
-        if how == "outer":
-            result["market_open"] = result.apply(
-                lambda x: min(x.market_open_x, x.market_open_y), axis=1
-            )
-            result["market_close"] = result.apply(
-                lambda x: max(x.market_close_x, x.market_close_y), axis=1
-            )
-        elif how == "inner":
-            result["market_open"] = result.apply(
-                lambda x: max(x.market_open_x, x.market_open_y), axis=1
-            )
-            result["market_close"] = result.apply(
-                lambda x: min(x.market_close_x, x.market_close_y), axis=1
-            )
-        else:
-            raise ValueError('how argument must be "inner" or "outer"')
-        result = result[["market_open", "market_close"]]
-    return result
-
-
-def convert_freq(index, frequency):
-    """
-    Converts a DateTimeIndex to a new lower frequency
-
-    :param index: DateTimeIndex
-    :param frequency: frequency string
-    :return: DateTimeIndex
-    """
-    return pd.DataFrame(index=index).asfreq(frequency).index
-
-
-class _date_range:
-    """
-    This is a callable class that should be used by calling the already initiated instance: `date_range`.
-    Given a schedule, it will return a DatetimeIndex with all of the valid datetimes at the frequency given.
-
-    The schedule columns should all have the same time zone.
-
-    The calculations will be made for each trading session. If the passed schedule-DataFrame doesn't have
-    breaks, there is one trading session per day going from market_open to market_close, otherwise there are two,
-    the first one going from market_open to break_start and the second one from break_end to market_close.
-
-    *Any trading session where start == end is considered a 'no-trading session' and will always be dropped*
-
-    CAVEATS:
-        * Only "market_open", "market_close" (and, optionally, "breaak_start" and "break_end")
-            are considered, other market times are not yet supported by this class.
-
-        * If the difference between start and end of a trading session is smaller than an interval of the
-           frequency, and closed= "right" and force_close = False, the whole session will disappear.
-           This will also raise a warning.
-
-
-    Signature:
-    .__call__(self, schedule, frequency, closed='right', force_close=True, **kwargs)
-
-    :param schedule: schedule of a calendar, which may or may not include break_start and break_end columns
-    :param frequency: frequency string that is used by pd.Timedelta to calculate the timestamps
-        this must be "1D" or higher frequency
-    :param closed: the way the intervals are labeled
-        'right': use the end of the interval
-        'left': use the start of the interval
-        None: (or 'both') use the end of the interval but include the start of the first interval (the open)
-    :param force_close: how the last value of a trading session is handled
-        True: guarantee that the close of the trading session is the last value
-        False: guarantee that there is no value greater than the close of the trading session
-        None: leave the last value as it is calculated based on the closed parameter
-    :param kwargs: unused. Solely for compatibility.
-
-
-    """
-
-    def __init__(self, schedule=None, frequency=None, closed="right", force_close=True):
-        if not closed in ("left", "right", "both", None):
-            raise ValueError("closed must be 'left', 'right', 'both' or None.")
-        elif not force_close in (True, False, None):
-            raise ValueError("force_close must be True, False or None.")
-
-        self.closed = closed
-        self.force_close = force_close
-        self.has_breaks = False
-        if frequency is None:
-            self.frequency = None
-        else:
-            self.frequency = pd.Timedelta(frequency)
-            if self.frequency > pd.Timedelta("1D"):
-                raise ValueError("Frequency must be 1D or higher frequency.")
-
-            elif schedule.market_close.lt(schedule.market_open).any():
-                raise ValueError(
-                    "Schedule contains rows where market_close < market_open,"
-                    " please correct the schedule"
-                )
-
-            if "break_start" in schedule:
-                if not all(
-                    [
-                        schedule.market_open.le(schedule.break_start).all(),
-                        schedule.break_start.le(schedule.break_end).all(),
-                        schedule.break_end.le(schedule.market_close).all(),
-                    ]
-                ):
-                    raise ValueError(
-                        "Not all rows match the condition: "
-                        "market_open <= break_start <= break_end <= market_close, "
-                        "please correct the schedule"
-                    )
-                self.has_breaks = True
-
-    def _check_overlap(self, schedule):
-        """checks if calculated end times would overlap with the next start times.
-        Only an issue when force_close is None and closed != left.
-
-        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
-        :raises ValueError:"""
-        if self.force_close is None and self.closed != "left":
-            num_bars = self._calc_num_bars(schedule)
-            end_times = schedule.start + num_bars * self.frequency
-
-            if end_times.gt(schedule.start.shift(-1)).any():
-                raise ValueError(
-                    f"The chosen frequency will lead to overlaps in the calculated index. "
-                    f"Either choose a higher frequency or avoid setting force_close to None "
-                    f"when setting closed to 'right', 'both' or None."
-                )
-
-    def _check_disappearing_session(self, schedule):
-        """checks if requested frequency and schedule would lead to lost trading sessions.
-        Only necessary when force_close = False and closed = "right".
-
-        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
-        :raises UserWarning:"""
-        if self.force_close is False and self.closed == "right":
-            if (schedule.end - schedule.start).lt(self.frequency).any():
-                warnings.warn(
-                    "An interval of the chosen frequency is larger than some of the trading sessions, "
-                    "while closed== 'right' and force_close is False. This will make those trading sessions "
-                    "disappear. Use a higher frequency or change the values of closed/force_close, to "
-                    "keep this from happening."
-                )
-
-    def _calc_num_bars(self, schedule):
-        """calculate the number of timestamps needed for each trading session.
-
-        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
-        :return: pd.Series of float64"""
-        return np.ceil((schedule.end - schedule.start) / self.frequency)
-
-    def _calc_time_series(self, schedule):
-        """Method used by date_range to calculate the trading index.
-
-        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
-        :return: pd.Series of datetime64[ns, UTC]"""
-        num_bars = self._calc_num_bars(schedule)
-
-        # ---> calculate the desired timeseries:
-        if self.closed == "left":
-            opens = schedule.start.repeat(num_bars)  # keep as is
-            time_series = (
-                opens.groupby(opens.index).cumcount()
-            ) * self.frequency + opens
-        elif self.closed == "right":
-            opens = schedule.start.repeat(num_bars)  # dont add row but shift up
-            time_series = (
-                opens.groupby(opens.index).cumcount() + 1
-            ) * self.frequency + opens
-        else:
-            num_bars += 1
-            opens = schedule.start.repeat(num_bars)  # add row but dont shift up
-            time_series = (
-                opens.groupby(opens.index).cumcount()
-            ) * self.frequency + opens
-
-        if not self.force_close is None:
-            time_series = time_series[time_series.le(schedule.end.repeat(num_bars))]
-            if self.force_close:
-                time_series = pd.concat([time_series, schedule.end]).sort_values()
-
-        return time_series
-
-    def __call__(self, schedule, frequency, closed="right", force_close=True, **kwargs):
-        """
-        See class docstring for more information.
-
-        :param schedule: schedule of a calendar, which may or may not include break_start and break_end columns
-        :param frequency: frequency string that is used by pd.Timedelta to calculate the timestamps
-            this must be "1D" or higher frequency
-        :param closed: the way the intervals are labeled
-            'right': use the end of the interval
-            'left': use the start of the interval
-            None: (or 'both') use the end of the interval but include the start of the first interval
-        :param force_close: how the last value of a trading session is handled
-            True: guarantee that the close of the trading session is the last value
-            False: guarantee that there is no value greater than the close of the trading session
-            None: leave the last value as it is calculated based on the closed parameter
-        :param kwargs: unused. Solely for compatibility.
-        :return: pd.DatetimeIndex of datetime64[ns, UTC]
-        """
-        self.__init__(schedule, frequency, closed, force_close)
-        if self.has_breaks:
-            # rearrange the schedule, to make every row one session
-            before = schedule[["market_open", "break_start"]].set_index(
-                schedule["market_open"]
-            )
-            after = schedule[["break_end", "market_close"]].set_index(
-                schedule["break_end"]
-            )
-            before.columns = after.columns = ["start", "end"]
-            schedule = pd.concat([before, after]).sort_index()
-
-        else:
-            schedule = schedule.rename(
-                columns={"market_open": "start", "market_close": "end"}
-            )
-
-        schedule = schedule[
-            schedule.start.ne(schedule.end)
-        ]  # drop the 'no-trading sessions'
-        self._check_overlap(schedule)
-        self._check_disappearing_session(schedule)
-
-        time_series = self._calc_time_series(schedule)
-
-        time_series.name = None
-        return pd.DatetimeIndex(time_series.drop_duplicates())
-
-
-date_range = _date_range()
+"""
+Utilities to use with market_calendars
+"""
+import itertools
+import warnings
+
+import numpy as np
+import pandas as pd
+
+
+def merge_schedules(schedules, how="outer"):
+    """
+    Given a list of schedules will return a merged schedule. The merge method (how) will either return the superset
+    of any datetime when any schedule is open (outer) or only the datetime where all markets are open (inner)
+
+    CAVEATS:
+        * This does not work for schedules with breaks, the break information will be lost.
+        * Only "market_open" and "market_close" are considered, other market times are not yet supported.
+
+    :param schedules: list of schedules
+    :param how: outer or inner
+    :return: schedule DataFrame
+    """
+    all_cols = [x.columns for x in schedules]
+    all_cols = list(itertools.chain(*all_cols))
+    if ("break_start" in all_cols) or ("break_end" in all_cols):
+        warnings.warn(
+            "Merge schedules will drop the break_start and break_end from result."
+        )
+
+    result = schedules[0]
+    for schedule in schedules[1:]:
+        result = result.merge(schedule, how=how, right_index=True, left_index=True)
+        if how == "outer":
+            result["market_open"] = result.apply(
+                lambda x: min(x.market_open_x, x.market_open_y), axis=1
+            )
+            result["market_close"] = result.apply(
+                lambda x: max(x.market_close_x, x.market_close_y), axis=1
+            )
+        elif how == "inner":
+            result["market_open"] = result.apply(
+                lambda x: max(x.market_open_x, x.market_open_y), axis=1
+            )
+            result["market_close"] = result.apply(
+                lambda x: min(x.market_close_x, x.market_close_y), axis=1
+            )
+        else:
+            raise ValueError('how argument must be "inner" or "outer"')
+        result = result[["market_open", "market_close"]]
+    return result
+
+
+def convert_freq(index, frequency):
+    """
+    Converts a DateTimeIndex to a new lower frequency
+
+    :param index: DateTimeIndex
+    :param frequency: frequency string
+    :return: DateTimeIndex
+    """
+    return pd.DataFrame(index=index).asfreq(frequency).index
+
+
+class _date_range:
+    """
+    This is a callable class that should be used by calling the already initiated instance: `date_range`.
+    Given a schedule, it will return a DatetimeIndex with all of the valid datetimes at the frequency given.
+
+    The schedule columns should all have the same time zone.
+
+    The calculations will be made for each trading session. If the passed schedule-DataFrame doesn't have
+    breaks, there is one trading session per day going from market_open to market_close, otherwise there are two,
+    the first one going from market_open to break_start and the second one from break_end to market_close.
+
+    *Any trading session where start == end is considered a 'no-trading session' and will always be dropped*
+
+    CAVEATS:
+        * Only "market_open", "market_close" (and, optionally, "breaak_start" and "break_end")
+            are considered, other market times are not yet supported by this class.
+
+        * If the difference between start and end of a trading session is smaller than an interval of the
+           frequency, and closed= "right" and force_close = False, the whole session will disappear.
+           This will also raise a warning.
+
+
+    Signature:
+    .__call__(self, schedule, frequency, closed='right', force_close=True, **kwargs)
+
+    :param schedule: schedule of a calendar, which may or may not include break_start and break_end columns
+    :param frequency: frequency string that is used by pd.Timedelta to calculate the timestamps
+        this must be "1D" or higher frequency
+    :param closed: the way the intervals are labeled
+        'right': use the end of the interval
+        'left': use the start of the interval
+        None: (or 'both') use the end of the interval but include the start of the first interval (the open)
+    :param force_close: how the last value of a trading session is handled
+        True: guarantee that the close of the trading session is the last value
+        False: guarantee that there is no value greater than the close of the trading session
+        None: leave the last value as it is calculated based on the closed parameter
+    :param kwargs: unused. Solely for compatibility.
+
+
+    """
+
+    def __init__(self, schedule=None, frequency=None, closed="right", force_close=True):
+        if closed not in ("left", "right", "both", None):
+            raise ValueError("closed must be 'left', 'right', 'both' or None.")
+        elif force_close not in (True, False, None):
+            raise ValueError("force_close must be True, False or None.")
+
+        self.closed = closed
+        self.force_close = force_close
+        self.has_breaks = False
+        if frequency is None:
+            self.frequency = None
+        else:
+            self.frequency = pd.Timedelta(frequency)
+            if self.frequency > pd.Timedelta("1D"):
+                raise ValueError("Frequency must be 1D or higher frequency.")
+
+            elif schedule.market_close.lt(schedule.market_open).any():
+                raise ValueError(
+                    "Schedule contains rows where market_close < market_open,"
+                    " please correct the schedule"
+                )
+
+            if "break_start" in schedule:
+                if not all(
+                        [
+                            schedule.market_open.le(schedule.break_start).all(),
+                            schedule.break_start.le(schedule.break_end).all(),
+                            schedule.break_end.le(schedule.market_close).all(),
+                        ]
+                ):
+                    raise ValueError(
+                        "Not all rows match the condition: "
+                        "market_open <= break_start <= break_end <= market_close, "
+                        "please correct the schedule"
+                    )
+                self.has_breaks = True
+
+    def _check_overlap(self, schedule):
+        """checks if calculated end times would overlap with the next start times.
+        Only an issue when force_close is None and closed != left.
+
+        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
+        :raises ValueError:"""
+        if self.force_close is None and self.closed != "left":
+            num_bars = self._calc_num_bars(schedule)
+            end_times = schedule.start + num_bars * self.frequency
+
+            if end_times.gt(schedule.start.shift(-1)).any():
+                raise ValueError(
+                    "The chosen frequency will lead to overlaps in the calculated index. "
+                    "Either choose a higher frequency or avoid setting force_close to None "
+                    "when setting closed to 'right', 'both' or None."
+                )
+
+    def _check_disappearing_session(self, schedule):
+        """checks if requested frequency and schedule would lead to lost trading sessions.
+        Only necessary when force_close = False and closed = "right".
+
+        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
+        :raises UserWarning:"""
+        if self.force_close is False and self.closed == "right":
+            if (schedule.end - schedule.start).lt(self.frequency).any():
+                warnings.warn(
+                    "An interval of the chosen frequency is larger than some of the trading sessions, "
+                    "while closed== 'right' and force_close is False. This will make those trading sessions "
+                    "disappear. Use a higher frequency or change the values of closed/force_close, to "
+                    "keep this from happening."
+                )
+
+    def _calc_num_bars(self, schedule):
+        """calculate the number of timestamps needed for each trading session.
+
+        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
+        :return: pd.Series of float64"""
+        return np.ceil((schedule.end - schedule.start) / self.frequency)
+
+    def _calc_time_series(self, schedule):
+        """Method used by date_range to calculate the trading index.
+
+        :param schedule: pd.DataFrame with first column: 'start' and second column: 'end'
+        :return: pd.Series of datetime64[ns, UTC]"""
+        num_bars = self._calc_num_bars(schedule)
+
+        # ---> calculate the desired timeseries:
+        if self.closed == "left":
+            opens = schedule.start.repeat(num_bars)  # keep as is
+            time_series = (
+                              opens.groupby(opens.index).cumcount()
+                          ) * self.frequency + opens
+        elif self.closed == "right":
+            opens = schedule.start.repeat(num_bars)  # dont add row but shift up
+            time_series = (
+                                  opens.groupby(opens.index).cumcount() + 1
+                          ) * self.frequency + opens
+        else:
+            num_bars += 1
+            opens = schedule.start.repeat(num_bars)  # add row but dont shift up
+            time_series = (
+                              opens.groupby(opens.index).cumcount()
+                          ) * self.frequency + opens
+
+        if self.force_close is not None:
+            time_series = time_series[time_series.le(schedule.end.repeat(num_bars))]
+            if self.force_close:
+                time_series = pd.concat([time_series, schedule.end]).sort_values()
+
+        return time_series
+
+    def __call__(self, schedule, frequency, closed="right", force_close=True, **kwargs):
+        """
+        See class docstring for more information.
+
+        :param schedule: schedule of a calendar, which may or may not include break_start and break_end columns
+        :param frequency: frequency string that is used by pd.Timedelta to calculate the timestamps
+            this must be "1D" or higher frequency
+        :param closed: the way the intervals are labeled
+            'right': use the end of the interval
+            'left': use the start of the interval
+            None: (or 'both') use the end of the interval but include the start of the first interval
+        :param force_close: how the last value of a trading session is handled
+            True: guarantee that the close of the trading session is the last value
+            False: guarantee that there is no value greater than the close of the trading session
+            None: leave the last value as it is calculated based on the closed parameter
+        :param kwargs: unused. Solely for compatibility.
+        :return: pd.DatetimeIndex of datetime64[ns, UTC]
+        """
+        self.__init__(schedule, frequency, closed, force_close)
+        if self.has_breaks:
+            # rearrange the schedule, to make every row one session
+            before = schedule[["market_open", "break_start"]].set_index(
+                schedule["market_open"]
+            )
+            after = schedule[["break_end", "market_close"]].set_index(
+                schedule["break_end"]
+            )
+            before.columns = after.columns = ["start", "end"]
+            schedule = pd.concat([before, after]).sort_index()
+
+        else:
+            schedule = schedule.rename(
+                columns={"market_open": "start", "market_close": "end"}
+            )
+
+        schedule = schedule[
+            schedule.start.ne(schedule.end)
+        ]  # drop the 'no-trading sessions'
+        self._check_overlap(schedule)
+        self._check_disappearing_session(schedule)
+
+        time_series = self._calc_time_series(schedule)
+
+        time_series.name = None
+        return pd.DatetimeIndex(time_series.drop_duplicates())
+
+
+date_range = _date_range()

pandas_market_calendars/calendars/asx.py

@@ -1,66 +1,66 @@
-from datetime import time
-
-from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, EasterMonday
-from pytz import timezone
-
-from pandas_market_calendars.holidays.oz import *
-from pandas_market_calendars.market_calendar import MarketCalendar
-
-AbstractHolidayCalendar.start_date = "2011-01-01"
-
-
-class ASXExchangeCalendar(MarketCalendar):
-    """
-    Open Time: 10:00 AM, Australia/Sydney
-    Close Time: 4:10 PM, Australia/Sydney
-
-
-    Regularly-Observed Holidays:
-    - New Year's Day (observed on Monday when Jan 1 is a Saturday or Sunday)
-    - Australia Day (observed on Monday when Jan 26 is a Saturday or Sunday)
-    - Good Friday (two days before Easter Sunday)
-    - Easter Monday (the Monday after Easter Sunday)
-    - ANZAC Day (April 25)
-    - Queen's Birthday (second Monday in June)
-    - Christmas Day (December 25, Saturday/Sunday to Monday)
-    - Boxing Day (December 26, Saturday to Monday, Sunday to Tuesday)
-
-
-    Regularly-Observed Early Closes:
-    - Last Business Day before Christmas Day
-    - Last Business Day of the Year
-
-    """
-
-    aliases = ["ASX"]
-    regular_market_times = {
-        "market_open": ((None, time(10)),),
-        "market_close": ((None, time(16, 10)),),
-    }
-
-    @property
-    def name(self):
-        return "ASX"
-
-    @property
-    def tz(self):
-        return timezone("Australia/Sydney")
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(
-            rules=[
-                OZNewYearsDay,
-                AustraliaDay,
-                AnzacDay,
-                QueensBirthday,
-                Christmas,
-                BoxingDay,
-                GoodFriday,
-                EasterMonday,
-            ]
-        )
-
-    @property
-    def adhoc_holidays(self):
-        return UniqueCloses
+from datetime import time
+
+from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, EasterMonday
+from pytz import timezone
+
+from pandas_market_calendars.holidays.oz import *
+from pandas_market_calendars.market_calendar import MarketCalendar
+
+AbstractHolidayCalendar.start_date = "2011-01-01"
+
+
+class ASXExchangeCalendar(MarketCalendar):
+    """
+    Open Time: 10:00 AM, Australia/Sydney
+    Close Time: 4:10 PM, Australia/Sydney
+
+
+    Regularly-Observed Holidays:
+    - New Year's Day (observed on Monday when Jan 1 is a Saturday or Sunday)
+    - Australia Day (observed on Monday when Jan 26 is a Saturday or Sunday)
+    - Good Friday (two days before Easter Sunday)
+    - Easter Monday (the Monday after Easter Sunday)
+    - ANZAC Day (April 25)
+    - Queen's Birthday (second Monday in June)
+    - Christmas Day (December 25, Saturday/Sunday to Monday)
+    - Boxing Day (December 26, Saturday to Monday, Sunday to Tuesday)
+
+
+    Regularly-Observed Early Closes:
+    - Last Business Day before Christmas Day
+    - Last Business Day of the Year
+
+    """
+
+    aliases = ["ASX"]
+    regular_market_times = {
+        "market_open": ((None, time(10)),),
+        "market_close": ((None, time(16, 10)),),
+    }
+
+    @property
+    def name(self):
+        return "ASX"
+
+    @property
+    def tz(self):
+        return timezone("Australia/Sydney")
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(
+            rules=[
+                OZNewYearsDay,
+                AustraliaDay,
+                AnzacDay,
+                QueensBirthday,
+                Christmas,
+                BoxingDay,
+                GoodFriday,
+                EasterMonday,
+            ]
+        )
+
+    @property
+    def adhoc_holidays(self):
+        return UniqueCloses