pandas-market-calendars 4.4.0__py3-none-any.whl → 4.4.2__py3-none-any.whl

pandas_market_calendars/calendars/cme_globex_agriculture.py

@@ -1,126 +1,172 @@
-#
-# 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 abc import abstractmethod
-from datetime import time
-
-from pandas.tseries.holiday import (
-    AbstractHolidayCalendar,
-    GoodFriday,
-    USLaborDay,
-    USPresidentsDay,
-    USThanksgivingDay,
-)
-
-from pandas_market_calendars.holidays.us import (
-    Christmas,
-    ChristmasEveBefore1993,
-    ChristmasEveInOrAfter1993,
-    USBlackFridayInOrAfter1993,
-    USIndependenceDay,
-    USMartinLutherKingJrAfter1998,
-    USMemorialDay,
-    USNewYearsDay,
-)
-from .cme_globex_base import CMEGlobexBaseExchangeCalendar
-
-
-class CMEGlobexAgricultureExchangeCalendar(CMEGlobexBaseExchangeCalendar):
-    """
-    Exchange calendar for CME for Agriculture products
-
-    Products:
-    - Grains and Oilseeds (same trading hours and holidays)
-    - Livestock
-    - Dairy
-    - Fertilizer
-    - Lumber and Softs
-
-
-    """
-
-    @property
-    @abstractmethod
-    def name(self):
-        """
-        Name of the market
-
-        :return: string name
-        """
-        raise NotImplementedError()
-
-
-class CMEGlobexLivestockExchangeCalendar(CMEGlobexAgricultureExchangeCalendar):
-    """
-    Exchange calendar for CME for Livestock products
-
-    https://www.cmegroup.com/trading/agricultural/livestock.html
-
-    GLOBEX Trading Times
-    https://www.cmegroup.com/markets/agriculture/livestock/live-cattle.contractSpecs.html
-    Monday - Friday: 8:30 a.m. - 1:05 p.m. CT
-    """
-
-    aliases = [
-        "CMEGlobex_Livestock",
-        "CMEGlobex_Live_Cattle",
-        "CMEGlobex_Feeder_Cattle",
-        "CMEGlobex_Lean_Hog",
-        "CMEGlobex_Port_Cutout",
-    ]
-
-    regular_market_times = {
-        "market_open": ((None, time(8, 30)),),
-        "market_close": ((None, time(13, 5)),),
-    }
-
-    @property
-    def name(self):
-        return "CMEGlobex_Livestock"
-
-    @property
-    def regular_holidays(self):
-        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, 5),
-                AbstractHolidayCalendar(
-                    rules=[
-                        USBlackFridayInOrAfter1993,
-                        ChristmasEveBefore1993,
-                        ChristmasEveInOrAfter1993,
-                    ]
-                ),
-            )
-        ]
+#
+# 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 abc import abstractmethod
+from datetime import time
+
+from pandas.tseries.holiday import (
+    AbstractHolidayCalendar,
+    GoodFriday,
+    USLaborDay,
+    USPresidentsDay,
+    USThanksgivingDay,
+)
+
+from pandas_market_calendars.holidays.us import (
+    Christmas,
+    ChristmasEveBefore1993,
+    ChristmasEveInOrAfter1993,
+    USBlackFridayInOrAfter1993,
+    USIndependenceDay,
+    USMartinLutherKingJrAfter1998,
+    USMemorialDay,
+    USNewYearsDay,
+)
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
+
+
+class CMEGlobexAgricultureExchangeCalendar(CMEGlobexBaseExchangeCalendar):
+    """
+    Exchange calendar for CME for Agriculture products
+
+    Products:
+    - Grains and Oilseeds (same trading hours and holidays)
+    - Livestock
+    - Dairy
+    - Fertilizer
+    - Lumber and Softs
+
+
+    """
+
+    @property
+    @abstractmethod
+    def name(self):
+        """
+        Name of the market
+
+        :return: string name
+        """
+        raise NotImplementedError()
+
+
+class CMEGlobexLivestockExchangeCalendar(CMEGlobexAgricultureExchangeCalendar):
+    """
+    Exchange calendar for CME for Livestock products
+
+    https://www.cmegroup.com/trading/agricultural/livestock.html
+
+    GLOBEX Trading Times
+    https://www.cmegroup.com/markets/agriculture/livestock/live-cattle.contractSpecs.html
+    Monday - Friday: 8:30 a.m. - 1:05 p.m. CT
+    """
+
+    aliases = [
+        "CMEGlobex_Livestock",
+        "CMEGlobex_Live_Cattle",
+        "CMEGlobex_Feeder_Cattle",
+        "CMEGlobex_Lean_Hog",
+        "CMEGlobex_Port_Cutout",
+    ]
+
+    regular_market_times = {
+        "market_open": ((None, time(8, 30)),),
+        "market_close": ((None, time(13, 5)),),
+    }
+
+    @property
+    def name(self):
+        return "CMEGlobex_Livestock"
+
+    @property
+    def regular_holidays(self):
+        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, 5),
+                AbstractHolidayCalendar(
+                    rules=[
+                        USBlackFridayInOrAfter1993,
+                        ChristmasEveBefore1993,
+                        ChristmasEveInOrAfter1993,
+                    ]
+                ),
+            )
+        ]
+
+
+class CMEGlobexGrainsAndOilseedsExchangeCalendar(CMEGlobexAgricultureExchangeCalendar):
+    """
+    Exchange calendar for CME for Grains & Oilseeds
+
+    https://www.cmegroup.com/trading/agricultural/grain-and-oilseed.html
+
+    GLOBEX Trading Times
+    https://www.cmegroup.com/markets/agriculture/oilseeds/soybean.contractSpecs.html
+    https://www.cmegroup.com/markets/agriculture/grains/corn.contractSpecs.html
+    https://www.cmegroup.com/markets/agriculture/grains/wheat.contractSpecs.html
+    Sunday - Friday: 7:00 p.m. - 7:45 a.m. CT and Monday - Friday: 8:30 a.m. - 1:20 p.m. CT
+    """
+
+    aliases = [
+        "CMEGlobex_Grains",
+        "CMEGlobex_Oilseeds",
+    ]
+
+    regular_market_times = {
+        "market_open": ((None, time(19), -1),),  # offset by -1 day
+        "market_close": ((None, time(13, 20)),),
+        "break_start": ((None, time(7, 45)),),
+        "break_end": ((None, time(8, 30)),),
+    }
+
+    @property
+    def name(self):
+        return "CMEGlobex_GrainsAndOilseeds"
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(
+            rules=[
+                USNewYearsDay,
+                USMartinLutherKingJrAfter1998,
+                USPresidentsDay,
+                GoodFriday,
+                USMemorialDay,
+                USIndependenceDay,
+                USLaborDay,
+                USThanksgivingDay,
+                Christmas,
+            ]
+        )

pandas_market_calendars/calendars/cme_globex_base.py

@@ -1,119 +1,119 @@
-#
-# 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 abc import ABC, abstractmethod
-
-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,
-    USJuneteenthAfter2022,
-    USNewYearsDay,
-)
-from pandas_market_calendars.market_calendar import MarketCalendar
-
-
-class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
-    """
-    Base Exchange Calendar for CME.
-
-    CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
-    - Agriculture
-    - Crypto
-    - Energy
-    - Equity Index
-    - FX
-    - Interest Rates
-    - Metals
-    - Options
-
-    Holiays for which entire GLOBEX is closed:
-    - New Years Day
-    - Good Friday
-    - Christmas
-
-    Product Specific Closures:
-    - MLK Day
-    - Presidents Day
-    - Memorial Day
-    - Juneteenth
-    - US Independence Day
-    - US Labor Day
-    - US Thanksgiving Day
-    """
-
-    @property
-    @abstractmethod
-    def name(self):
-        """
-        Name of the market
-
-        :return: string name
-        """
-        raise NotImplementedError()
-
-    @property
-    def tz(self):
-        return timezone("America/Chicago")
-
-    @property
-    def regular_holidays(self):
-        return AbstractHolidayCalendar(
-            rules=[
-                USNewYearsDay,
-                GoodFriday,
-                Christmas,
-            ]
-        )
-
-    # I can't find any reference to these special closings onther than NYSE
-    # @property
-    # def adhoc_holidays(self):
-    #     return USNationalDaysofMourning
-
-    @property
-    def special_closes(self):
-        return [
-            (
-                self.special_close_time,
-                AbstractHolidayCalendar(
-                    rules=[
-                        USMartinLutherKingJrAfter1998,
-                        USPresidentsDay,
-                        USMemorialDay,
-                        USJuneteenthAfter2022,
-                        USLaborDay,
-                        USIndependenceDay,
-                        USThanksgivingDay,
-                        USBlackFridayInOrAfter1993,
-                        ChristmasEveBefore1993,
-                        ChristmasEveInOrAfter1993,
-                    ]
-                ),
-            )
-        ]
+#
+# 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 abc import ABC, abstractmethod
+
+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,
+    USJuneteenthAfter2022,
+    USNewYearsDay,
+)
+from pandas_market_calendars.market_calendar import MarketCalendar
+
+
+class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
+    """
+    Base Exchange Calendar for CME.
+
+    CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
+    - Agriculture
+    - Crypto
+    - Energy
+    - Equity Index
+    - FX
+    - Interest Rates
+    - Metals
+    - Options
+
+    Holiays for which entire GLOBEX is closed:
+    - New Years Day
+    - Good Friday
+    - Christmas
+
+    Product Specific Closures:
+    - MLK Day
+    - Presidents Day
+    - Memorial Day
+    - Juneteenth
+    - US Independence Day
+    - US Labor Day
+    - US Thanksgiving Day
+    """
+
+    @property
+    @abstractmethod
+    def name(self):
+        """
+        Name of the market
+
+        :return: string name
+        """
+        raise NotImplementedError()
+
+    @property
+    def tz(self):
+        return timezone("America/Chicago")
+
+    @property
+    def regular_holidays(self):
+        return AbstractHolidayCalendar(
+            rules=[
+                USNewYearsDay,
+                GoodFriday,
+                Christmas,
+            ]
+        )
+
+    # I can't find any reference to these special closings onther than NYSE
+    # @property
+    # def adhoc_holidays(self):
+    #     return USNationalDaysofMourning
+
+    @property
+    def special_closes(self):
+        return [
+            (
+                self.special_close_time,
+                AbstractHolidayCalendar(
+                    rules=[
+                        USMartinLutherKingJrAfter1998,
+                        USPresidentsDay,
+                        USMemorialDay,
+                        USJuneteenthAfter2022,
+                        USLaborDay,
+                        USIndependenceDay,
+                        USThanksgivingDay,
+                        USBlackFridayInOrAfter1993,
+                        ChristmasEveBefore1993,
+                        ChristmasEveInOrAfter1993,
+                    ]
+                ),
+            )
+        ]