pandas-market-calendars 5.0.0__py3-none-any.whl → 5.1.1__py3-none-any.whl
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- pandas_market_calendars/__init__.py +39 -39
- pandas_market_calendars/calendar_registry.py +57 -57
- pandas_market_calendars/calendar_utils.py +1151 -1147
- pandas_market_calendars/calendars/asx.py +77 -70
- pandas_market_calendars/calendars/bmf.py +226 -219
- pandas_market_calendars/calendars/bse.py +432 -425
- pandas_market_calendars/calendars/cboe.py +156 -149
- pandas_market_calendars/calendars/cme.py +412 -405
- pandas_market_calendars/calendars/cme_globex_agriculture.py +172 -172
- pandas_market_calendars/calendars/cme_globex_base.py +126 -119
- pandas_market_calendars/calendars/cme_globex_crypto.py +165 -158
- pandas_market_calendars/calendars/cme_globex_energy_and_metals.py +223 -216
- pandas_market_calendars/calendars/cme_globex_equities.py +130 -123
- pandas_market_calendars/calendars/cme_globex_fixed_income.py +136 -136
- pandas_market_calendars/calendars/cme_globex_fx.py +101 -101
- pandas_market_calendars/calendars/eurex.py +138 -131
- pandas_market_calendars/calendars/eurex_fixed_income.py +105 -98
- pandas_market_calendars/calendars/hkex.py +438 -431
- pandas_market_calendars/calendars/ice.py +88 -81
- pandas_market_calendars/calendars/iex.py +162 -155
- pandas_market_calendars/calendars/jpx.py +124 -117
- pandas_market_calendars/calendars/lse.py +125 -118
- pandas_market_calendars/calendars/mirror.py +144 -144
- pandas_market_calendars/calendars/nyse.py +1472 -1466
- pandas_market_calendars/calendars/ose.py +125 -118
- pandas_market_calendars/calendars/sifma.py +390 -356
- pandas_market_calendars/calendars/six.py +143 -136
- pandas_market_calendars/calendars/sse.py +322 -315
- pandas_market_calendars/calendars/tase.py +231 -224
- pandas_market_calendars/calendars/tsx.py +192 -185
- pandas_market_calendars/class_registry.py +115 -115
- pandas_market_calendars/holidays/cme.py +385 -385
- pandas_market_calendars/holidays/cme_globex.py +214 -214
- pandas_market_calendars/holidays/cn.py +1476 -1476
- pandas_market_calendars/holidays/jp.py +401 -401
- pandas_market_calendars/holidays/jpx_equinox.py +506 -506
- pandas_market_calendars/holidays/nyse.py +1536 -1536
- pandas_market_calendars/holidays/oz.py +63 -63
- pandas_market_calendars/holidays/sifma.py +350 -350
- pandas_market_calendars/holidays/us.py +376 -376
- pandas_market_calendars/market_calendar.py +1008 -1008
- {pandas_market_calendars-5.0.0.dist-info → pandas_market_calendars-5.1.1.dist-info}/METADATA +3 -1
- pandas_market_calendars-5.1.1.dist-info/RECORD +50 -0
- {pandas_market_calendars-5.0.0.dist-info → pandas_market_calendars-5.1.1.dist-info}/WHEEL +1 -1
- pandas_market_calendars-5.0.0.dist-info/RECORD +0 -50
- {pandas_market_calendars-5.0.0.dist-info → pandas_market_calendars-5.1.1.dist-info}/licenses/LICENSE +0 -0
- {pandas_market_calendars-5.0.0.dist-info → pandas_market_calendars-5.1.1.dist-info}/licenses/NOTICE +0 -0
- {pandas_market_calendars-5.0.0.dist-info → pandas_market_calendars-5.1.1.dist-info}/top_level.txt +0 -0
@@ -1,385 +1,385 @@
|
|
1
|
-
import datetime
|
2
|
-
|
3
|
-
from dateutil.relativedelta import MO, TH, FR
|
4
|
-
from pandas import DateOffset, Timestamp
|
5
|
-
from pandas.tseries.holiday import Holiday, Easter, nearest_workday
|
6
|
-
from pandas.tseries.offsets import Day
|
7
|
-
|
8
|
-
#########
|
9
|
-
# Martin Luther King
|
10
|
-
#########
|
11
|
-
USMartinLutherKingJrAfter1998Before2022 = Holiday(
|
12
|
-
"Dr. Martin Luther King Jr. Day",
|
13
|
-
month=1,
|
14
|
-
day=1,
|
15
|
-
# The US markets didn't observe MLK day as a holiday until 1998.
|
16
|
-
start_date=Timestamp("1998-01-01"),
|
17
|
-
end_date=Timestamp("2021-12-31"),
|
18
|
-
offset=DateOffset(weekday=MO(3)),
|
19
|
-
)
|
20
|
-
|
21
|
-
USMartinLutherKingJrAfter1998Before2015 = Holiday(
|
22
|
-
"Dr. Martin Luther King Jr. Day",
|
23
|
-
month=1,
|
24
|
-
day=1,
|
25
|
-
# The US markets didn't observe MLK day as a holiday until 1998.
|
26
|
-
start_date=Timestamp("1998-01-01"),
|
27
|
-
end_date=Timestamp("2014-12-31"),
|
28
|
-
offset=DateOffset(weekday=MO(3)),
|
29
|
-
)
|
30
|
-
|
31
|
-
USMartinLutherKingJrAfter2015 = Holiday(
|
32
|
-
"Dr. Martin Luther King Jr. Day",
|
33
|
-
month=1,
|
34
|
-
day=1,
|
35
|
-
# The US markets didn't observe MLK day as a holiday until 1998.
|
36
|
-
start_date=Timestamp("2015-01-01"),
|
37
|
-
offset=DateOffset(weekday=MO(3)),
|
38
|
-
)
|
39
|
-
|
40
|
-
USMartinLutherKingJrAfter1998Before2016FridayBefore = Holiday(
|
41
|
-
"Dr. Martin Luther King Jr. Day",
|
42
|
-
month=1,
|
43
|
-
day=1,
|
44
|
-
start_date=Timestamp("1998-01-01"),
|
45
|
-
end_date=Timestamp("2015-12-31"),
|
46
|
-
offset=[DateOffset(weekday=MO(3)), DateOffset(weekday=FR(-1))],
|
47
|
-
)
|
48
|
-
|
49
|
-
#########
|
50
|
-
# President's Day
|
51
|
-
#########
|
52
|
-
USPresidentsDayBefore2022 = Holiday(
|
53
|
-
"President" "s Day",
|
54
|
-
start_date=Timestamp("1971-01-01"),
|
55
|
-
end_date=Timestamp("2021-12-31"),
|
56
|
-
month=2,
|
57
|
-
day=1,
|
58
|
-
offset=DateOffset(weekday=MO(3)),
|
59
|
-
)
|
60
|
-
USPresidentsDayBefore2015 = Holiday(
|
61
|
-
"President" "s Day",
|
62
|
-
start_date=Timestamp("1971-01-01"),
|
63
|
-
end_date=Timestamp("2014-12-31"),
|
64
|
-
month=2,
|
65
|
-
day=1,
|
66
|
-
offset=DateOffset(weekday=MO(3)),
|
67
|
-
)
|
68
|
-
|
69
|
-
USPresidentsDayAfter2015 = Holiday(
|
70
|
-
"President" "s Day",
|
71
|
-
start_date=Timestamp("2015-01-01"),
|
72
|
-
month=2,
|
73
|
-
day=1,
|
74
|
-
offset=DateOffset(weekday=MO(3)),
|
75
|
-
)
|
76
|
-
|
77
|
-
USPresidentsDayBefore2016FridayBefore = Holiday(
|
78
|
-
"President" "s Day",
|
79
|
-
start_date=Timestamp("1971-01-01"),
|
80
|
-
end_date=Timestamp("2015-12-31"),
|
81
|
-
month=2,
|
82
|
-
day=1,
|
83
|
-
offset=[DateOffset(weekday=MO(3)), DateOffset(weekday=FR(-1))],
|
84
|
-
)
|
85
|
-
|
86
|
-
#########
|
87
|
-
# Good Friday
|
88
|
-
#########
|
89
|
-
|
90
|
-
|
91
|
-
GoodFridayBefore2021 = Holiday(
|
92
|
-
"Good Friday",
|
93
|
-
month=1,
|
94
|
-
day=1,
|
95
|
-
offset=[Easter(), Day(-2)],
|
96
|
-
end_date=Timestamp("2020-12-31"),
|
97
|
-
)
|
98
|
-
|
99
|
-
# On some years (i.e. 2010,2012,2015) there is a special close for equities at 08:15
|
100
|
-
# so here it is made sure that those are not full holidays
|
101
|
-
easter = Easter()
|
102
|
-
daymin2 = Day(-2)
|
103
|
-
|
104
|
-
|
105
|
-
def not_0815_close(dt):
|
106
|
-
if dt.year in (2010, 2012, 2015):
|
107
|
-
return None
|
108
|
-
else:
|
109
|
-
return dt + easter + daymin2
|
110
|
-
|
111
|
-
|
112
|
-
GoodFridayBefore2021NotEarlyClose = Holiday(
|
113
|
-
"Good Friday",
|
114
|
-
month=1,
|
115
|
-
day=1,
|
116
|
-
observance=not_0815_close,
|
117
|
-
end_date=Timestamp("2020-12-31"),
|
118
|
-
)
|
119
|
-
|
120
|
-
# CME Interest Rate Products have this odd close
|
121
|
-
GoodFriday2009 = Holiday(
|
122
|
-
"Good Friday",
|
123
|
-
month=1,
|
124
|
-
day=1,
|
125
|
-
offset=[Easter(), Day(-3)],
|
126
|
-
start_date=Timestamp("2009-01-01"),
|
127
|
-
end_date=Timestamp("2009-12-31"),
|
128
|
-
)
|
129
|
-
|
130
|
-
GoodFriday2021 = Holiday(
|
131
|
-
"Good Friday",
|
132
|
-
month=1,
|
133
|
-
day=1,
|
134
|
-
offset=[Easter(), Day(-2)],
|
135
|
-
start_date=Timestamp("2021-01-01"),
|
136
|
-
end_date=Timestamp("2021-12-31"),
|
137
|
-
)
|
138
|
-
GoodFridayAfter2021 = Holiday(
|
139
|
-
"Good Friday",
|
140
|
-
month=1,
|
141
|
-
day=1,
|
142
|
-
offset=[Easter(), Day(-2)],
|
143
|
-
start_date=Timestamp("2022-01-01"),
|
144
|
-
)
|
145
|
-
GoodFriday2022 = Holiday(
|
146
|
-
"Good Friday",
|
147
|
-
month=1,
|
148
|
-
day=1,
|
149
|
-
offset=[Easter(), Day(-2)],
|
150
|
-
start_date=Timestamp("2022-01-01"),
|
151
|
-
end_date=Timestamp("2022-12-31"),
|
152
|
-
)
|
153
|
-
GoodFridayAfter2022 = Holiday(
|
154
|
-
"Good Friday",
|
155
|
-
month=1,
|
156
|
-
day=1,
|
157
|
-
offset=[Easter(), Day(-2)],
|
158
|
-
start_date=Timestamp("2023-01-01"),
|
159
|
-
)
|
160
|
-
# Dates when equities closed at 08:15
|
161
|
-
GoodFriday2010 = Holiday(
|
162
|
-
"Good Friday",
|
163
|
-
month=1,
|
164
|
-
day=1,
|
165
|
-
offset=[Easter(), Day(-2)],
|
166
|
-
start_date=Timestamp("2010-01-01"),
|
167
|
-
end_date=Timestamp("2010-12-31"),
|
168
|
-
)
|
169
|
-
GoodFriday2012 = Holiday(
|
170
|
-
"Good Friday",
|
171
|
-
month=1,
|
172
|
-
day=1,
|
173
|
-
offset=[Easter(), Day(-2)],
|
174
|
-
start_date=Timestamp("2012-01-01"),
|
175
|
-
end_date=Timestamp("2012-12-31"),
|
176
|
-
)
|
177
|
-
|
178
|
-
GoodFriday2015 = Holiday(
|
179
|
-
"Good Friday",
|
180
|
-
month=1,
|
181
|
-
day=1,
|
182
|
-
offset=[Easter(), Day(-2)],
|
183
|
-
start_date=Timestamp("2015-01-01"),
|
184
|
-
end_date=Timestamp("2015-12-31"),
|
185
|
-
)
|
186
|
-
|
187
|
-
#########
|
188
|
-
# Memorial Day
|
189
|
-
#########
|
190
|
-
|
191
|
-
USMemorialDay2021AndPrior = Holiday(
|
192
|
-
"Memorial Day",
|
193
|
-
month=5,
|
194
|
-
day=25,
|
195
|
-
start_date=Timestamp("1971-01-01"),
|
196
|
-
end_date=Timestamp("2021-12-31"),
|
197
|
-
offset=DateOffset(weekday=MO(1)),
|
198
|
-
) # Equity Products
|
199
|
-
USMemorialDay2013AndPrior = Holiday(
|
200
|
-
"Memorial Day",
|
201
|
-
month=5,
|
202
|
-
day=25,
|
203
|
-
start_date=Timestamp("1971-01-01"),
|
204
|
-
end_date=Timestamp("2013-12-31"),
|
205
|
-
offset=DateOffset(weekday=MO(1)),
|
206
|
-
)
|
207
|
-
USMemorialDayAfter2013 = Holiday(
|
208
|
-
"Memorial Day",
|
209
|
-
month=5,
|
210
|
-
day=25,
|
211
|
-
start_date=Timestamp("2014-01-01"),
|
212
|
-
offset=DateOffset(weekday=MO(1)),
|
213
|
-
)
|
214
|
-
USMemorialDay2015AndPriorFridayBefore = Holiday(
|
215
|
-
"Memorial Day",
|
216
|
-
month=5,
|
217
|
-
day=25,
|
218
|
-
start_date=Timestamp("1971-01-01"),
|
219
|
-
end_date=Timestamp("2015-12-31"),
|
220
|
-
offset=[DateOffset(weekday=MO(1)), DateOffset(weekday=FR(-1))],
|
221
|
-
)
|
222
|
-
|
223
|
-
#######
|
224
|
-
# Independence Day
|
225
|
-
#######
|
226
|
-
|
227
|
-
USIndependenceDayBefore2022 = Holiday(
|
228
|
-
"July 4th",
|
229
|
-
month=7,
|
230
|
-
day=4,
|
231
|
-
start_date=Timestamp("1954-01-01"),
|
232
|
-
end_date=Timestamp("2021-12-31"),
|
233
|
-
observance=nearest_workday,
|
234
|
-
)
|
235
|
-
USIndependenceDayBefore2014 = Holiday(
|
236
|
-
"July 4th",
|
237
|
-
month=7,
|
238
|
-
day=4,
|
239
|
-
start_date=Timestamp("1954-01-01"),
|
240
|
-
end_date=Timestamp("2013-12-31"),
|
241
|
-
observance=nearest_workday,
|
242
|
-
)
|
243
|
-
USIndependenceDayAfter2014 = Holiday(
|
244
|
-
"July 4th",
|
245
|
-
month=7,
|
246
|
-
day=4,
|
247
|
-
start_date=Timestamp("2014-01-01"),
|
248
|
-
observance=nearest_workday,
|
249
|
-
)
|
250
|
-
|
251
|
-
|
252
|
-
# Necessary for equities and crypto
|
253
|
-
def previous_workday_if_july_4th_is_tue_to_fri(dt):
|
254
|
-
july4th = datetime.datetime(dt.year, 7, 4)
|
255
|
-
if july4th.weekday() in (1, 2, 3, 4):
|
256
|
-
return july4th - datetime.timedelta(days=1)
|
257
|
-
# else None
|
258
|
-
|
259
|
-
|
260
|
-
USIndependenceDayBefore2022PreviousDay = Holiday(
|
261
|
-
"July 4th",
|
262
|
-
month=7,
|
263
|
-
day=4,
|
264
|
-
start_date=Timestamp("1954-01-01"),
|
265
|
-
observance=previous_workday_if_july_4th_is_tue_to_fri,
|
266
|
-
)
|
267
|
-
|
268
|
-
#########
|
269
|
-
# Labor Day
|
270
|
-
#########
|
271
|
-
|
272
|
-
USLaborDayStarting1887Before2022 = Holiday(
|
273
|
-
"Labor Day",
|
274
|
-
month=9,
|
275
|
-
day=1,
|
276
|
-
start_date=Timestamp("1887-01-01"),
|
277
|
-
end_date=Timestamp("2021-12-31"),
|
278
|
-
offset=DateOffset(weekday=MO(1)),
|
279
|
-
)
|
280
|
-
USLaborDayStarting1887Before2014 = Holiday(
|
281
|
-
"Labor Day",
|
282
|
-
month=9,
|
283
|
-
day=1,
|
284
|
-
start_date=Timestamp("1887-01-01"),
|
285
|
-
end_date=Timestamp("2013-12-31"),
|
286
|
-
offset=DateOffset(weekday=MO(1)),
|
287
|
-
)
|
288
|
-
USLaborDayStarting1887Before2015FridayBefore = Holiday(
|
289
|
-
"Labor Day",
|
290
|
-
month=9,
|
291
|
-
day=1,
|
292
|
-
start_date=Timestamp("1887-01-01"),
|
293
|
-
end_date=Timestamp("2014-12-31"),
|
294
|
-
offset=[DateOffset(weekday=MO(1)), DateOffset(weekday=FR(-1))],
|
295
|
-
)
|
296
|
-
USLaborDayStarting1887After2014 = Holiday(
|
297
|
-
"Labor Day",
|
298
|
-
month=9,
|
299
|
-
day=1,
|
300
|
-
start_date=Timestamp("2014-01-01"),
|
301
|
-
offset=DateOffset(weekday=MO(1)),
|
302
|
-
)
|
303
|
-
|
304
|
-
#########
|
305
|
-
# Thanksgiving
|
306
|
-
#########
|
307
|
-
|
308
|
-
USThanksgivingBefore2022 = Holiday(
|
309
|
-
"ThanksgivingFriday",
|
310
|
-
start_date=Timestamp("1942-01-01"),
|
311
|
-
end_date=Timestamp("2021-12-31"),
|
312
|
-
month=11,
|
313
|
-
day=1,
|
314
|
-
offset=DateOffset(weekday=TH(4)),
|
315
|
-
)
|
316
|
-
USThanksgivingBefore2014 = Holiday(
|
317
|
-
"ThanksgivingFriday",
|
318
|
-
start_date=Timestamp("1942-01-01"),
|
319
|
-
end_date=Timestamp("2013-12-31"),
|
320
|
-
month=11,
|
321
|
-
day=1,
|
322
|
-
offset=DateOffset(weekday=TH(4)),
|
323
|
-
)
|
324
|
-
USThanksgivingAfter2014 = Holiday(
|
325
|
-
"ThanksgivingFriday",
|
326
|
-
start_date=Timestamp("2014-01-01"),
|
327
|
-
month=11,
|
328
|
-
day=1,
|
329
|
-
offset=DateOffset(weekday=TH(4)),
|
330
|
-
)
|
331
|
-
|
332
|
-
|
333
|
-
# The following Holidays shouldn't be set with the FR offset
|
334
|
-
# In 2013, Nov 1st is a friday, so the 4th Friday is before the 4th Thursday...
|
335
|
-
# the observance rule defined herafter fixes this
|
336
|
-
|
337
|
-
# USThanksgivingFridayBefore2022 = Holiday(
|
338
|
-
# 'ThanksgivingFriday',
|
339
|
-
# start_date=Timestamp('1942-01-01'),
|
340
|
-
# end_date=Timestamp('2021-12-31'),
|
341
|
-
# month=11, day=1,
|
342
|
-
# offset=DateOffset(weekday=FR(4)),
|
343
|
-
# )
|
344
|
-
#
|
345
|
-
# USThanksgivingFriday2022AndAfter = Holiday(
|
346
|
-
# 'ThanksgivingFriday',
|
347
|
-
# start_date=Timestamp('2022-01-01'),
|
348
|
-
# month=11, day=1,
|
349
|
-
# offset=DateOffset(weekday=FR(4)),
|
350
|
-
# )
|
351
|
-
# USThanksgivingFriday = Holiday(
|
352
|
-
# 'ThanksgivingFriday',
|
353
|
-
# month=11, day=1,
|
354
|
-
# offset=DateOffset(weekday=FR(4)),
|
355
|
-
# )
|
356
|
-
|
357
|
-
|
358
|
-
def fri_after_4th_thu(dt):
|
359
|
-
# dt will just be Nov 1st
|
360
|
-
diff_to_thu = 3 - dt.weekday()
|
361
|
-
if diff_to_thu < 0:
|
362
|
-
diff_to_thu += 7
|
363
|
-
return dt + datetime.timedelta(days=diff_to_thu + 22)
|
364
|
-
|
365
|
-
|
366
|
-
USThanksgivingFriday = Holiday(
|
367
|
-
"ThanksgivingFriday",
|
368
|
-
start_date=Timestamp("1942-01-01"),
|
369
|
-
month=11,
|
370
|
-
day=1,
|
371
|
-
observance=fri_after_4th_thu,
|
372
|
-
)
|
373
|
-
|
374
|
-
USThanksgivingFriday2022AndAfter = Holiday(
|
375
|
-
"ThanksgivingFriday",
|
376
|
-
start_date=Timestamp("2022-01-01"),
|
377
|
-
month=11,
|
378
|
-
day=1,
|
379
|
-
observance=fri_after_4th_thu,
|
380
|
-
)
|
381
|
-
# USThanksgivingFriday = Holiday(
|
382
|
-
# 'ThanksgivingFriday',
|
383
|
-
# month=11, day=1,
|
384
|
-
# observance= fri_after_4th_thu,
|
385
|
-
# )
|
1
|
+
import datetime
|
2
|
+
|
3
|
+
from dateutil.relativedelta import MO, TH, FR
|
4
|
+
from pandas import DateOffset, Timestamp
|
5
|
+
from pandas.tseries.holiday import Holiday, Easter, nearest_workday
|
6
|
+
from pandas.tseries.offsets import Day
|
7
|
+
|
8
|
+
#########
|
9
|
+
# Martin Luther King
|
10
|
+
#########
|
11
|
+
USMartinLutherKingJrAfter1998Before2022 = Holiday(
|
12
|
+
"Dr. Martin Luther King Jr. Day",
|
13
|
+
month=1,
|
14
|
+
day=1,
|
15
|
+
# The US markets didn't observe MLK day as a holiday until 1998.
|
16
|
+
start_date=Timestamp("1998-01-01"),
|
17
|
+
end_date=Timestamp("2021-12-31"),
|
18
|
+
offset=DateOffset(weekday=MO(3)),
|
19
|
+
)
|
20
|
+
|
21
|
+
USMartinLutherKingJrAfter1998Before2015 = Holiday(
|
22
|
+
"Dr. Martin Luther King Jr. Day",
|
23
|
+
month=1,
|
24
|
+
day=1,
|
25
|
+
# The US markets didn't observe MLK day as a holiday until 1998.
|
26
|
+
start_date=Timestamp("1998-01-01"),
|
27
|
+
end_date=Timestamp("2014-12-31"),
|
28
|
+
offset=DateOffset(weekday=MO(3)),
|
29
|
+
)
|
30
|
+
|
31
|
+
USMartinLutherKingJrAfter2015 = Holiday(
|
32
|
+
"Dr. Martin Luther King Jr. Day",
|
33
|
+
month=1,
|
34
|
+
day=1,
|
35
|
+
# The US markets didn't observe MLK day as a holiday until 1998.
|
36
|
+
start_date=Timestamp("2015-01-01"),
|
37
|
+
offset=DateOffset(weekday=MO(3)),
|
38
|
+
)
|
39
|
+
|
40
|
+
USMartinLutherKingJrAfter1998Before2016FridayBefore = Holiday(
|
41
|
+
"Dr. Martin Luther King Jr. Day",
|
42
|
+
month=1,
|
43
|
+
day=1,
|
44
|
+
start_date=Timestamp("1998-01-01"),
|
45
|
+
end_date=Timestamp("2015-12-31"),
|
46
|
+
offset=[DateOffset(weekday=MO(3)), DateOffset(weekday=FR(-1))],
|
47
|
+
)
|
48
|
+
|
49
|
+
#########
|
50
|
+
# President's Day
|
51
|
+
#########
|
52
|
+
USPresidentsDayBefore2022 = Holiday(
|
53
|
+
"President" "s Day",
|
54
|
+
start_date=Timestamp("1971-01-01"),
|
55
|
+
end_date=Timestamp("2021-12-31"),
|
56
|
+
month=2,
|
57
|
+
day=1,
|
58
|
+
offset=DateOffset(weekday=MO(3)),
|
59
|
+
)
|
60
|
+
USPresidentsDayBefore2015 = Holiday(
|
61
|
+
"President" "s Day",
|
62
|
+
start_date=Timestamp("1971-01-01"),
|
63
|
+
end_date=Timestamp("2014-12-31"),
|
64
|
+
month=2,
|
65
|
+
day=1,
|
66
|
+
offset=DateOffset(weekday=MO(3)),
|
67
|
+
)
|
68
|
+
|
69
|
+
USPresidentsDayAfter2015 = Holiday(
|
70
|
+
"President" "s Day",
|
71
|
+
start_date=Timestamp("2015-01-01"),
|
72
|
+
month=2,
|
73
|
+
day=1,
|
74
|
+
offset=DateOffset(weekday=MO(3)),
|
75
|
+
)
|
76
|
+
|
77
|
+
USPresidentsDayBefore2016FridayBefore = Holiday(
|
78
|
+
"President" "s Day",
|
79
|
+
start_date=Timestamp("1971-01-01"),
|
80
|
+
end_date=Timestamp("2015-12-31"),
|
81
|
+
month=2,
|
82
|
+
day=1,
|
83
|
+
offset=[DateOffset(weekday=MO(3)), DateOffset(weekday=FR(-1))],
|
84
|
+
)
|
85
|
+
|
86
|
+
#########
|
87
|
+
# Good Friday
|
88
|
+
#########
|
89
|
+
|
90
|
+
|
91
|
+
GoodFridayBefore2021 = Holiday(
|
92
|
+
"Good Friday",
|
93
|
+
month=1,
|
94
|
+
day=1,
|
95
|
+
offset=[Easter(), Day(-2)],
|
96
|
+
end_date=Timestamp("2020-12-31"),
|
97
|
+
)
|
98
|
+
|
99
|
+
# On some years (i.e. 2010,2012,2015) there is a special close for equities at 08:15
|
100
|
+
# so here it is made sure that those are not full holidays
|
101
|
+
easter = Easter()
|
102
|
+
daymin2 = Day(-2)
|
103
|
+
|
104
|
+
|
105
|
+
def not_0815_close(dt):
|
106
|
+
if dt.year in (2010, 2012, 2015):
|
107
|
+
return None
|
108
|
+
else:
|
109
|
+
return dt + easter + daymin2
|
110
|
+
|
111
|
+
|
112
|
+
GoodFridayBefore2021NotEarlyClose = Holiday(
|
113
|
+
"Good Friday",
|
114
|
+
month=1,
|
115
|
+
day=1,
|
116
|
+
observance=not_0815_close,
|
117
|
+
end_date=Timestamp("2020-12-31"),
|
118
|
+
)
|
119
|
+
|
120
|
+
# CME Interest Rate Products have this odd close
|
121
|
+
GoodFriday2009 = Holiday(
|
122
|
+
"Good Friday",
|
123
|
+
month=1,
|
124
|
+
day=1,
|
125
|
+
offset=[Easter(), Day(-3)],
|
126
|
+
start_date=Timestamp("2009-01-01"),
|
127
|
+
end_date=Timestamp("2009-12-31"),
|
128
|
+
)
|
129
|
+
|
130
|
+
GoodFriday2021 = Holiday(
|
131
|
+
"Good Friday",
|
132
|
+
month=1,
|
133
|
+
day=1,
|
134
|
+
offset=[Easter(), Day(-2)],
|
135
|
+
start_date=Timestamp("2021-01-01"),
|
136
|
+
end_date=Timestamp("2021-12-31"),
|
137
|
+
)
|
138
|
+
GoodFridayAfter2021 = Holiday(
|
139
|
+
"Good Friday",
|
140
|
+
month=1,
|
141
|
+
day=1,
|
142
|
+
offset=[Easter(), Day(-2)],
|
143
|
+
start_date=Timestamp("2022-01-01"),
|
144
|
+
)
|
145
|
+
GoodFriday2022 = Holiday(
|
146
|
+
"Good Friday",
|
147
|
+
month=1,
|
148
|
+
day=1,
|
149
|
+
offset=[Easter(), Day(-2)],
|
150
|
+
start_date=Timestamp("2022-01-01"),
|
151
|
+
end_date=Timestamp("2022-12-31"),
|
152
|
+
)
|
153
|
+
GoodFridayAfter2022 = Holiday(
|
154
|
+
"Good Friday",
|
155
|
+
month=1,
|
156
|
+
day=1,
|
157
|
+
offset=[Easter(), Day(-2)],
|
158
|
+
start_date=Timestamp("2023-01-01"),
|
159
|
+
)
|
160
|
+
# Dates when equities closed at 08:15
|
161
|
+
GoodFriday2010 = Holiday(
|
162
|
+
"Good Friday",
|
163
|
+
month=1,
|
164
|
+
day=1,
|
165
|
+
offset=[Easter(), Day(-2)],
|
166
|
+
start_date=Timestamp("2010-01-01"),
|
167
|
+
end_date=Timestamp("2010-12-31"),
|
168
|
+
)
|
169
|
+
GoodFriday2012 = Holiday(
|
170
|
+
"Good Friday",
|
171
|
+
month=1,
|
172
|
+
day=1,
|
173
|
+
offset=[Easter(), Day(-2)],
|
174
|
+
start_date=Timestamp("2012-01-01"),
|
175
|
+
end_date=Timestamp("2012-12-31"),
|
176
|
+
)
|
177
|
+
|
178
|
+
GoodFriday2015 = Holiday(
|
179
|
+
"Good Friday",
|
180
|
+
month=1,
|
181
|
+
day=1,
|
182
|
+
offset=[Easter(), Day(-2)],
|
183
|
+
start_date=Timestamp("2015-01-01"),
|
184
|
+
end_date=Timestamp("2015-12-31"),
|
185
|
+
)
|
186
|
+
|
187
|
+
#########
|
188
|
+
# Memorial Day
|
189
|
+
#########
|
190
|
+
|
191
|
+
USMemorialDay2021AndPrior = Holiday(
|
192
|
+
"Memorial Day",
|
193
|
+
month=5,
|
194
|
+
day=25,
|
195
|
+
start_date=Timestamp("1971-01-01"),
|
196
|
+
end_date=Timestamp("2021-12-31"),
|
197
|
+
offset=DateOffset(weekday=MO(1)),
|
198
|
+
) # Equity Products
|
199
|
+
USMemorialDay2013AndPrior = Holiday(
|
200
|
+
"Memorial Day",
|
201
|
+
month=5,
|
202
|
+
day=25,
|
203
|
+
start_date=Timestamp("1971-01-01"),
|
204
|
+
end_date=Timestamp("2013-12-31"),
|
205
|
+
offset=DateOffset(weekday=MO(1)),
|
206
|
+
)
|
207
|
+
USMemorialDayAfter2013 = Holiday(
|
208
|
+
"Memorial Day",
|
209
|
+
month=5,
|
210
|
+
day=25,
|
211
|
+
start_date=Timestamp("2014-01-01"),
|
212
|
+
offset=DateOffset(weekday=MO(1)),
|
213
|
+
)
|
214
|
+
USMemorialDay2015AndPriorFridayBefore = Holiday(
|
215
|
+
"Memorial Day",
|
216
|
+
month=5,
|
217
|
+
day=25,
|
218
|
+
start_date=Timestamp("1971-01-01"),
|
219
|
+
end_date=Timestamp("2015-12-31"),
|
220
|
+
offset=[DateOffset(weekday=MO(1)), DateOffset(weekday=FR(-1))],
|
221
|
+
)
|
222
|
+
|
223
|
+
#######
|
224
|
+
# Independence Day
|
225
|
+
#######
|
226
|
+
|
227
|
+
USIndependenceDayBefore2022 = Holiday(
|
228
|
+
"July 4th",
|
229
|
+
month=7,
|
230
|
+
day=4,
|
231
|
+
start_date=Timestamp("1954-01-01"),
|
232
|
+
end_date=Timestamp("2021-12-31"),
|
233
|
+
observance=nearest_workday,
|
234
|
+
)
|
235
|
+
USIndependenceDayBefore2014 = Holiday(
|
236
|
+
"July 4th",
|
237
|
+
month=7,
|
238
|
+
day=4,
|
239
|
+
start_date=Timestamp("1954-01-01"),
|
240
|
+
end_date=Timestamp("2013-12-31"),
|
241
|
+
observance=nearest_workday,
|
242
|
+
)
|
243
|
+
USIndependenceDayAfter2014 = Holiday(
|
244
|
+
"July 4th",
|
245
|
+
month=7,
|
246
|
+
day=4,
|
247
|
+
start_date=Timestamp("2014-01-01"),
|
248
|
+
observance=nearest_workday,
|
249
|
+
)
|
250
|
+
|
251
|
+
|
252
|
+
# Necessary for equities and crypto
|
253
|
+
def previous_workday_if_july_4th_is_tue_to_fri(dt):
|
254
|
+
july4th = datetime.datetime(dt.year, 7, 4)
|
255
|
+
if july4th.weekday() in (1, 2, 3, 4):
|
256
|
+
return july4th - datetime.timedelta(days=1)
|
257
|
+
# else None
|
258
|
+
|
259
|
+
|
260
|
+
USIndependenceDayBefore2022PreviousDay = Holiday(
|
261
|
+
"July 4th",
|
262
|
+
month=7,
|
263
|
+
day=4,
|
264
|
+
start_date=Timestamp("1954-01-01"),
|
265
|
+
observance=previous_workday_if_july_4th_is_tue_to_fri,
|
266
|
+
)
|
267
|
+
|
268
|
+
#########
|
269
|
+
# Labor Day
|
270
|
+
#########
|
271
|
+
|
272
|
+
USLaborDayStarting1887Before2022 = Holiday(
|
273
|
+
"Labor Day",
|
274
|
+
month=9,
|
275
|
+
day=1,
|
276
|
+
start_date=Timestamp("1887-01-01"),
|
277
|
+
end_date=Timestamp("2021-12-31"),
|
278
|
+
offset=DateOffset(weekday=MO(1)),
|
279
|
+
)
|
280
|
+
USLaborDayStarting1887Before2014 = Holiday(
|
281
|
+
"Labor Day",
|
282
|
+
month=9,
|
283
|
+
day=1,
|
284
|
+
start_date=Timestamp("1887-01-01"),
|
285
|
+
end_date=Timestamp("2013-12-31"),
|
286
|
+
offset=DateOffset(weekday=MO(1)),
|
287
|
+
)
|
288
|
+
USLaborDayStarting1887Before2015FridayBefore = Holiday(
|
289
|
+
"Labor Day",
|
290
|
+
month=9,
|
291
|
+
day=1,
|
292
|
+
start_date=Timestamp("1887-01-01"),
|
293
|
+
end_date=Timestamp("2014-12-31"),
|
294
|
+
offset=[DateOffset(weekday=MO(1)), DateOffset(weekday=FR(-1))],
|
295
|
+
)
|
296
|
+
USLaborDayStarting1887After2014 = Holiday(
|
297
|
+
"Labor Day",
|
298
|
+
month=9,
|
299
|
+
day=1,
|
300
|
+
start_date=Timestamp("2014-01-01"),
|
301
|
+
offset=DateOffset(weekday=MO(1)),
|
302
|
+
)
|
303
|
+
|
304
|
+
#########
|
305
|
+
# Thanksgiving
|
306
|
+
#########
|
307
|
+
|
308
|
+
USThanksgivingBefore2022 = Holiday(
|
309
|
+
"ThanksgivingFriday",
|
310
|
+
start_date=Timestamp("1942-01-01"),
|
311
|
+
end_date=Timestamp("2021-12-31"),
|
312
|
+
month=11,
|
313
|
+
day=1,
|
314
|
+
offset=DateOffset(weekday=TH(4)),
|
315
|
+
)
|
316
|
+
USThanksgivingBefore2014 = Holiday(
|
317
|
+
"ThanksgivingFriday",
|
318
|
+
start_date=Timestamp("1942-01-01"),
|
319
|
+
end_date=Timestamp("2013-12-31"),
|
320
|
+
month=11,
|
321
|
+
day=1,
|
322
|
+
offset=DateOffset(weekday=TH(4)),
|
323
|
+
)
|
324
|
+
USThanksgivingAfter2014 = Holiday(
|
325
|
+
"ThanksgivingFriday",
|
326
|
+
start_date=Timestamp("2014-01-01"),
|
327
|
+
month=11,
|
328
|
+
day=1,
|
329
|
+
offset=DateOffset(weekday=TH(4)),
|
330
|
+
)
|
331
|
+
|
332
|
+
|
333
|
+
# The following Holidays shouldn't be set with the FR offset
|
334
|
+
# In 2013, Nov 1st is a friday, so the 4th Friday is before the 4th Thursday...
|
335
|
+
# the observance rule defined herafter fixes this
|
336
|
+
|
337
|
+
# USThanksgivingFridayBefore2022 = Holiday(
|
338
|
+
# 'ThanksgivingFriday',
|
339
|
+
# start_date=Timestamp('1942-01-01'),
|
340
|
+
# end_date=Timestamp('2021-12-31'),
|
341
|
+
# month=11, day=1,
|
342
|
+
# offset=DateOffset(weekday=FR(4)),
|
343
|
+
# )
|
344
|
+
#
|
345
|
+
# USThanksgivingFriday2022AndAfter = Holiday(
|
346
|
+
# 'ThanksgivingFriday',
|
347
|
+
# start_date=Timestamp('2022-01-01'),
|
348
|
+
# month=11, day=1,
|
349
|
+
# offset=DateOffset(weekday=FR(4)),
|
350
|
+
# )
|
351
|
+
# USThanksgivingFriday = Holiday(
|
352
|
+
# 'ThanksgivingFriday',
|
353
|
+
# month=11, day=1,
|
354
|
+
# offset=DateOffset(weekday=FR(4)),
|
355
|
+
# )
|
356
|
+
|
357
|
+
|
358
|
+
def fri_after_4th_thu(dt):
|
359
|
+
# dt will just be Nov 1st
|
360
|
+
diff_to_thu = 3 - dt.weekday()
|
361
|
+
if diff_to_thu < 0:
|
362
|
+
diff_to_thu += 7
|
363
|
+
return dt + datetime.timedelta(days=diff_to_thu + 22)
|
364
|
+
|
365
|
+
|
366
|
+
USThanksgivingFriday = Holiday(
|
367
|
+
"ThanksgivingFriday",
|
368
|
+
start_date=Timestamp("1942-01-01"),
|
369
|
+
month=11,
|
370
|
+
day=1,
|
371
|
+
observance=fri_after_4th_thu,
|
372
|
+
)
|
373
|
+
|
374
|
+
USThanksgivingFriday2022AndAfter = Holiday(
|
375
|
+
"ThanksgivingFriday",
|
376
|
+
start_date=Timestamp("2022-01-01"),
|
377
|
+
month=11,
|
378
|
+
day=1,
|
379
|
+
observance=fri_after_4th_thu,
|
380
|
+
)
|
381
|
+
# USThanksgivingFriday = Holiday(
|
382
|
+
# 'ThanksgivingFriday',
|
383
|
+
# month=11, day=1,
|
384
|
+
# observance= fri_after_4th_thu,
|
385
|
+
# )
|