class USTradingCalendar(pd_holiday.AbstractHolidayCalendar):
rules = [
pd_holiday.Holiday('NewYearsDay',month=1,day=1,observance=pd_holiday.nearest_workday),
pd_holiday.USMartinLutherKingJr,
pd_holiday.USPresidentsDay,
pd_holiday.GoodFriday,
pd_holiday.USMemorialDay,
pd_holiday.Holiday('USIndependenceDay',month=7,day=4,observance=pd_holiday.nearest_workday),
pd_holiday.USLaborDay,
pd_holiday.USThanksgivingDay,
pd_holiday.Holiday('Christmas',month=12,day=25,observance=pd_holiday.nearest_workday)
]
def to_pickle(dates, path):
rules = []
keys = sorted(compat.iterkeys(dates))
for dt in keys:
name = dates[dt]
h = holiday.Holiday(name, dt.year, month=dt.month, day=dt.day)
rules.append(h)
print(len(rules))
with open(path, mode='wb') as w:
compat.cPickle.dump(rules, w, protocol=2)
print('pickled {0} data'.format(len(dates)))
class USTradingCalendar(holiday.AbstractHolidayCalendar):
# noinspection PyTypeChecker
rules = [
holiday.Holiday('NewYearsDay',
month=1,
day=1,
observance=holiday.nearest_workday),
holiday.USMartinLutherKingJr, holiday.USPresidentsDay,
holiday.GoodFriday, holiday.USMemorialDay,
holiday.Holiday('USIndependenceDay',
month=7,
day=4,
observance=holiday.nearest_workday),
holiday.USLaborDay, holiday.USThanksgivingDay,
holiday.Holiday('Christmas',
month=12,
day=25,
observance=holiday.nearest_workday)
]
def to_pickle(dates, path):
rules = []
keys = sorted(compat.iterkeys(dates))
for key in keys:
value = dates[key]
dt = value['date']
h = holiday.Holiday(value['name'],
dt.year,
month=dt.month,
day=dt.day)
rules.append(h)
print(len(rules))
with open(path, mode='w') as w:
compat.cPickle.dump(rules, w)
print('pickled {0} data'.format(len(dates)))
class LADHolidays(pandas.tseries.holiday.AbstractHolidayCalendar):
"""
A class that generates holiday calendars to be used as external features in the batch outlier detection model.
By default a list of common US holidays are included:
- Memorial Day, plus the weekend leading into it
- Veterans Day, plus the weekend leading into it
- Labor Day
- President's Day
- Martin Luther King Jr. Day
- Valentine's Day
- Mother's Day
- Father's Day
- Independence Day (actual and observed)
- Halloween
- Superbowl
- Easter
- Thanksgiving, plus the following weekend
- Christmas Eve, Christmas Day, and all dates up to New Year's Day (actual and observed)
"""
from pandas import DateOffset as _DateOffset
import pandas.tseries.holiday as _H
USMemorialDay = _H.Holiday('Memorial Day',
month=5,
day=31,
offset=_DateOffset(weekday=_H.MO(-1)))
USMemorialDaySun = _H.Holiday(
'Memorial Day Sunday',
month=5,
day=31,
offset=[_DateOffset(weekday=_H.MO(-1)),
_DateOffset(days=-1)])
USMemorialDaySat = _H.Holiday(
'Memorial Day Saturday',
month=5,
day=31,
offset=[_DateOffset(weekday=_H.MO(-1)),
_DateOffset(days=-2)])
USMemorialDayFri = _H.Holiday(
'Memorial Day Friday',
month=5,
day=31,
offset=[_DateOffset(weekday=_H.MO(-1)),
_DateOffset(days=-3)])
USVeteransDay = _H.Holiday('Veterans Day',
month=11,
day=11,
observance=_H.nearest_workday)
USLaborDaySun = _H.Holiday(
'Labor Day Sunday',
month=9,
day=1,
offset=[_DateOffset(weekday=_H.MO(1)),
_DateOffset(days=-1)])
USLaborDay = _H.Holiday('Labor Day',
month=9,
day=1,
offset=_DateOffset(weekday=_H.MO(1)))
USLaborDayTues = _H.Holiday(
'Labor Day Tues',
month=9,
day=1,
offset=[_DateOffset(weekday=_H.MO(1)),
_DateOffset(days=1)])
USPresidentsDay = _H.Holiday('Presidents Day',
month=2,
day=1,
offset=_DateOffset(weekday=_H.MO(3)))
USMartinLutherKingJr = _H.Holiday('MLK Day',
month=1,
day=1,
offset=_DateOffset(weekday=_H.MO(3)))
USValentinesDay = _H.Holiday('Valentines Day', month=2, day=14)
MothersDay = _H.Holiday('Mothers Day',
month=5,
day=1,
offset=_DateOffset(weekday=_H.SU(2)))
FathersDay = _H.Holiday('Fathers Day',
month=6,
day=1,
offset=_DateOffset(weekday=_H.SU(3)))
July4th = _H.Holiday('July 4th', month=7, day=4)
July4thObserved = _H.Holiday('July 4th Observed',
month=7,
day=4,
observance=_H.nearest_workday)
Halloween = _H.Holiday('Halloween', month=10, day=31)
Superbowl = _H.Holiday('Superbowl',
month=2,
day=1,
offset=_DateOffset(weekday=_H.SU(1)))
Easter = _H.Holiday('Easter',
month=1,
day=1,
offset=[_H.Easter(), _H.Day(0)])
USThanksgivingDay = _H.Holiday('Thanksgiving',
month=11,
day=1,
offset=_DateOffset(weekday=_H.TH(4)))
USThanksgivingFriday = _H.Holiday(
'Thanksgiving Friday',
month=11,
day=1,
offset=[_DateOffset(weekday=_H.TH(4)),
_DateOffset(days=1)])
USThanksgivingSaturday = _H.Holiday(
'Thanksgiving Saturday',
month=11,
day=1,
offset=[_DateOffset(weekday=_H.TH(4)),
_DateOffset(days=2)])
USThanksgivingSunday = _H.Holiday(
'Thanksgiving Sunday',
month=11,
day=1,
offset=[_DateOffset(weekday=_H.TH(4)),
_DateOffset(days=3)])
ChristmasEve = _H.Holiday('Christmas Eve', month=12, day=24)
ChristmasDay = _H.Holiday('Christmas Day', month=12, day=25)
ChristmasDayObserved = _H.Holiday('Christmas Day Observed',
month=12,
day=25,
observance=_H.nearest_workday)
Dec26 = _H.Holiday('December 26', month=12, day=26)
Dec27 = _H.Holiday('December 27', month=12, day=27)
Dec28 = _H.Holiday('December 28', month=12, day=28)
Dec29 = _H.Holiday('December 29', month=12, day=29)
Dec30 = _H.Holiday('December 30', month=12, day=30)
Dec31 = _H.Holiday('New Years Eve', month=12, day=31)
NewYearsDay = _H.Holiday('New Years Day', month=1, day=1)
NewYearsDayObserved = _H.Holiday('New Years Day Observed',
month=1,
day=1,
observance=_H.nearest_workday)
rules = [
USMemorialDay,
USMemorialDaySun,
USMemorialDaySat,
USMemorialDayFri,
USVeteransDay,
USLaborDaySun,
USLaborDay,
USLaborDayTues,
USPresidentsDay,
USMartinLutherKingJr,
USValentinesDay,
MothersDay,
FathersDay,
July4th,
July4thObserved,
Halloween,
Superbowl,
Easter,
USThanksgivingDay,
USThanksgivingFriday,
USThanksgivingSaturday,
USThanksgivingSunday,
ChristmasEve,
ChristmasDay,
ChristmasDayObserved,
Dec26,
Dec27,
Dec28,
Dec29,
Dec30,
Dec31,
NewYearsDay,
NewYearsDayObserved,
]
def __init__(self, name=None, holiday_rules=None):
if holiday_rules:
self.__class__.rules = holiday_rules
super(LADHolidays, self).__init__(name, self.__class__.rules)
