def test_special_holidays():
# 9/11
# Sept 11, 12, 13, 14 2001
nyse = NYSEExchangeCalendar()
good_dates = nyse.valid_days('1985-01-01', '2016-12-31')
assert pd.Timestamp("9/11/2001") not in good_dates
assert pd.Timestamp("9/12/2001") not in good_dates
assert pd.Timestamp("9/13/2001") not in good_dates
assert pd.Timestamp("9/14/2001") not in good_dates
# Hurricane Gloria
# Sept 27, 1985
assert pd.Timestamp("9/27/1985") not in good_dates
# Hurricane Sandy
# Oct 29, 30 2012
assert pd.Timestamp("10/29/2012") not in good_dates
assert pd.Timestamp("10/30/2012") not in good_dates
# various national days of mourning
# Gerald Ford - 1/2/2007
assert pd.Timestamp("1/2/2007") not in good_dates
# Ronald Reagan - 6/11/2004
assert pd.Timestamp("6/11/2004") not in good_dates
# Richard Nixon - 4/27/1994
assert pd.Timestamp("4/27/1994") not in good_dates
def test_2012():
nyse = NYSEExchangeCalendar()
# holidays we expect:
holidays_2012 = [
pd.Timestamp("2012-01-02", tz='UTC'),
pd.Timestamp("2012-01-16", tz='UTC'),
pd.Timestamp("2012-02-20", tz='UTC'),
pd.Timestamp("2012-04-06", tz='UTC'),
pd.Timestamp("2012-05-28", tz='UTC'),
pd.Timestamp("2012-07-04", tz='UTC'),
pd.Timestamp("2012-09-03", tz='UTC'),
pd.Timestamp("2012-11-22", tz='UTC'),
pd.Timestamp("2012-12-25", tz='UTC')
]
for session_label in holidays_2012:
assert session_label not in nyse.valid_days('2012-01-01', '2012-12-31')
# early closes we expect:
early_closes_2012 = [
pd.Timestamp("2012-07-03", tz='UTC'),
pd.Timestamp("2012-11-23", tz='UTC'),
pd.Timestamp("2012-12-24", tz='UTC')
]
expected = nyse.early_closes(nyse.schedule('2012-01-01', '2012-12-31'))
assert len(expected) == 3
for early_close_session_label in early_closes_2012:
assert early_close_session_label in expected.index
def test_thanksgiving():
"""
Check MarketCalendar Thanksgiving dates.
"""
# November 2005
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5
# 6 7 8 9 10 11 12
# 13 14 15 16 17 18 19
# 20 21 22 23 24 25 26
# 27 28 29 30
nyse = NYSEExchangeCalendar()
good_dates = nyse.valid_days('2001-01-01', '2016-12-31')
# If Nov has 4 Thursdays, {0} Thanksgiving is the last Thursday.
thanksgiving_with_four_weeks = pd.Timestamp("2005-11-24", tz='UTC')
assert thanksgiving_with_four_weeks not in good_dates
# November 2006
# Su Mo Tu We Th Fr Sa
# 1 2 3 4
# 5 6 7 8 9 10 11
# 12 13 14 15 16 17 18
# 19 20 21 22 23 24 25
# 26 27 28 29 30
# If Nov has 5 Thursdays, {0} Thanksgiving is not the last week.
thanksgiving_with_five_weeks = pd.Timestamp("2006-11-23", tz='UTC')
assert thanksgiving_with_five_weeks not in good_dates
# If NYE falls on a weekend, {0} the Tuesday after is the first trading day.
first_trading_day_after_new_years_sunday = pd.Timestamp("2012-01-03",
tz='UTC')
assert first_trading_day_after_new_years_sunday in good_dates
def test_days_at_time_open():
cal = NYSEExchangeCalendar()
# check if market_open before/after 1985 is correct
valid = cal.valid_days("1984-12-30", "1985-01-03")
at_open = cal.days_at_time(valid, "market_open")
assert_index_equal(
at_open,
pd.DatetimeIndex([
'1984-12-31 10:00:00', '1985-01-02 09:30:00', '1985-01-03 09:30:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
# check if it is rounded
valid = cal.valid_days("1901-12-13", "1901-12-16")
at_open = cal.days_at_time(valid, "market_open")
assert_index_equal(
at_open,
pd.DatetimeIndex([
'1901-12-13 10:00:00', '1901-12-14 10:00:00', '1901-12-16 10:00:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
# check if chosen time is kept
cal = NYSEExchangeCalendar(open_time=dt.time(9))
at_open = cal.days_at_time(valid, "market_open")
assert_index_equal(
at_open,
pd.DatetimeIndex([
'1901-12-13 09:00:00', '1901-12-14 09:00:00', '1901-12-16 09:00:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
def test_new_years():
"""
Check whether the MarketCalendar contains certain dates.
"""
# January 2012
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5 6 7
# 8 9 10 11 12 13 14
# 15 16 17 18 19 20 21
# 22 23 24 25 26 27 28
# 29 30 31
nyse = NYSEExchangeCalendar()
good_dates = nyse.valid_days('2001-01-01', '2016-12-31')
# If New Years falls on a weekend, {0} the Monday after is a holiday.
day_after_new_years_sunday = pd.Timestamp("2012-01-02", tz='UTC')
assert day_after_new_years_sunday not in good_dates
# If New Years falls on a weekend, {0} the Tuesday after is the first trading day.
first_trading_day_after_new_years_sunday = pd.Timestamp("2012-01-03",
tz='UTC')
assert first_trading_day_after_new_years_sunday in good_dates
# January 2013
# Su Mo Tu We Th Fr Sa
# 1 2 3 4 5
# 6 7 8 9 10 11 12
# 13 14 15 16 17 18 19
# 20 21 22 23 24 25 26
# 27 28 29 30 31
# If New Years falls during the week, e.g. {0}, it is a holiday.
new_years_day = pd.Timestamp("2013-01-01", tz='UTC')
assert new_years_day not in good_dates
# If the day after NYE falls during the week, {0} is the first trading day.
first_trading_day_after_new_years = pd.Timestamp("2013-01-02", tz='UTC')
assert first_trading_day_after_new_years in good_dates
def test_days_at_time_close():
cal = NYSEExchangeCalendar()
# test market_close before/after 1952-09-29
valid = cal.valid_days("1952-09-26", "1952-09-30")
at_close = cal.days_at_time(valid, "market_close")
assert_index_equal(
at_close,
pd.DatetimeIndex([
'1952-09-26 15:00:00', '1952-09-29 15:30:00', '1952-09-30 15:30:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
# market_close before/after 1974-01-01
valid = cal.valid_days("1973-12-28", "1974-01-02")
at_close = cal.days_at_time(valid, "market_close")
assert_index_equal(
at_close,
pd.DatetimeIndex([
'1973-12-28 15:30:00', '1973-12-31 15:30:00', '1974-01-02 16:00:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
# test all three market_closes
valid = cal.valid_days("1952-09-26", "1974-01-02")
at_close = cal.days_at_time(valid, "market_close").tz_convert(cal.tz)
assert at_close[0] == pd.Timestamp('1952-09-26 15:00:00').tz_localize(
cal.tz)
assert at_close[1] == pd.Timestamp('1952-09-29 15:30:00').tz_localize(
cal.tz)
assert at_close[-2] == pd.Timestamp('1973-12-31 15:30:00').tz_localize(
cal.tz)
assert at_close[-1] == pd.Timestamp('1974-01-02 16:00:00').tz_localize(
cal.tz)
# test Saturday closes
valid = cal.valid_days("1952-05-23", "1952-05-26")
at_close = cal.days_at_time(valid, "market_close")
assert_index_equal(
at_close,
pd.DatetimeIndex([
'1952-05-23 15:00:00', '1952-05-24 12:00:00', '1952-05-26 15:00:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
# check if it is rounded
valid = cal.valid_days("1901-12-13", "1901-12-16")
at_close = cal.days_at_time(valid, "market_close")
assert_index_equal(
at_close,
pd.DatetimeIndex([
'1901-12-13 15:00:00', '1901-12-14 12:00:00', '1901-12-16 15:00:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))
# check if chosen time is kept
cal = NYSEExchangeCalendar(close_time=dt.time(10))
at_close = cal.days_at_time(valid, "market_close")
assert_index_equal(
at_close,
pd.DatetimeIndex([
'1901-12-13 10:00:00', '1901-12-14 10:00:00', '1901-12-16 10:00:00'
],
dtype='datetime64[ns]',
freq=None).tz_localize(cal.tz).tz_convert("UTC"))