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_day_after_thanksgiving():
# November 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
nyse = NYSEExchangeCalendar()
good_dates = nyse.schedule('2001-01-01', '2016-12-31')
fourth_friday_open = pd.Timestamp('11/23/2012 11:00AM',
tz='America/New_York')
fourth_friday = pd.Timestamp('11/23/2012 3:00PM', tz='America/New_York')
assert fourth_friday_open > good_dates.loc['2012-11-23', 'market_open']
assert fourth_friday > good_dates.loc['2012-11-23', 'market_close']
# November 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
fifth_friday_open = pd.Timestamp('11/29/2013 11:00AM',
tz='America/New_York')
fifth_friday = pd.Timestamp('11/29/2013 3:00PM', tz='America/New_York')
assert fifth_friday_open > good_dates.loc['2012-11-23', 'market_open']
assert fifth_friday > good_dates.loc['2012-11-23', 'market_close']
def test_custom_open_close():
cal = NYSEExchangeCalendar(open_time=dt.time(9), close_time=dt.time(10))
sched = cal.schedule("2021-08-16", "2021-08-16")
assert sched.market_open.iat[0] == pd.Timestamp(
"2021-08-16 13:00:00+00:00")
assert sched.market_close.iat[0] == pd.Timestamp(
"2021-08-16 14:00:00+00:00")
assert not NYSEExchangeCalendar.regular_market_times is cal.regular_market_times
def test_merge_schedules():
cal1 = FakeCalendar()
cal2 = NYSEExchangeCalendar()
# cal1 is open on 2016-07-04 and cal2 is not
sch1 = cal1.schedule('2016-07-01', '2016-07-06')
sch2 = cal2.schedule('2016-07-01', '2016-07-06')
# outer join will include July 4th and have
expected = pd.DataFrame(
{
'market_open': [
pd.Timestamp(x, tz='UTC') for x in [
'2016-07-01 02:13', '2016-07-04 02:13', '2016-07-05 02:13',
'2016-07-06 02:13'
]
],
'market_close': [
pd.Timestamp(x, tz='UTC') for x in [
'2016-07-01 20:00', '2016-07-04 02:49', '2016-07-05 20:00',
'2016-07-06 20:00'
]
]
},
columns=['market_open', 'market_close'],
index=pd.DatetimeIndex(
['2016-07-01', '2016-07-04', '2016-07-05', '2016-07-06']))
actual = mcal.merge_schedules([sch1, sch2], how='outer')
assert_frame_equal(actual, expected)
# inner join will exclude July 4th because not open for both
expected = pd.DataFrame(
{
'market_open': [
pd.Timestamp(x, tz='UTC') for x in
['2016-07-01 13:30', '2016-07-05 13:30', '2016-07-06 13:30']
],
'market_close': [
pd.Timestamp(x, tz='UTC') for x in
['2016-07-01 02:49', '2016-07-05 02:49', '2016-07-06 02:49']
]
},
columns=['market_open', 'market_close'],
index=pd.DatetimeIndex(['2016-07-01', '2016-07-05', '2016-07-06']))
actual = mcal.merge_schedules([sch1, sch2], how='inner')
assert_frame_equal(actual, expected)
# joining more than two calendars works correctly
actual = mcal.merge_schedules([sch1, sch1, sch1], how='inner')
assert_frame_equal(actual, sch1)
with pytest.raises(ValueError):
mcal.merge_schedules([sch1, sch2], how='left')
def test_special_early_close_is_not_trading_day():
"""
Performs a test for generating a schedule when a date that is a special early close is also an adhoc holiday so
that the process ignores the early close for the missing date.
"""
nyse = NYSEExchangeCalendar()
# 1956-12-24 is a full day holiday and also will show as early close
actual = nyse.schedule('1956-12-20', '1956-12-30')
dates = [pd.Timestamp('1956-12-' + x) for x in ['20', '21', '26', '27', '28']]
expected = pd.DatetimeIndex(dates)
assert_index_equal(actual.index, expected)
def test_early_close_independence_day_thursday():
"""
Prior to 2013, the market closed early the Friday after an Independence Day on Thursday.
Since and including 2013, the early close is on Wednesday.
"""
# July 2002
# 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()
schedule = nyse.schedule('2001-01-01', '2019-12-31')
wednesday_before = pd.Timestamp('7/3/2002 3:00PM', tz='America/New_York')
friday_after_open = pd.Timestamp('7/5/2002 11:00AM', tz='America/New_York')
friday_after = pd.Timestamp('7/5/2002 3:00PM', tz='America/New_York')
assert nyse.open_at_time(schedule, wednesday_before) is True
assert nyse.open_at_time(schedule, friday_after_open) is True
assert nyse.open_at_time(schedule, friday_after) is False
# July 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
wednesday_before = pd.Timestamp('7/3/2013 3:00PM', tz='America/New_York')
friday_after_open = pd.Timestamp('7/5/2013 11:00AM', tz='America/New_York')
friday_after = pd.Timestamp('7/5/2013 3:00PM', tz='America/New_York')
assert nyse.open_at_time(schedule, wednesday_before) is False
assert nyse.open_at_time(schedule, friday_after_open) is True
assert nyse.open_at_time(schedule, friday_after) is True
# July 2019
# 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
wednesday_before = pd.Timestamp('7/3/2019 3:00PM', tz='America/New_York')
friday_after_open = pd.Timestamp('7/5/2019 11:00AM', tz='America/New_York')
friday_after = pd.Timestamp('7/5/2019 3:00PM', tz='America/New_York')
assert nyse.open_at_time(schedule, wednesday_before) is False
assert nyse.open_at_time(schedule, friday_after_open) is True
assert nyse.open_at_time(schedule, friday_after) is True