def testMonthlyComplexByWeekday(self):
self.failUnlessParseMatches(
"FREQ=MONTHLY;BYDAY=WE,4TH,FR", True, {
'freq': rrule.MONTHLY,
'interval': 1,
'byweekday': (rrule.TH(4), rrule.WE, rrule.FR)
}, {})
def thanksgiving(start=date.today(), end=date.today() + timedelta(days=365)):
''' Example for one date. '''
rs = rrule.rruleset()
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=start,
until=end,
bymonth=11,
byweekday=rrule.TH(4)))
return rs
def _thanksgiving(self, dtstart=None, until=None, count=None):
"""Thanksgiving is the last thursday of every november"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 11,
"byweekday": rrule.TH(4),
"dtstart": dtstart,
"until": until,
"count": count,
}
return self._irule(**kwargs)
def NYSE_holidays(a=datetime.date.today(), b=datetime.date.today()+datetime.timedelta(days=365)):
rs = rrule.rruleset()
# Include all potential holiday observances
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=31, byweekday=rrule.FR)) # New Years Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, bymonthday= 1)) # New Years Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, bymonthday= 2, byweekday=rrule.MO)) # New Years Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, byweekday= rrule.MO(3))) # Martin Luther King Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 2, byweekday= rrule.MO(3))) # Washington's Birthday
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, byeaster= -2)) # Good Friday
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 5, byweekday= rrule.MO(-1))) # Memorial Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 3, byweekday=rrule.FR)) # Independence Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 4)) # Independence Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 5, byweekday=rrule.MO)) # Independence Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 9, byweekday= rrule.MO(1))) # Labor Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=11, byweekday= rrule.TH(4))) # Thanksgiving Day
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=24, byweekday=rrule.FR)) # Christmas
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=25)) # Christmas
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=26, byweekday=rrule.MO)) # Christmas
# Exclude potential holidays that fall on weekends
rs.exrule(rrule.rrule(rrule.WEEKLY, dtstart=a, until=b, byweekday=(rrule.SA,rrule.SU)))
def get_schedule_holidays_rrules():
return [
rrule.rrule(rrule.YEARLY,
dtstart=datetime.now(),
bymonth=1,
bymonthday=1), # New Years
rrule.rrule(rrule.YEARLY,
dtstart=datetime.now(),
bymonth=5,
byweekday=rrule.MO(-1)), # Memorial
rrule.rrule(rrule.YEARLY,
dtstart=datetime.now(),
bymonth=7,
bymonthday=4), # Independence
rrule.rrule(rrule.YEARLY,
dtstart=datetime.now(),
bymonth=11,
byweekday=rrule.TH(4)), # Thanksgiving
rrule.rrule(rrule.YEARLY,
dtstart=datetime.now(),
bymonth=12,
bymonthday=25), # Christmas
]
def create_sample_data():
# Create the studio's event types
ets = dict(
((abbr, swingtime.EventType.objects.create(abbr=abbr, label=label))
for abbr, label in (
('prv', 'Private Lesson'),
('bgn', 'Beginner Class'),
('adv', 'Advanced Class'),
('bbc', 'Black Belt Class'),
('spr', 'Sparring'),
('open', 'Open Dojo'),
('spc', 'Special Event'),
)))
print(__doc__)
print('Created event types: %s' %
(', '.join(['%s' % et
for et in swingtime.EventType.objects.all()]), ))
now = datetime.now()
# create a single occurrence event
evt = swingtime.create_event(
'Grand Opening',
ets['spc'],
description='Open house',
start_time=datetime.combine(now.date(), time(16)),
end_time=datetime.combine(now.date(), time(18)),
note='Free tea, sushi, and sake')
print('Created event "%s" with %d occurrences' %
(evt, evt.occurrence_set.count()))
# create an event with multiple occurrences by fixed count
evt = swingtime.create_event(
'Beginner Class',
ets['bgn'],
description='Open to all white and yellow belts',
start_time=datetime.combine(now.date(), time(19)),
count=30,
byweekday=(rrule.MO, rrule.WE, rrule.FR))
print('Created event "%s" with %d occurrences' %
(evt, evt.occurrence_set.count()))
# create an event with multiple occurrences by ending date (until)
evt = swingtime.create_event(
'Advance Class',
ets['adv'],
description='Open to all green and brown belts',
start_time=datetime.combine(now.date(), time(18)),
until=now + timedelta(days=+70),
byweekday=(rrule.MO, rrule.WE, rrule.FR))
print('Created event "%s" with %d occurrences' %
(evt, evt.occurrence_set.count()))
# create an event with multiple occurrences by fixed count on monthly basis
evt = swingtime.create_event(
'Black Belt Class',
ets['bbc'],
description='Open to all black belts',
start_time=datetime.combine(now.date(), time(18, 30)),
end_time=datetime.combine(now.date(), time(20, 30)),
count=6,
freq=rrule.MONTHLY,
byweekday=(rrule.TH(+1), rrule.TH(+3)))
print('Created event "%s" with %d occurrences' %
(evt, evt.occurrence_set.count()))
# create an event with multiple occurrences and alternate intervale
evt = swingtime.create_event(
'Open Dojo',
ets['open'],
description='Open to all students',
start_time=datetime.combine(now.date(), time(12)),
end_time=datetime.combine(now.date(), time(16)),
interval=2,
count=6,
byweekday=(rrule.SU))
print('Created event "%s" with %d occurrences\n' %
(evt, evt.occurrence_set.count()))
'''
from datetime import datetime, timedelta
weekdays = [
'Monday', 'Tuesday', 'Wednesday', 'Thursday', 'Friday', 'Saturday',
'Sunday'
]
def get_previous_byday(dayname, start_date=None):
if not start_date:
start_date = datetime.now()
day_num = start_date.weekday()
day_num_target = weekdays.index(dayname)
days_ago = (7 + day_num - day_num_target) % 7
if days_ago == 0:
days_ago = 7
target_date = start_date - timedelta(days=days_ago)
return target_date
if __name__ == "__main__":
print(get_previous_byday("Thursday"))
from dateutil.relativedelta import relativedelta
from dateutil import rrule
d = datetime.now()
print(d + relativedelta(weekday=rrule.TH))
print(d + relativedelta(weekday=rrule.TH(-1)))
def testMonthlyByWeekday(self):
self.failUnlessParseMatches("FREQ=MONTHLY;BYDAY=4TH", True, {
'freq': rrule.MONTHLY,
'interval': 1,
'byweekday': (rrule.TH(4), )
}, {})
def get_non_trading_days(start, end):
non_trading_rules = []
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
weekends = rrule.rrule(rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(weekends)
new_years = rrule.rrule(rrule.MONTHLY,
byyearday=1,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(new_years)
new_years_sunday = rrule.rrule(rrule.MONTHLY,
byyearday=2,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(new_years_sunday)
mlk_day = rrule.rrule(rrule.MONTHLY,
bymonth=1,
byweekday=(rrule.MO(+3)),
cache=True,
dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
until=end)
non_trading_rules.append(mlk_day)
presidents_day = rrule.rrule(rrule.MONTHLY,
bymonth=2,
byweekday=(rrule.MO(3)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(presidents_day)
good_friday = rrule.rrule(rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(good_friday)
memorial_day = rrule.rrule(rrule.MONTHLY,
bymonth=5,
byweekday=(rrule.MO(-1)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(memorial_day)
july_4th = rrule.rrule(rrule.MONTHLY,
bymonth=7,
bymonthday=4,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th)
july_4th_sunday = rrule.rrule(rrule.MONTHLY,
bymonth=7,
bymonthday=5,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th_sunday)
july_4th_saturday = rrule.rrule(rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=rrule.FR,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th_saturday)
labor_day = rrule.rrule(rrule.MONTHLY,
bymonth=9,
byweekday=(rrule.MO(1)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(labor_day)
thanksgiving = rrule.rrule(rrule.MONTHLY,
bymonth=11,
byweekday=(rrule.TH(4)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(thanksgiving)
christmas = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=25,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas)
christmas_sunday = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=26,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas_sunday)
# If Christmas is a Saturday then 24th, a Friday is observed.
christmas_saturday = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=24,
byweekday=rrule.FR,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas_saturday)
non_trading_ruleset = rrule.rruleset()
for rule in non_trading_rules:
non_trading_ruleset.rrule(rule)
non_trading_days = non_trading_ruleset.between(start, end, inc=True)
# Add September 11th closings
# https://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
# Due to the terrorist attacks, the stock market did not open on 9/11/2001
# It did not open again until 9/17/2001.
#
# September 2001
# 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
for day_num in range(11, 17):
non_trading_days.append(datetime(2001, 9, day_num, tzinfo=pytz.utc))
# Add closings due to Hurricane Sandy in 2012
# https://en.wikipedia.org/wiki/Hurricane_sandy
#
# The stock exchange was closed due to Hurricane Sandy's
# impact on New York.
# It closed on 10/29 and 10/30, reopening on 10/31
# October 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
for day_num in range(29, 31):
non_trading_days.append(datetime(2012, 10, day_num, tzinfo=pytz.utc))
# Misc closings from NYSE listing.
# http://www.nyse.com/pdfs/closings.pdf
#
# National Days of Mourning
# - President Richard Nixon
non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
# - President Ronald W. Reagan - June 11, 2004
non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
# - President Gerald R. Ford - Jan 2, 2007
non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))
non_trading_days.sort()
return pd.DatetimeIndex(non_trading_days)
def analyze(model, logFunc):
months = list(calendar.month_abbr)
startMonth = months.index(model.startMonth)
startDate = datetime.datetime(int(model.startYear), startMonth, 1)
endMonth = months.index(model.endMonth)
firstWeekday, days = calendar.monthrange(int(model.endYear), endMonth)
endDate = datetime.datetime(int(model.endYear), endMonth, days)
if endDate < startDate:
raise AnalyzeException("End date must > start date")
if endDate.year == startDate.year and endDate.month - startDate.month < 2:
raise AnalyzeException(
"Start and end date should be atleast 2 months apart")
startDateStr = startDate.strftime("%Y-%m-%d")
endDateStr = endDate.strftime("%Y-%m-%d")
conn = sqlite3.connect(model.dbFile)
cursor = conn.cursor()
columns = [('INSTRUMENT', 'text'), ('SYMBOL', 'text'),
('EXPIRY_DT', 'text'), ('STRIKE_PR', 'real'),
('OPTION_TYP', 'text'), ('OPEN', 'real'), ('HIGH', 'real'),
('LOW', 'real'), ('CLOSE', 'real'), ('SETTLE_PR', 'real'),
('CONTRACTS', 'real'), ('VAL_INLAKH', 'real'),
('OPEN_INT', 'real'), ('CHG_IN_OI', 'real'),
('TIMESTAMP', 'text')]
column_names = [c for c, t in columns]
column_str = ",".join(column_names)
sql = "select %s from %s where TIMESTAMP >= ? and TIMESTAMP <= ? order by TIMESTAMP" % (
column_str, model.tableName)
count = 0
logFunc("Analyzing...%s - %s" % (startDateStr, endDateStr))
expiryDates = list(
rrule.rrule(rrule.MONTHLY, byweekday=rrule.TH(-1),
dtstart=startDate).between(startDate, endDate, inc=True))
expiryDatesTagMap = {}
for expiryDate in expiryDates:
expiryDatesTagMap[expiryDate.strftime("%Y-%m-%d")] = expiryDate
monthsData = [] # keep each month's data, month is from expiry to expiry
lastDateTag = None
strategy_data = {}
for i, strategy in enumerate(model.get_strategy_list()):
strategy_data[i] = []
for row in cursor.execute(sql, [startDateStr, endDateStr]):
count += 1
data = dict(zip(column_names, row))
curDateTag = data['TIMESTAMP']
if curDateTag not in expiryDatesTagMap and lastDateTag in expiryDatesTagMap: # expirty date passed
analyze_month_data(monthsData, model, strategy_data, lastDateTag,
logFunc)
monthsData = []
monthsData.append(data)
lastDateTag = curDateTag
logFunc("read %s rows" % count)
# strategy_data is map of index and data, just get data out in sequence
strategy_data = strategy_data.items()
strategy_data.sort()
strategy_data = [item[1] for item in strategy_data]
return strategy_data
def workingdays(startdate, enddate):
# Business days (working days) between the start date and end date
days = list(rrule.rrule(rrule.DAILY, byweekday = range(0,5), dtstart = startdate, until = enddate))
# List of company holidays, Memorial Day, Independence Day, Labor Day, Thanksgiving, Company Shutdown, MLK Birthday
holidays = list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 5, byweekday = rrule.MO(-1))) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 7, bymonthday = 4)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 9, byweekday = rrule.MO(1))) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 11, byweekday = rrule.TH(4))) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 11, byweekday = rrule.FR(4))) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 25)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 26)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 27)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 28)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 29)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 30)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 12, bymonthday = 31)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 1, bymonthday = 1)) +\
list(rrule.rrule(rrule.YEARLY, dtstart = startdate, until = enddate, bymonth = 1, byweekday = rrule.MO(3)))
# Total number of working days
totaldays = len(set(days) - set(holidays))
return totaldays
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th)
labor_day = rrule.rrule(rrule.MONTHLY,
bymonth=9,
byweekday=(rrule.MO(1)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(labor_day)
thanksgiving = rrule.rrule(rrule.MONTHLY,
bymonth=11,
byweekday=(rrule.TH(-1)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(thanksgiving)
christmas = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=25,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas)
non_trading_ruleset = rrule.rruleset()
def NYSE_holidays2(a, b):
# Generate ruleset for holiday observances on the NYSE
rs = rrule.rruleset()
# Include all potential holiday observances
###############################################
# New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=31,
byweekday=rrule.FR))
# New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=1, bymonthday=1))
# New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=1,
bymonthday=2,
byweekday=rrule.MO))
# MLK Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=1,
byweekday=rrule.MO(3)))
# Washington's Bday
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=2,
byweekday=rrule.MO(3)))
# Good Friday
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, byeaster=-2))
# Memorial Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=5,
byweekday=rrule.MO(-1)))
# Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=7,
bymonthday=3,
byweekday=rrule.FR))
# Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=7, bymonthday=4))
# Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=7,
bymonthday=5,
byweekday=rrule.MO))
# Labor Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=9,
byweekday=rrule.MO(1)))
# Thanksgiving Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=11,
byweekday=rrule.TH(4)))
# Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=24,
byweekday=rrule.FR))
# Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=25))
# Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=26,
byweekday=rrule.MO))
######################################################
# Exclude potential holidays that fall on weekends
rs.exrule(
rrule.rrule(rrule.WEEKLY,
dtstart=a,
until=b,
byweekday=(rrule.SA, rrule.SU)))
return rs
def get_nontrading_days(start, end):
non_trading_rules = []
weekends = rrule.rrule(rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(weekends)
new_years = rrule.rrule(rrule.MONTHLY,
byyearday=1,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(new_years)
new_years_sun = rrule.rrule(rrule.MONTHLY,
byyearday=2,
byweekday=(rrule.MO),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(new_years_sun)
mlk_day = rrule.rrule(rrule.MONTHLY,
bymonth=1,
byweekday=(rrule.MO(+3)),
cache=True,
dtstart=datetime(1998, 01, 01),
until=end)
non_trading_rules.append(mlk_day)
presidents_day = rrule.rrule(rrule.MONTHLY,
bymonth=2,
bymonthday=22,
cache=True,
dtstart=datetime(1950, 01, 01),
until=datetime(1971, 01, 01))
non_trading_rules.append(presidents_day)
presidents_day_mon = rrule.rrule(rrule.MONTHLY,
bymonth=2,
byweekday=(rrule.MO(3)),
cache=True,
dtstart=datetime(1971, 01, 01),
until=end)
non_trading_rules.append(presidents_day_mon)
good_friday = rrule.rrule(rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(good_friday)
memorial_day = rrule.rrule(rrule.MONTHLY,
bymonth=5,
bymonthday=30,
cache=True,
dtstart=datetime(1950, 01, 01),
until=datetime(1971, 01, 01))
non_trading_rules.append(memorial_day)
memorial_mon = rrule.rrule(rrule.MONTHLY,
bymonth=5,
byweekday=(rrule.MO(-1)),
cache=True,
dtstart=datetime(1971, 01, 01),
until=end)
non_trading_rules.append(memorial_mon)
paperwork_crisis = rrule.rrule(rrule.WEEKLY,
byweekday=rrule.WE,
cache=True,
dtstart=datetime(1968, 6, 11),
until=datetime(1968, 12, 31))
non_trading_rules.append(paperwork_crisis)
july_4th_sat = rrule.rrule(rrule.MONTHLY,
bymonth=7,
byweekday=(rrule.FR),
bymonthday=3,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th_sat)
july_4th = rrule.rrule(rrule.MONTHLY,
bymonth=7,
bymonthday=4,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th)
july_4th_sun = rrule.rrule(rrule.MONTHLY,
bymonth=7,
byweekday=(rrule.MO),
bymonthday=5,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(july_4th_sun)
labor_day = rrule.rrule(rrule.MONTHLY,
bymonth=9,
byweekday=(rrule.MO(1)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(labor_day)
thanksgiving = rrule.rrule(rrule.MONTHLY,
bymonth=11,
byweekday=(rrule.TH(4)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(thanksgiving)
election = rrule.rrule(rrule.YEARLY,
bymonth=11,
byweekday=rrule.TU,
bymonthday=(2, 3, 4, 5, 6, 7, 8),
cache=True,
dtstart=datetime(1950, 01, 01),
until=datetime(1968, 12, 01))
non_trading_rules.append(election)
pres_election = rrule.rrule(rrule.YEARLY,
interval=4,
bymonth=11,
byweekday=rrule.TU,
bymonthday=(2, 3, 4, 5, 6, 7, 8),
cache=True,
dtstart=datetime(1972, 01, 01),
until=datetime(1980, 12, 01))
non_trading_rules.append(pres_election)
christmas_sat = rrule.rrule(rrule.MONTHLY,
bymonth=12,
byweekday=(rrule.FR),
bymonthday=24,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas_sat)
christmas = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=25,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas)
christmas_sun = rrule.rrule(rrule.MONTHLY,
bymonth=12,
byweekday=(rrule.MO),
bymonthday=26,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(christmas_sun)
non_trading_ruleset = rrule.rruleset()
for rule in non_trading_rules:
non_trading_ruleset.rrule(rule)
non_trading_days = non_trading_ruleset.between(start, end, inc=True)
# Add September 11th closings
# http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
# Due to the terrorist attacks, the stock market did not open on 9/11/2001
# It did not open again until 9/17/2001.
#
# September 2001
# 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
for day_num in range(11, 17):
non_trading_days.append(datetime(2001, 9, day_num))
# Add closings due to Hurricane Sandy in 2012
# http://en.wikipedia.org/wiki/Hurricane_sandy
#
# The stock exchange was closed due to Hurricane Sandy's
# impact on New York.
# It closed on 10/29 and 10/30, reopening on 10/31
# October 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
for day_num in range(29, 31):
non_trading_days.append(datetime(2012, 10, day_num))
# Misc closings from NYSE listing.
# http://www.nyse.com/pdfs/closings.pdf
#
# Day before Decoration Day
non_trading_days.append(datetime(1961, 5, 29))
# Presidents day friday one time close
non_trading_days.append(datetime(1964, 2, 21))
# memorial day friday one time close
non_trading_days.append(datetime(1964, 5, 29))
non_trading_days.append(datetime(1965, 5, 31))
# Lincolns birthday
non_trading_days.append(datetime(1968, 2, 12))
# MLK Mounrning
non_trading_days.append(datetime(1968, 4, 9))
# National Days of Mourning
# - President John F. Kennedy
non_trading_days.append(datetime(1963, 11, 25))
# - President Richard M. Nixon - April 27, 1994
non_trading_days.append(datetime(1994, 4, 27))
# - President Ronald W. Reagan - June 11, 2004
non_trading_days.append(datetime(2004, 6, 11))
# - President Gerald R. Ford - Jan 2, 2007
non_trading_days.append(datetime(2007, 1, 2))
return non_trading_days
def get_nyse_holidays(year_start_, year_end_):
a = datetime.date(year_start_, 1, 1)
b = datetime.date(year_end_, 12, 31)
rs = rrule.rruleset()
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=31,
byweekday=rrule.FR)) # New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=1,
bymonthday=1)) # New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=1,
bymonthday=2,
byweekday=rrule.MO)) # New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=1,
byweekday=rrule.MO(3))) # Martin Luther King Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=2,
byweekday=rrule.MO(3))) # Washington's Birthday
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b,
byeaster=-2)) # Good Friday
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=5,
byweekday=rrule.MO(-1))) # Memorial Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=7,
bymonthday=3,
byweekday=rrule.FR)) # Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=7,
bymonthday=4)) # Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=7,
bymonthday=5,
byweekday=rrule.MO)) # Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=9,
byweekday=rrule.MO(1))) # Labor Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=11,
byweekday=rrule.TH(4))) # Thanksgiving Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=24,
byweekday=rrule.FR)) # Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=25)) # Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=26,
byweekday=rrule.MO)) # Christmas
# Exclude potential holidays that fall on weekends
rs.exrule(
rrule.rrule(rrule.WEEKLY,
dtstart=a,
until=b,
byweekday=(rrule.SA, rrule.SU)))
return list(rs)
def get_nyse_holidays(year_start_, year_end_):
'''Returns list of NYSE holidays between and included two specific years,
source `https://gist.github.com/jckantor/d100a028027c5a6b8340`
:param year_start_: integer representing the starting year
:param year_end_: integer representing the ending year
:return : list of datetime.date containing NYSE holidays
'''
a = dt.date(year_start_, 1, 1)
b = dt.date(year_end_, 12, 31)
rs = rrule.rruleset()
# New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=31,
byweekday=rrule.FR))
# New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=1, bymonthday=1))
# New Years Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=1,
bymonthday=2,
byweekday=rrule.MO))
# Martin Luther King Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=1,
byweekday=rrule.MO(3)))
# Washington's Birthday
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=2,
byweekday=rrule.MO(3)))
# Good Friday
rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, byeaster=-2))
# Memorial Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=5,
byweekday=rrule.MO(-1)))
# Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=7,
bymonthday=3,
byweekday=rrule.FR))
# Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=7, bymonthday=4))
# Independence Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=7,
bymonthday=5,
byweekday=rrule.MO))
# Labor Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=9,
byweekday=rrule.MO(1)))
# Thanksgiving Day
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=11,
byweekday=rrule.TH(4)))
# Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=24,
byweekday=rrule.FR))
# Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=25))
# Christmas
rs.rrule(
rrule.rrule(rrule.YEARLY,
dtstart=a,
until=b,
bymonth=12,
bymonthday=26,
byweekday=rrule.MO))
# Exclude potential holidays that fall on weekends
rs.exrule(
rrule.rrule(rrule.WEEKLY,
dtstart=a,
until=b,
byweekday=(rrule.SA, rrule.SU)))
return list(rs)
