def test_all_holidays(self):
au = sum(
holidays.AU(years=[1957, 2012, 2015], prov=p)
for p in holidays.AU.PROVINCES)
holidays_found = sum((au.get_list(key) for key in au), [])
all_holidays = [
"New Year's Day",
"Australia Day",
"Adelaide Cup",
"Canberra Day",
"Good Friday",
"Easter Saturday",
"Easter Sunday",
"Easter Monday",
"Anzac Day",
"Queen's Birthday",
"Western Australia Day",
"Family & Community Day",
"Labour Day",
"Eight Hours Day",
"May Day",
"Picnic Day",
"Melbourne Cup",
"Christmas Day",
"Proclamation Day",
"Boxing Day",
]
for holiday in all_holidays:
self.assertIn(holiday, holidays_found, holiday)
def init_zone_demand_factors(model, zone, timestamp):
dt = datetime.datetime.strptime(timestamp, '%Y-%m-%d %H:%M:%S')
not_holiday = dt.date() not in (holidays.AU(
prov=cemo.const.ZONE_DEMAND_PCT.get(zone).get('prov')))
is_peak = 'off peak'
if dt.weekday() < 5 and 8 <= dt.hour < 20 and not_holiday:
is_peak = 'peak'
return cemo.const.ZONE_DEMAND_PCT.get(zone).get(is_peak)
def bsm_call(cls, ticker, expiry, strike, rf=0.0225):
'''Calculates option price using the black-scholes model
Arguments:
ticker {str} -- Underlying ticker in yahoo finance format
expiry {str} -- Option expiry date
strike {float} -- Strike price
Keyword Arguments:
rf {float} -- Short-term risk-free rate (default: {0.0225})
Returns:
val {float} -- Option valuation from BSM
'''
# Compute variables
s0 = yf.Ticker(ticker).history(period='1d').Close.sum()
vol = cls.historical_vol(ticker)
print(s0, vol)
expiry = datehandler.to_iso(expiry).date()
start = datetime.datetime.today().date()
if start.weekday() in [5, 6]:
start = start - datetime.timedelta(
days=start.weekday()) + datetime.timedelta(days=4)
nsw_holidays = holidays.AU(prov='NSW')
years = np.busday_count(
start, expiry, holidays=nsw_holidays[start:expiry]) / 252
print(years)
d1 = (np.log(s0 / strike) + years *
(rf + (vol**2) / 2)) / (vol * np.sqrt(years))
d2 = d1 - (vol * np.sqrt(years))
n1 = norm.cdf(d1)
n2 = norm.cdf(d2)
print((np.log(s0 / strike) + years * (rf + (vol**2) / 2)))
print(f'd1 = {d1} | d2 = {d2}')
print(f'n1 = {n1} | n2 = {n2}')
# Compute value of call option
val = s0 * n1 - strike * np.exp(-rf * years) * n2
return val
def load(country, region, observed, expand, years):
# Erases existing holiday cache and makes a new one...
global dates
if country == "US":
dates = holidays.US(state=region,
observed=observed,
expand=expand,
years=years)
elif country == "CA":
dates = holidays.CA(prov=region,
observed=observed,
expand=expand,
years=years)
elif country == "MX":
dates = holidays.MX(observed=observed, expand=expand, years=years)
elif country == "NZ":
dates = holidays.NZ(prov=region,
observed=observed,
expand=expand,
years=years)
elif country == "AU":
dates = holidays.AU(prov=region,
observed=observed,
expand=expand,
years=years)
elif country == "AT":
dates = holidays.AT(prov=region,
observed=observed,
expand=expand,
years=years)
elif country == "DE":
dates = holidays.DE(prov=region,
observed=observed,
expand=expand,
years=years)
else:
print "UNKNOWN COUNTRY ", country
def find_good_epics():
spreads_and_epics = []
i_count = 0
pick_from_epics = []
full_hol_list = []
###################################################################
tz = pytz.timezone('Europe/Berlin')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
ger_today = str(str("GER_" + str(todays_date)))
print("Europe/Berlin :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('Europe/London')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
gb_today = str(str("GB_" + str(todays_date)))
print("Europe/London :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('America/New_York')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
us_today = str(str("US_" + str(todays_date)))
print("America/New_York :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('Australia/Sydney')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
aus_today = str(str("AUS_" + str(todays_date)))
print("Australia/Sydney :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('Asia/Tokyo')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
jp_today = str(str("JP_" + str(todays_date)))
print("Asia/Tokyo :- Today's Date is ..." + str(todays_date))
###################################################################
b_ger_hol = False
b_uk_hol = False
b_us_hol = False
b_aus_hol = False
b_jp_hol = False
for date, name in sorted(holidays.DE(years=YEAR_var).items()):
full_hol_list.append(str("GER_" + str(date)))
for date, name in sorted(holidays.UK(years=YEAR_var).items()):
full_hol_list.append(str("GB_" + str(date)))
for date, name in sorted(holidays.US(years=YEAR_var).items()):
full_hol_list.append(str("US_" + str(date)))
for date, name in sorted(holidays.AU(years=YEAR_var).items()):
full_hol_list.append(str("AUS_" + str(date)))
for date, name in sorted(holidays.JP(years=YEAR_var).items()):
full_hol_list.append(str("JP_" + str(date)))
full_hol_list = sorted(full_hol_list)
for d in full_hol_list:
#print (d)
if str(d) == ger_today:
b_ger_hol = True
if str(d) == gb_today:
b_uk_hol = True
if str(d) == us_today:
b_us_hol = True
if str(d) == aus_today:
b_aus_hol = True
if str(d) == jp_today:
b_jp_hol = True
for epic_id in main_epic_ids:
tmp_lst = []
base_url = REAL_OR_NO_REAL + '/markets/' + epic_id
auth_r = requests.get(base_url, headers=authenticated_headers)
d = json.loads(auth_r.text)
try:
i_count = i_count + 1
if epic_id.find('MXN') != -1:
#print("!!DEBUG!!...skipping, FOUND MXN in..." + str(epic_id))
time.sleep(1)
elif epic_id.find('SEK') != -1:
#print("!!DEBUG!!...skipping, FOUND SEK in..." + str(epic_id))
time.sleep(1)
elif epic_id.find('NOK') != -1:
#print("!!DEBUG!!...skipping, FOUND NOK in..." + str(epic_id))
time.sleep(1)
elif epic_id.find('CNH') != -1:
#print("!!DEBUG!!...skipping, FOUND CNH in..." + str(epic_id))
time.sleep(1)
else:
b_TRADE_OK = True
if b_TRADE_OK:
current_bid = d['snapshot']['bid']
ask_price = d['snapshot']['offer']
spread = float(current_bid) - float(ask_price)
if float(spread) >= -1.51:
# tmp_lst.append(epic_id)
# spreads_and_epics.append(tmp_lst)
pick_from_epics.append(epic_id)
# print ("bid : " + str(current_bid))
# print ("ask : " + str(ask_price))
# print ("-------------------------")
# print ("spread : " + str(spread))
# print ("-------------------------")
print(
"!!DEBUG!!...FOUND GOOD EPIC {} spread {}...{}/{}".
format(epic_id, spread, i_count,
len(main_epic_ids)))
time.sleep(1)
else:
print(
"!!DEBUG!!...skipping, NO GOOD EPIC {} spread {} ....Checking next epic spreads...{}/{}"
.format(epic_id, spread, i_count,
len(main_epic_ids)))
time.sleep(1)
continue
else:
print(
"!!DEBUG!!...skipping, NOT CURRENTLY TRADEABLE EPIC {} ....Checking next epic spreads...{}/{}"
.format(epic_id, i_count, len(main_epic_ids)))
except Exception as e:
print(e)
pass
return (pick_from_epics)
import numpy as np
import pandas as pd
import matplotlib.pyplot as plt
from matplotlib.pyplot import figure
import holidays
from datetime import date
import sys
from datetime import date
import pdb
au_holidays = holidays.AU(years=[
2016, 2017, 2018, 2019
]) # this gets us a dictionary of dates for holidays in Australia
AUHOLIDAYS = list(au_holidays.keys())
def lookatData():
print(rawGSD.head(10))
print(rawGSD.describe())
rawGSD.hist(figsize=(25, 20))
plt.show()
def getTop5Categories():
'''
This function gets us the most sold categories from our grocery store dataset
'''
vals = rawGSD.groupby(['CATEGORY']).sum().sort_values(['PROFIT'],
ascending=False)
top5Categories = vals.reset_index().CATEGORY.values[
def judge_local_holiday(self, df):
country = df['geoNetwork_country']
date = df['visitId'].apply(lambda x: x.date())
judge_holiday = \
np.where(country.isin(
['United States','India','Canada','Germany',
'Japan','France','Mexico','Australia',
'Spain','Netherlands','Italy','Ireland',
'Sweden','Argentina','Colombia','Belgium',
'Switzerland','Czechia','Colombia','Belgium',
'New Zealand','South Africa','South Africa']),\
np.where((country=='United States')&
(date.isin(holidays.US())),1,
np.where((country=='India')&
(date.isin(holidays.India())),1,
np.where((country=='Canada')&
(date.isin(holidays.CA())),1,
np.where((country=='Germany')&
(date.isin(holidays.DE())),1,\
np.where((country=='Japan')&
(date.isin(holidays.JP())),1,
np.where((country=='France')&
(date.isin(holidays.FRA())),1,
np.where((country=='Mexico')&
(date.isin(holidays.MX())),1,
np.where((country=='Australia')&
(date.isin(holidays.AU())),1,\
np.where((country=='Spain')&
(date.isin(holidays.ES())),1,
np.where((country=='Netherlands')&
(date.isin(holidays.NL())),1,
np.where((country=='Italy')&
(date.isin(holidays.IT())),1,
np.where((country=='Ireland')&
(date.isin(holidays.IE())),1,\
np.where((country=='Sweden')&
(date.isin(holidays.SE())),1,
np.where((country=='Argentina')&
(date.isin(holidays.AR())),1,
np.where((country=='Colombia')&
(date.isin(holidays.CO())),1,
np.where((country=='Belgium')&
(date.isin(holidays.BE())),1,\
np.where((country=='Switzerland')&
(date.isin(holidays.CH())),1,
np.where((country=='Czechia')&
(date.isin(holidays.CZ())),1,
np.where((country=='Denmark')&
(date.isin(holidays.DK())),1,
np.where((country=='Austria')&
(date.isin(holidays.AT())),1,\
np.where((country=='Hungary')&
(date.isin(holidays.HU())),1,
np.where((country=='Portugal')&
(date.isin(holidays.PT())),1,
np.where((country=='Norway')&
(date.isin(holidays.NO())),1,
np.where((country=='Portugal')&
(date.isin(holidays.PT())),1,\
np.where((country=='New Zealand')&
(date.isin(holidays.NZ())),1,
np.where((country=='South Africa')&
(date.isin(holidays.ZA())),1,
np.where((country=='South Africa')&
(date.isin(holidays.ZA())),1,\
0))))))))))))))))))))))))))),np.nan).astype(int)
return judge_holiday
soldDateList=data1[5].split("/")
datetime_object = datetime.strptime(data1[5] , '%d/%m/%Y')
### Checking if its a weekend ################################
day=(calendar.day_name[datetime_object.weekday()])
timeofWeek=''
if(day=="Sunday" or day=="Saturday"):
timeofWeek="WkEnd"
else:
timeofWeek="WkDay"
### Checking if its a public holiday ################################
aus_holidays = holidays.AU(prov = 'VIC') # or holidays.US(), or holidays.CountryHoliday('US')
dayType=""
if date(int(soldDateList[2]), int(soldDateList[1]), int(soldDateList[0])) in aus_holidays:
dayType="HliDy"
else:
dayType="WrkngDy"
if len(soldDateList[1])<2:
soldDateList[1]="0"+soldDateList[1]
if len(soldDateList[0])<2:
soldDateList[0]="0"+soldDateList[0]
data[6]=soldDateList[2]+soldDateList[1]+soldDateList[0]
data[7]=timeofWeek
data[8]=shortDay(day)
data[9]=dayType
except:
pass
settings["country_last_updated"] = now
settings["country_last"] = country_last
settings.flush()
return country_last
country_holidays = {
"CA": holidays.CA(),
"CO": holidays.CO(),
"MX": holidays.MX(),
"US": holidays.US(),
"NZ": holidays.NZ(),
"AU": holidays.AU(),
"DE": holidays.DE(),
"AT": holidays.AT(),
"DK": holidays.DK(),
"UK": holidays.UK(),
"IE": holidays.IE(),
"ES": holidays.ES(),
"CZ": holidays.CZ(),
"SK": holidays.SK(),
"PL": holidays.PL(),
"PT": holidays.PT(),
"NL": holidays.NL(),
"NO": holidays.NO(),
"IT": holidays.IT(),
"SE": holidays.SE(),
"JP": holidays.JP(),
def find_good_epics():
spreads_and_epics = []
i_count = 0
pick_from_epics = []
full_hol_list = []
###################################################################
tz = pytz.timezone('Europe/Berlin')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
ger_today = str(str("GER_" + str(todays_date)))
print("Europe/Berlin :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('Europe/London')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
gb_today = str(str("GB_" + str(todays_date)))
print("Europe/London :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('America/New_York')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
us_today = str(str("US_" + str(todays_date)))
print("America/New_York :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('Australia/Sydney')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
aus_today = str(str("AUS_" + str(todays_date)))
print("Australia/Sydney :- Today's Date is ..." + str(todays_date))
###################################################################
tz = pytz.timezone('Asia/Tokyo')
todays_date = str(datetime.datetime.now(tz=tz).strftime('%Y-%m-%d'))
jp_today = str(str("JP_" + str(todays_date)))
print("Asia/Tokyo :- Today's Date is ..." + str(todays_date))
###################################################################
b_ger_hol = False
b_uk_hol = False
b_us_hol = False
b_aus_hol = False
b_jp_hol = False
for date, name in sorted(holidays.DE(years=YEAR_var).items()):
full_hol_list.append(str("GER_" + str(date)))
for date, name in sorted(holidays.UK(years=YEAR_var).items()):
full_hol_list.append(str("GB_" + str(date)))
for date, name in sorted(holidays.US(years=YEAR_var).items()):
full_hol_list.append(str("US_" + str(date)))
for date, name in sorted(holidays.AU(years=YEAR_var).items()):
full_hol_list.append(str("AUS_" + str(date)))
for date, name in sorted(holidays.JP(years=YEAR_var).items()):
full_hol_list.append(str("JP_" + str(date)))
full_hol_list = sorted(full_hol_list)
for d in full_hol_list:
#print (d)
if str(d) == ger_today:
b_ger_hol = True
if str(d) == gb_today:
b_uk_hol = True
if str(d) == us_today:
b_us_hol = True
if str(d) == aus_today:
b_aus_hol = True
if str(d) == jp_today:
b_jp_hol = True
for epic_id in main_epic_ids:
tmp_lst = []
base_url = REAL_OR_NO_REAL + '/markets/' + epic_id
auth_r = requests.get(base_url, headers=authenticated_headers)
d = json.loads(auth_r.text)
try:
i_count = i_count + 1
if epic_id.find('MXN') != -1:
#print("!!DEBUG!!...skipping, FOUND MXN in..." + str(epic_id))
time.sleep(1)
elif epic_id.find('SEK') != -1:
#print("!!DEBUG!!...skipping, FOUND SEK in..." + str(epic_id))
time.sleep(1)
elif epic_id.find('NOK') != -1:
#print("!!DEBUG!!...skipping, FOUND NOK in..." + str(epic_id))
time.sleep(1)
elif epic_id.find('CNH') != -1:
#print("!!DEBUG!!...skipping, FOUND CNH in..." + str(epic_id))
time.sleep(1)
else:
b_TRADE_OK = False
while True:
###################EUROPE############################
###################EUROPE############################
###################EUROPE############################
tz = pytz.timezone('Europe/Berlin')
now_time = datetime.datetime.now(tz=tz).strftime('%H:%M')
#print ("!!DEBUG!! Europe/Berlin:" + str(now_time))
if is_between(str(now_time), ("08:00", "16:00")):
#print("!!DEBUG!!...FRANKFURT MARKET OPEN!!")
time.sleep(1)
STR_CHECK = "EUR"
if STR_CHECK in epic_id and b_ger_hol == False:
b_TRADE_OK = True
break
###################LONDON############################
###################LONDON############################
###################LONDON############################
tz = pytz.timezone('Europe/London')
now_time = datetime.datetime.now(tz=tz).strftime('%H:%M')
while True:
if is_between(str(now_time), ("22:00", "22:59")):
time.sleep(1) # Sleeping for the tally up hour
print("!!DEBUG!! Tally Up hour:" + str(now_time))
now_time = datetime.datetime.now(
tz=tz).strftime('%H:%M')
else:
break
#print ("!!DEBUG!! Europe/London:" + str(now_time))
if is_between(str(now_time), ("08:00", "16:00")):
#print("!!DEBUG!!...LONDON MARKET OPEN!!")
time.sleep(1)
STR_CHECK = "GBP"
if STR_CHECK in epic_id and b_uk_hol == False:
b_TRADE_OK = True
break
###################NY############################
###################NY############################
###################NY############################
tz = pytz.timezone('America/New_York')
now_time = datetime.datetime.now(tz=tz).strftime('%H:%M')
#print ("!!DEBUG!! America/New_York:" + str(now_time))
if is_between(str(now_time), ("08:00", "16:00")):
#print("!!DEBUG!!...NEW YORK MARKET OPEN!!")
time.sleep(1)
STR_CHECK = "USD"
if STR_CHECK in epic_id and b_us_hol == False:
b_TRADE_OK = True
break
###################AUS############################
###################AUS############################
###################AUS############################
tz = pytz.timezone('Australia/Sydney')
now_time = datetime.datetime.now(tz=tz).strftime('%H:%M')
#print ("!!DEBUG!! Australia/Sydney:" + str(now_time))
if is_between(str(now_time), ("08:00", "16:00")):
#print("!!DEBUG!!...SYDNEY MARKET OPEN!!")
time.sleep(1)
STR_CHECK = "AUD"
if STR_CHECK in epic_id and b_aus_hol == False:
b_TRADE_OK = True
break
###################TOKYO############################
###################TOKYO############################
###################TOKYO############################
tz = pytz.timezone('Asia/Tokyo')
now_time = datetime.datetime.now(tz=tz).strftime('%H:%M')
#print ("!!DEBUG!! Asia/Tokyo:" + str(now_time))
if is_between(str(now_time), ("08:00", "16:00")):
#print("!!DEBUG!!...TOKYO MARKET OPEN!!")
time.sleep(1)
STR_CHECK = "JPY"
if STR_CHECK in epic_id and b_jp_hol == False:
b_TRADE_OK = True
break
break
if b_TRADE_OK:
current_bid = d['snapshot']['bid']
ask_price = d['snapshot']['offer']
spread = float(current_bid) - float(ask_price)
if float(spread) >= -1:
# tmp_lst.append(epic_id)
# spreads_and_epics.append(tmp_lst)
pick_from_epics.append(epic_id)
# print ("bid : " + str(current_bid))
# print ("ask : " + str(ask_price))
# print ("-------------------------")
# print ("spread : " + str(spread))
# print ("-------------------------")
print("!!DEBUG!!...FOUND GOOD EPIC..." + str(i_count) +
"/" + str(len(main_epic_ids)))
time.sleep(1)
else:
print(
"!!DEBUG!!...skipping, NO GOOD EPIC....Checking next epic spreads..."
+ str(i_count) + "/" + str(len(main_epic_ids)))
time.sleep(1)
continue
except Exception as e:
print(e)
pass
return (pick_from_epics)
def setUp(self):
self.holidays = holidays.AU(observed=True)
self.state_hols = {
state: holidays.AU(observed=True, prov=state)
for state in holidays.AU.PROVINCES
}