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_merge_schedules_w_break():
# this currently does not work as all breaks are lost
cal = FakeCalendar()
cal_breaks = FakeBreakCalendar()
schedule = cal.schedule('2016-12-20', '2016-12-30')
schedule_breaks = cal_breaks.schedule('2016-12-20', '2016-12-30')
with pytest.warns(Warning) as w:
result = mcal.merge_schedules([schedule, schedule_breaks])
assert w[0].message.args[
0] == 'Merge schedules will drop the break_start and break_end from result.'
assert 'break_start' not in result.columns
assert 'break_end' not in result.columns
def test_date_range_hour():
cal = FakeCalendar(open_time=datetime.time(9, 0),
close_time=datetime.time(10, 30))
# New Years Eve and weekend skipped
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2015-12-31 10:00', '2015-12-31 10:30', '2016-01-04 10:00',
'2016-01-04 10:30', '2016-01-05 10:00', '2016-01-05 10:30',
'2016-01-06 10:00', '2016-01-06 10:30'
]
])
schedule = cal.schedule('2015-12-31', '2016-01-06')
actual = mcal.date_range(schedule, '1H', force_close=True)
assert_index_equal(actual, expected)
# If force_close False for then result is missing close if not on even increment
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2015-12-31 10:00', '2016-01-04 10:00', '2016-01-05 10:00',
'2016-01-06 10:00'
]
])
schedule = cal.schedule('2015-12-31', '2016-01-06')
actual = mcal.date_range(schedule, '1H', force_close=False)
assert_index_equal(actual, expected)
cal = FakeCalendar(open_time=datetime.time(9, 0),
close_time=datetime.time(12, 0))
# July 3 is late open and early close
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2012-07-02 10:00', '2012-07-02 11:00', '2012-07-02 12:00',
'2012-07-03 11:30', '2012-07-04 10:00', '2012-07-04 11:00',
'2012-07-04 12:00'
]
])
schedule = cal.schedule('2012-07-02', '2012-07-04')
actual = mcal.date_range(schedule, '1H')
assert_index_equal(actual, expected)
# Dec 14, 2016 is adhoc early close
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2016-12-14 10:00', '2016-12-14 11:00', '2016-12-14 11:40',
'2016-12-15 10:00', '2016-12-15 11:00', '2016-12-15 12:00'
]
])
schedule = cal.schedule('2016-12-14', '2016-12-15')
actual = mcal.date_range(schedule, '1H')
assert_index_equal(actual, expected)
# Dec 13, 2016 is adhoc late open, include the open with closed=True
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2016-12-13 11:20', '2016-12-13 12:00', '2016-12-14 09:00',
'2016-12-14 10:00', '2016-12-14 11:00', '2016-12-14 11:40'
]
])
schedule = cal.schedule('2016-12-13', '2016-12-14')
actual = mcal.date_range(schedule, '1H', closed=None)
assert_index_equal(actual, expected)
def test_date_range_daily():
cal = FakeCalendar(open_time=datetime.time(9, 0),
close_time=datetime.time(12, 0))
# If closed='right' and force_close False for daily then the result is empty
expected = pd.DatetimeIndex([], tz='UTC')
schedule = cal.schedule('2015-12-31', '2016-01-06')
actual = mcal.date_range(schedule, '1D', force_close=False, closed='right')
assert_index_equal(actual, expected)
# New years is holiday
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2015-12-31 12:00', '2016-01-04 12:00', '2016-01-05 12:00',
'2016-01-06 12:00'
]
])
schedule = cal.schedule('2015-12-31', '2016-01-06')
actual = mcal.date_range(schedule, '1D')
assert_index_equal(actual, expected)
# July 3 is early close
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC')
for x in ['2012-07-02 12:00', '2012-07-03 11:30', '2012-07-04 12:00']
])
schedule = cal.schedule('2012-07-02', '2012-07-04')
actual = mcal.date_range(schedule, '1D')
assert_index_equal(actual, expected)
# Dec 14, 2016 is adhoc early close
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC')
for x in ['2016-12-13 12:00', '2016-12-14 11:40', '2016-12-15 12:00']
])
schedule = cal.schedule('2016-12-13', '2016-12-15')
actual = mcal.date_range(schedule, '1D')
assert_index_equal(actual, expected)
# July 3 is late open
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC')
for x in ['2012-07-02 09:00', '2012-07-03 11:15', '2012-07-04 09:00']
])
schedule = cal.schedule('2012-07-02', '2012-07-04')
actual = mcal.date_range(schedule, '1D', force_close=False, closed=None)
assert_index_equal(actual, expected)
# Dec 13, 2016 is adhoc late open
expected = pd.DatetimeIndex([
pd.Timestamp(x, tz=cal.tz).tz_convert('UTC') for x in [
'2016-12-13 11:20', '2016-12-13 12:00', '2016-12-14 09:00',
'2016-12-14 11:40', '2016-12-15 09:00', '2016-12-15 12:00'
]
])
schedule = cal.schedule('2016-12-13', '2016-12-15')
actual = mcal.date_range(schedule, '1D', force_close=True, closed=None)
assert_index_equal(actual, expected)
def test_date_range_minute():
cal = FakeCalendar(open_time=datetime.time(9, 0),
close_time=datetime.time(10, 30))
# New Years Eve and weekend skipped
schedule = cal.schedule('2015-12-31', '2016-01-06')
actual = mcal.date_range(schedule, '1min', force_close=True)
assert len(actual) == 4 * 90
assert actual[0] == pd.Timestamp('2015-12-31 09:01', tz=cal.tz)
assert actual[len(actual) - 1] == pd.Timestamp('2016-01-06 10:30',
tz=cal.tz)
for x in [
'2015-12-31 09:02', '2015-12-31 10:30', '2016-01-04 09:01',
'2016-01-06 09:01'
]:
assert pd.Timestamp(x, tz=cal.tz) in actual
for x in [
'2015-12-31 09:00', '2015-12-31 10:31', '2016-01-02 09:01',
'2016-01-03 09:01', '2016-01-06 09:00'
]:
assert pd.Timestamp(x, tz=cal.tz) not in actual
# July 3 is late open and early close
cal = FakeCalendar(open_time=datetime.time(9, 0),
close_time=datetime.time(12, 0))
schedule = cal.schedule('2012-07-02', '2012-07-04')
actual = mcal.date_range(schedule, '1min')
assert len(actual) == 375 # 2 days of 3 hours, and one day of 15 mins
assert actual[0] == pd.Timestamp('2012-07-02 09:01', tz=cal.tz)
assert actual[len(actual) - 1] == pd.Timestamp('2012-07-04 12:00',
tz=cal.tz)
for x in [
'2012-07-02 09:02', '2012-07-02 12:00', '2012-07-03 11:16',
'2012-07-03 11:30', '2012-07-04 09:01'
]:
assert pd.Timestamp(x, tz=cal.tz) in actual
for x in [
'2012-07-02 09:00', '2012-07-02 12:01', '2012-07-03 11:15',
'2012-07-03 11:31', '2012-07-04 09:00'
]:
assert pd.Timestamp(x, tz=cal.tz) not in actual
# Dec 13, 2016 is ad-hoc late open, include the open with closed=True, Dec 14 is ad-hoc early close
cal = FakeCalendar(open_time=datetime.time(9, 0),
close_time=datetime.time(12, 0))
schedule = cal.schedule('2016-12-13', '2016-12-14')
actual = mcal.date_range(schedule, '1min', closed=None)
assert len(actual) == 41 + (61 + 60 + 40)
assert actual[0] == pd.Timestamp('2016-12-13 11:20', tz=cal.tz)
assert actual[len(actual) - 1] == pd.Timestamp('2016-12-14 11:40',
tz=cal.tz)
for x in ['2016-12-13 11:21', '2016-12-13 12:00', '2016-12-14 09:00']:
assert pd.Timestamp(x, tz=cal.tz) in actual
for x in [
'2016-12-13 11:19', '2016-12-13 12:01', '2016-12-14 08:59',
'2016-12-14 11:41'
]:
assert pd.Timestamp(x, tz=cal.tz) not in actual
def test_date_range_permutations():
# open_time = 9, close_time = 11.30, freq = "1H"
cal = FakeCalendar(open_time=datetime.time(9),
close_time=datetime.time(11, 30))
schedule = cal.schedule("2021-01-05", "2021-01-05")
# result matching values for: closed force_close
# 9 10 11 left False/ left None/ both False/ None False
expected = pd.DatetimeIndex([
"2021-01-05 01:00:00+00:00", "2021-01-05 02:00:00+00:00",
"2021-01-05 03:00:00+00:00"
],
tz="UTC")
actual = mcal.date_range(schedule, "1H", closed="left", force_close=False)
assert_index_equal(actual, expected)
actual = mcal.date_range(schedule, "1H", closed="left", force_close=None)
assert_index_equal(actual, expected)
actual = mcal.date_range(schedule, "1H", closed="both", force_close=False)
assert_index_equal(actual, expected)
actual = mcal.date_range(schedule, "1H", closed=None, force_close=False)
assert_index_equal(actual, expected)
# 9 10 11 11.30 left True/ both True/ None True
expected = pd.DatetimeIndex([
"2021-01-05 01:00:00+00:00", "2021-01-05 02:00:00+00:00",
"2021-01-05 03:00:00+00:00", "2021-01-05 03:30:00+00:00"
],
tz="UTC")
actual = mcal.date_range(schedule, "1H", closed="left", force_close=True)
assert_index_equal(actual, expected)
actual = mcal.date_range(schedule, "1H", closed="both", force_close=True)
assert_index_equal(actual, expected)
actual = mcal.date_range(schedule, "1H", closed=None, force_close=True)
assert_index_equal(actual, expected)
# 10 11 right False
expected = pd.DatetimeIndex(
["2021-01-05 02:00:00+00:00", "2021-01-05 03:00:00+00:00"], tz="UTC")
actual = mcal.date_range(schedule, "1H", closed="right", force_close=False)
assert_index_equal(actual, expected)
# 10 11 11.30 right True
expected = pd.DatetimeIndex([
"2021-01-05 02:00:00+00:00", "2021-01-05 03:00:00+00:00",
"2021-01-05 03:30:00+00:00"
],
tz="UTC")
actual = mcal.date_range(schedule, "1H", closed="right", force_close=True)
assert_index_equal(actual, expected)
# 10 11 12 right None
expected = pd.DatetimeIndex([
"2021-01-05 02:00:00+00:00", "2021-01-05 03:00:00+00:00",
"2021-01-05 04:00:00+00:00"
],
tz="UTC")
actual = mcal.date_range(schedule, "1H", closed="right", force_close=None)
assert_index_equal(actual, expected)
# 9 10 11 12 both None/ None None
expected = pd.DatetimeIndex([
"2021-01-05 01:00:00+00:00", "2021-01-05 02:00:00+00:00",
"2021-01-05 03:00:00+00:00", "2021-01-05 04:00:00+00:00"
],
tz="UTC")
actual = mcal.date_range(schedule, "1H", closed="both", force_close=None)
assert_index_equal(actual, expected)
actual = mcal.date_range(schedule, "1H", closed=None, force_close=None)
assert_index_equal(actual, expected)
def test_date_range_exceptions():
cal = FakeCalendar(open_time=datetime.time(9),
close_time=datetime.time(11, 30))
schedule = cal.schedule("2021-01-05", "2021-01-05")
### invalid closed argument
with pytest.raises(ValueError) as e:
mcal.date_range(schedule, "15min", closed="righ")
assert e.exconly(
) == "ValueError: closed must be 'left', 'right', 'both' or None."
### invalid force_close argument
with pytest.raises(ValueError) as e:
mcal.date_range(schedule, "15min", force_close="True")
assert e.exconly(
) == "ValueError: force_close must be True, False or None."
### close_time is before open_time
schedule = pd.DataFrame(
[["2020-01-01 12:00:00+00:00", "2020-01-01 11:00:00+00:00"]],
index=["2020-01-01"],
columns=["market_open", "market_close"])
with pytest.raises(ValueError) as e:
mcal.date_range(schedule, "15min", closed="right", force_close=True)
assert e.exconly() == "ValueError: Schedule contains rows where market_close < market_open,"\
" please correct the schedule"
### Overlap -
### the end of the last bar goes over the next start time
bcal = FakeBreakCalendar()
bschedule = bcal.schedule("2021-01-05", "2021-01-05")
with pytest.raises(ValueError) as e1:
# this frequency overlaps
mcal.date_range(bschedule, "2H", closed="right", force_close=None)
# this doesn't
mcal.date_range(bschedule, "1H", closed="right", force_close=None)
with pytest.raises(ValueError) as e2:
mcal.date_range(bschedule, "2H", closed="both", force_close=None)
mcal.date_range(bschedule, "1H", closed="right", force_close=None)
with pytest.raises(ValueError) as e3:
mcal.date_range(bschedule, "2H", closed=None, force_close=None)
mcal.date_range(bschedule, "1H", closed="right", force_close=None)
for e in (e1, e2, e3):
assert e.exconly() == "ValueError: The chosen frequency will lead to overlaps in the calculated index. "\
"Either choose a higher frequency or avoid setting force_close to None "\
"when setting closed to 'right', 'both' or None."
try:
# should all be fine, since force_close cuts the overlapping interval
mcal.date_range(bschedule, "2H", closed="right", force_close=True)
with pytest.warns(UserWarning): # should also warn about lost sessions
mcal.date_range(bschedule, "2H", closed="right", force_close=False)
mcal.date_range(bschedule, "2H", closed="both", force_close=True)
mcal.date_range(bschedule, "2H", closed="both", force_close=False)
# closed = "left" should never be a problem since it won't go outside market hours anyway
mcal.date_range(bschedule, "2H", closed="left", force_close=True)
mcal.date_range(bschedule, "2H", closed="left", force_close=False)
mcal.date_range(bschedule, "2H", closed="left", force_close=None)
except ValueError as e:
pytest.fail(f"Unexpected Error: \n{e}")
