def all_labor(start, end):
labors = rrule.rrule(rrule.YEARLY,
bymonth=9,
byweekday=rrule.MO(1),
dtstart=start,
until=end)
return [d.date() for d in labors]
def all_labor(start, end):
# return the list of Labor Day dates within start..end
labors = rrule.rrule(rrule.YEARLY,
bymonth=9,
byweekday=rrule.MO(1),
dtstart=start,
until=end)
return [d.date() for d in labors] # no need to test for in-between here
def _labor_day(self, dtstart=None, until=None, count=None):
"""Labor day is the first monday of September"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 9,
"byweekday": rrule.MO(1),
"dtstart": dtstart,
"until": until,
"count": count,
}
return self._irule(**kwargs)
def _spring_withdraw_deadline(self, dtstart=None, until=None, count=None):
"""Spring withdraw deadline is the third Monday in March"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 3,
"byweekday": rrule.MO(3),
"dtstart": dtstart,
"until": until,
"count": count,
}
return self._irule(**kwargs)
def _fall_start(self, dtstart=None, until=None, count=None):
"""Fall term starts the second to last Monday of August"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 8,
"byweekday": rrule.MO(-2),
"dtstart": dtstart,
"until": until,
"count": count,
}
return self._irule(**kwargs)
def _fall_break_start(self, dtstart=None, until=None, count=None):
"""Fall break starts the second to last Monday of October"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 10,
"byweekday": rrule.MO(-2),
"dtstart": dtstart,
"until": until,
"count": count,
}
return self._irule(**kwargs)
def _mlk_day(self, dtstart=None, until=None, count=None):
"""MLK day is the third monday of January"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 1,
"byweekday": rrule.MO(3),
"dtstart": dtstart,
"until": until,
"count": count,
}
return self._irule(**kwargs)
def _memorial_day(self, dtstart=None, until=None, count=None):
"""Memorial day is the last monday of March"""
kwargs = {
"freq": rrule.YEARLY,
"bymonth": 3,
"byweekday": rrule.MO(-1),
"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
]
# ------- YOUR CODE -------------#
from dateutil import rrule
from datetime import datetime
MLK_DAY = rrule.rrule(
dtstart=datetime(1986, 1, 20), # First celebration
freq=rrule.YEARLY, # Occurs once per year
bymonth=1, # In January
byweekday=rrule.MO(+3), # On the 3rd Monday
)
# -------------------------------#
from datetime import datetime
MLK_TEST_CASES = [
((datetime(1970, 1, 1), datetime(1980, 1, 1)), []),
((datetime(1980, 1, 1), datetime(1989, 1, 1)),
[datetime(1986, 1, 20),
datetime(1987, 1, 19),
datetime(1988, 1, 18)]),
((datetime(2017, 2, 1), datetime(2022, 2, 1)), [
datetime(2018, 1, 15, 0, 0),
datetime(2019, 1, 21, 0, 0),
datetime(2020, 1, 20, 0, 0),
datetime(2021, 1, 18, 0, 0),
datetime(2022, 1, 17, 0, 0)
]),
]
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)
new_years_saturday = rrule.rrule(
rrule.MONTHLY,
byyearday=3,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(new_years_saturday)
# Family day in Ontario, starting in 2008, third monday of February
family_day = rrule.rrule(
rrule.MONTHLY,
bymonth=2,
byweekday=(rrule.MO(3)),
cache=True,
dtstart=datetime(2008, 1, 1, tzinfo=pytz.utc),
until=end
)
non_trading_rules.append(family_day)
good_friday = rrule.rrule(
rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(good_friday)
# Monday prior to May 25th.
victoria_day = rrule.rrule(
rrule.MONTHLY,
bymonth=5,
byweekday=rrule.MO,
bymonthday=[24, 23, 22, 21, 20, 19, 18],
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(victoria_day)
july_1st = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=1,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st)
july_1st_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=2,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st_sunday)
july_1st_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_1st_saturday)
civic_holiday = rrule.rrule(
rrule.MONTHLY,
bymonth=8,
byweekday=rrule.MO(1),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(civic_holiday)
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=10,
byweekday=(rrule.MO(2)),
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)
# If Christmas is a Sunday then the 26th, a Monday is observed.
# (but that would be boxing day), so the 27th is also observed.
christmas_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=27,
byweekday=rrule.TU,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_sunday)
# If Christmas is a Saturday then the 27th, a monday is observed.
christmas_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=27,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_saturday)
boxing_day = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=26,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day)
# if boxing day is a sunday, the Christmas was saturday.
# Christmas is observed on the 27th, a month and boxing day is observed
# on the 28th, a tuesday.
boxing_day_sunday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=28,
byweekday=rrule.TU,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day_sunday)
# If boxing day is a Saturday then the 28th, a monday is observed.
boxing_day_saturday = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=28,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(boxing_day_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
# The TSX was open for 71 minutes on September 11, 2011.
# It was closed on the 12th and reopened on the 13th.
# http://www.cbc.ca/news2/interactives/map-tsx/
#
# 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
non_trading_days.append(
datetime(2001, 9, 12, tzinfo=pytz.utc))
non_trading_days.sort()
return pd.DatetimeIndex(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_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 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
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
byeaster=-2,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(good_friday)
# Easter Monday
easter_monday = rrule.rrule(rrule.DAILY,
byeaster=1,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(easter_monday)
# Early May Bank Holiday (1st Monday in May)
may_bank = rrule.rrule(rrule.MONTHLY,
bymonth=5,
byweekday=(rrule.MO(1)),
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(may_bank)
# Spring Bank Holiday (Last Monday in May)
spring_bank = rrule.rrule(rrule.MONTHLY,
bymonth=5,
byweekday=(rrule.MO(-1)),
cache=True,
dtstart=datetime(2003, 1, 1, tzinfo=pytz.utc),
until=end)
non_trading_rules.append(spring_bank)
# Summer Bank Holiday (Last Monday in August)
summer_bank = rrule.rrule(rrule.MONTHLY,
bymonth=8,
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)
