def define_holiday_regressors(X, dates, holidays=None):
"""
Add columns to the predictor matrix X for a specified list of holidays
:param X: (Array) Predictor matrix without columns for the holidays
:param dates: Dates
:param holidays: (List) holidays
:return: Updated predictor matrix
"""
if holidays is not None:
if len(holidays) > 0:
if X is None:
n = len(dates)
else:
n = X.shape[0]
for holiday in holidays:
cal = AbstractHolidayCalendar()
cal.rules = [holiday]
x = np.zeros(n)
x[dates.isin(cal.holidays())] = 1
if X is None:
X = x
else:
X = np.c_[X, x]
return X
else:
return X
else:
return X
def special_closes(self):
return [
(self.regular_early_close, AbstractHolidayCalendar(rules=[
MonTuesThursBeforeIndependenceDay,
FridayAfterIndependenceDayExcept2013,
USBlackFridayInOrAfter1993,
ChristmasEveInOrAfter1993
])),
(time(14), AbstractHolidayCalendar(rules=[
ChristmasEveBefore1993,
USBlackFridayBefore1993,
])),
]
def special_closes(self):
return [(time(12),
AbstractHolidayCalendar(rules=[
USMartinLutherKingJrAfter1998,
USPresidentsDay,
USMemorialDay,
USIndependenceDay,
USLaborDay,
USThanksgivingDay,
])),
(time(12, 15),
AbstractHolidayCalendar(rules=[
USBlackFridayInOrAfter1993,
ChristmasEveBefore1993,
ChristmasEveInOrAfter1993,
]))]
def regular_holidays(self):
# Many days that are holidays for the NYSE are an early close day for CME
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
GoodFriday,
Christmas,
])
def regular_holidays(self):
"""
Rules are guesses based on observations of recent year.
Rectify accordingly once the next year's holidays arrangement is published by the government.
"""
return AbstractHolidayCalendar(rules=[
HKNewYearsDay,
SpringFestivalDayBefore1983,
SpringFestivalDay2Before1983,
SpringFestivalDay3Before1983,
SpringFestivalDayBefore2010,
SpringFestivalDay2Before2010,
SpringFestivalDay3Before2010,
SpringFestivalDay,
SpringFestivalDay2,
SpringFestivalDay3,
GoodFriday,
EasterMonday,
TombSweepingDay,
LabourDay,
BuddhaShakyamuniDay,
DragonBoatFestivalDay,
HKRegionEstablishmentDay,
MidAutumnFestivalDayBefore1983,
MidAutumnFestivalDayBefore2010,
MidAutumnFestivalDay,
NationalDay,
DoubleNinthFestivalDay,
Christmas,
BoxingDay,
CommemoratingAlliedVictory,
QueenBirthday,
QueenBirthday2,
IDontKnow
])
def special_closes(self):
return [(time(12),
AbstractHolidayCalendar(rules=[
USBlackFridayInOrAfter1993,
ChristmasEveBefore1993,
ChristmasEveInOrAfter1993,
]))]
def special_closes(self):
return [(
time(13, 0, tzinfo=self.tz),
AbstractHolidayCalendar(rules=[
OSEWednesdayBeforeEaster
])
)]
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
LSENewYearsDay, GoodFriday, EasterMonday, MayBank_pre_1995,
MayBank_post_1995_pre_2020, MayBank_post_2020, SpringBank_pre_2002,
SpringBank_post_2002_pre_2012, SpringBank_post_2012, SummerBank,
Christmas, WeekendChristmas, BoxingDay, WeekendBoxingDay
])
def regular_holidays(self):
# https://www.theice.com/publicdocs/futures_us/exchange_notices/NewExNot2016Holidays.pdf # noqa
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
GoodFriday,
Christmas
])
def special_closes(self):
return [(
time(12, 15),
AbstractHolidayCalendar(rules=[
USBlackFridayInOrAfter1993,
])
)]
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
USMartinLutherKingJrAfter1998,
USLincolnsBirthDayBefore1954,
USWashingtonsBirthDayBefore1964,
USWashingtonsBirthDay1964to1970,
USPresidentsDay,
GoodFriday,
USMemorialDayBefore1964,
USMemorialDay1964to1969,
USMemorialDay,
USIndependenceDayBefore1954,
USIndependenceDay,
USLaborDay,
USThanksgivingDayBefore1939,
USThanksgivingDay1939to1941,
USThanksgivingDay,
USElectionDay1848to1967,
USElectionDay1968to1980,
USVeteransDay1934to1953,
USColumbusDayBefore1954,
ChristmasBefore1954,
Christmas,
])
def special_closes(self):
return [(
time(12, 30),
AbstractHolidayCalendar(rules=[
ChristmasEve,
EUREXNewYearsEve,
])
)]
def special_closes(self):
return [
(time(13),
AbstractHolidayCalendar(rules=[
USMartinLutherKingJrAfter1998, USPresidentsDay, USMemorialDay,
USIndependenceDay, USLaborDay, USThanksgivingDay
]))
]
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
EUREXNewYearsDay,
GoodFriday,
EasterMonday,
MayBank,
Christmas,
WeekendChristmas,
BoxingDay,
WeekendBoxingDay
])
def regular_holidays(self): return AbstractHolidayCalendar(rules=[ OZNewYearsDay, AustraliaDay, AnzacDay, QueensBirthday, Christmas, BoxingDay, WeekendBoxingDay, GoodFriday, EasterMonday, ])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
USMartinLutherKingJrAfter1998,
USPresidentsDay,
GoodFriday,
USIndependenceDay,
USMemorialDay,
USLaborDay,
USThanksgivingDay,
Christmas
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
OSENewYearsDay,
OSEMaundyThursday,
OSEGoodFriday,
OSEEasterMonday,
OSELabourDay,
OSEConstitutionDay,
OSEWhitMonday,
OSEAscensionDay,
OSEChristmasEve,
OSEChristmasDay,
OSEBoxingDay,
OSENewYearsEve
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
TSXNewYearsDay,
FamilyDay,
GoodFriday,
VictoriaDay,
CanadaDay,
CivicHoliday,
LaborDay,
Thanksgiving,
Christmas,
WeekendChristmas,
BoxingDay,
WeekendBoxingDay
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
NewYearsDay,
BertholdsDay,
GoodFriday,
EasterMonday,
MayBank,
AscensionDay,
PentecostMonday,
SwissNationalDay,
ChristmasEve,
Christmas,
BoxingDay,
NewYearsEve,
])
def regular_holidays(self):
# The CME has different holiday rules depending on the type of
# instrument. For example, http://www.cmegroup.com/tools-information/holiday-calendar/files/2016-4th-of-july-holiday-schedule.pdf # noqa
# shows that Equity, Interest Rate, FX, Energy, Metals & DME Products
# close at 1200 CT on July 4, 2016, while Grain, Oilseed & MGEX
# Products and Livestock, Dairy & Lumber products are completely
# closed.
# For now, we will treat the CME as having a single calendar, and just
# go with the most conservative hours - and treat July 4 as an early
# close at noon.
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
GoodFriday,
Christmas,
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
JapanNewYearsDay2,
JapanNewYearsDay3,
JapanComingOfAgeDay1951To1973,
JapanComingOfAgeDay1974To1999,
JapanComingOfAgeDay,
JapanNationalFoundationDay1969To1973,
JapanNationalFoundationDay,
JapanEmperorsBirthday,
JapanVernalEquinox,
JapanShowaDayUntil1972,
JapanShowaDay,
JapanConstitutionMemorialDayUntil1972,
JapanConstitutionMemorialDay,
JapanGreeneryDay,
JapanChildrensDayUntil1972,
JapanChildrensDay,
JapanGoldenWeekBonusDay,
JapanMarineDay1996To2002,
JapanMarineDay2003To2019,
JapanMarineDay2020,
JapanMarineDay,
JapanMountainDay2016to2019,
JapanMountainDay2020,
JapanMountainDay,
JapanRespectForTheAgedDay1966To1972,
JapanRespectForTheAgedDay1973To2002,
JapanRespectForTheAgedDay,
JapanAutumnalEquinox,
JapanHealthAndSportsDay1966To1972,
JapanHealthAndSportsDay1973To1999,
JapanHealthAndSportsDay2000To2019,
JapanSportsDay2020,
JapanSportsDay,
JapanCultureDayUntil1972,
JapanCultureDay,
JapanLaborThanksgivingDayUntil1972,
JapanLaborThanksgivingDay,
JapanEmperorAkahitosBirthday,
JapanDecember29Until1988,
JapanDecember30Until1988,
JapanBeforeNewYearsDay,
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
republic_day,
Mahashivratri,
holi,
MahavirJayanti,
MaharastraDay,
Independenceday,
Bakri_Id,
GaneshChaturthi,
Moharram,
MahatmaGandhiJayanti,
Dasera,
DiwaliLaxmiPujan,
DiwaliBalipratipada,
GurunanakJayanti,
Christmas,
GoodFriday
])
def get_calendar(ccys, cities=nan):
"""
Create a calendar which has the holidays and business of the curriences and city inputs.
Parameters
----------
cities : array of strings, optional
DESCRIPTION. Array of three letter (financial) city codes, The default is None.
Returns
-------
CustomBusinessDay() object, observing the holiday of the cities
"""
if pd.isnull(ccys) and pd.isnull(cities):
return busdaycalendar()
# Muslim/Jewish states have Friday & Sunday as the weekend
weekmask = getWeekMask(ccys)
holidays = []
if cities is not nan:
holidays += [
map_citycode_to_holidays[c] for c in cities
if c in map_citycode_to_holidays.keys()
]
holidays += [
map_ccy_to_holidays[c] for c in ccys
if c in map_ccy_to_holidays.keys()
]
# Flattan the list of lists
holidays = [h for city_holidays in holidays for h in city_holidays]
if holidays == []:
return busdaycalendar(weekmask=weekmask)
else:
cal = HolidayCalendarFactory('Cal', AbstractHolidayCalendar(),
holidays)
cal_instance = cal()
holidays = cal_instance.holidays(datetime(2000, 1, 1),
datetime(2100, 1, 1))
return busdaycalendar(holidays=Series(holidays.format()))
def regular_holidays(self):
# Ignore gap between 13:20 CST and 14:30 CST for regular trading hours
#
# The CME has different holiday rules depending on the type of
# instrument. For example, http://www.cmegroup.com/tools-information/holiday-calendar/files/2016-4th-of-july-holiday-schedule.pdf # noqa
# shows that Equity, Interest Rate, FX, Energy, Metals & DME Products
# close at 1200 CT on July 4, 2016, while Grain, Oilseed & MGEX
# Products and Livestock, Dairy & Lumber products are completely
# closed.
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
USMartinLutherKingJrAfter1998,
USPresidentsDay,
GoodFriday,
USMemorialDay,
USIndependenceDay,
USLaborDay,
USThanksgivingDay,
Christmas,
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
ConfUniversal,
AniversarioSaoPaulo,
CarnavalSegunda,
CarnavalTerca,
SextaPaixao,
CorpusChristi,
Tiradentes,
DiaTrabalho,
Constitucionalista,
Independencia,
Aparecida,
Finados,
ProclamacaoRepublica,
ConscienciaNegra,
VesperaNatal,
Natal,
AnoNovo,
AnoNovoSabado,
])
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
NewYearDay,
Christmas,
])
def special_opens(self):
return [(time(13, 1), AbstractHolidayCalendar(rules=[QuartaCinzas]))]
def regular_holidays(self):
"""
Rules are guesses based on observations of recent year.
Rectify accordingly once the next year's holidays arrangement is published by the government.
"""
return AbstractHolidayCalendar(rules=[
Holiday(
name="New Year's Day",
month=1,
day=1,
observance=next_monday,
start_date=Timestamp(2020, 1, 1),
),
Holiday(
name="New Year's Day",
month=1,
day=2,
observance=partial(second_day_in_lieu),
start_date=Timestamp(2020, 1, 2),
),
Holiday(
name="New Year's Day",
month=1,
day=3,
observance=partial(third_day_in_lieu),
start_date=Timestamp(2020, 1, 3),
),
Holiday(
name="Spring Festival",
month=1,
day=20,
observance=partial(lunisolar, mapping=sf_mapping, delta=-1),
start_date=Timestamp(2020, 1, 20),
),
Holiday(
name="Spring Festival",
month=1,
day=21,
observance=partial(lunisolar, mapping=sf_mapping, delta=0),
start_date=Timestamp(2020, 1, 21),
),
Holiday(
name="Spring Festival",
month=1,
day=21,
observance=partial(lunisolar, mapping=sf_mapping, delta=1),
start_date=Timestamp(2020, 1, 22),
),
Holiday(
name="Spring Festival",
month=1,
day=21,
observance=partial(lunisolar, mapping=sf_mapping, delta=2),
start_date=Timestamp(2020, 1, 23),
),
Holiday(
name="Spring Festival",
month=1,
day=21,
observance=partial(lunisolar, mapping=sf_mapping, delta=3),
start_date=Timestamp(2020, 1, 24),
),
Holiday(
name="Spring Festival",
month=1,
day=21,
observance=partial(lunisolar, mapping=sf_mapping, delta=4),
start_date=Timestamp(2020, 1, 25),
),
Holiday(
name="Spring Festival",
month=1,
day=21,
observance=partial(lunisolar, mapping=sf_mapping, delta=5),
start_date=Timestamp(2020, 1, 26),
),
Holiday(
name="Labour Day",
month=5,
day=1,
observance=next_monday,
start_date=Timestamp(2020, 5, 1),
),
Holiday(
name="Labour Day",
month=5,
day=2,
observance=second_day_in_lieu,
start_date=Timestamp(2020, 5, 2),
),
Holiday(
name="Labour Day",
month=5,
day=3,
observance=third_day_in_lieu,
start_date=Timestamp(2020, 5, 3),
),
Holiday(
name="Tomb-sweeping Day",
month=4,
day=4,
observance=partial(
lunisolar, mapping=tsd_mapping, func=next_monday),
start_date=Timestamp(2020, 4, 4),
),
Holiday(
name="Tomb-sweeping Day",
month=4,
day=5,
observance=partial(lunisolar,
mapping=tsd_mapping,
func=second_day_in_lieu,
delta=1),
start_date=Timestamp(2020, 4, 4),
),
Holiday(
name="Tomb-sweeping Day",
month=4,
day=6,
observance=partial(lunisolar,
mapping=tsd_mapping,
func=third_day_in_lieu,
delta=2),
start_date=Timestamp(2020, 4, 4),
),
Holiday(
name="Dragon Boat Festival",
month=5,
day=27,
observance=partial(
lunisolar, mapping=dbf_mapping, func=next_monday),
start_date=Timestamp(2020, 5, 27),
),
Holiday(
name="Dragon Boat Festival",
month=5,
day=28,
observance=partial(lunisolar,
mapping=dbf_mapping,
func=second_day_in_lieu,
delta=1),
start_date=Timestamp(2020, 5, 27),
),
Holiday(
name="Dragon Boat Festival",
month=5,
day=29,
observance=partial(lunisolar,
mapping=dbf_mapping,
func=third_day_in_lieu,
delta=2),
start_date=Timestamp(2020, 5, 27),
),
Holiday(
name="Mid-autumn Festival",
month=9,
day=7,
observance=partial(
lunisolar, mapping=maf_mapping, func=next_monday),
start_date=Timestamp(2020, 9, 7),
),
Holiday(
name="Mid-autumn Festival",
month=9,
day=8,
observance=partial(lunisolar,
mapping=maf_mapping,
func=second_day_in_lieu,
delta=1),
start_date=Timestamp(2020, 9, 7),
),
Holiday(
name="Mid-autumn Festival",
month=9,
day=9,
observance=partial(lunisolar,
mapping=maf_mapping,
func=third_day_in_lieu,
delta=2),
start_date=Timestamp(2020, 9, 7),
),
Holiday(
name="National Day",
month=10,
day=1,
start_date=Timestamp(2020, 10, 1),
),
Holiday(
name="National Day",
month=10,
day=2,
start_date=Timestamp(2020, 10, 2),
),
Holiday(
name="National Day",
month=10,
day=3,
start_date=Timestamp(2020, 10, 3),
),
Holiday(
name="National Day",
month=10,
day=4,
start_date=Timestamp(2020, 10, 4),
),
Holiday(
name="National Day",
month=10,
day=5,
start_date=Timestamp(2020, 10, 5),
),
Holiday(
name="National Day",
month=10,
day=6,
start_date=Timestamp(2020, 10, 6),
),
Holiday(
name="National Day",
month=10,
day=7,
start_date=Timestamp(2020, 10, 7),
),
])
def special_closes(self):
return [(time(11, 30),
AbstractHolidayCalendar(
rules=[MonTuesThursBeforeIndependenceDay]))]
def regular_holidays(self):
return AbstractHolidayCalendar(rules=[
USNewYearsDay,
Holiday(
name="New Year's Day",
month=1,
day=2,
observance=sunday_to_monday,
),
Holiday(
name="New Year's Day",
month=1,
day=3,
observance=sunday_to_monday,
),
Holiday( # second monday of january
name="Coming of Age Day",
month=1,
day=1,
offset=DateOffset(weekday=MO(2)),
),
Holiday(
name="National foundation day",
month=2,
day=11,
observance=sunday_to_monday,
),
Holiday(name="Vernal Equinox",
month=3,
day=20,
observance=vernal_equinox),
Holiday(
name="Showa day",
month=4,
day=29,
observance=sunday_to_monday,
),
Holiday(
name="Constitution memorial day",
month=5,
day=3,
observance=sunday_to_monday,
),
Holiday(
name="Greenery day",
month=5,
day=4,
observance=sunday_to_monday,
),
Holiday(
name="Children's day",
month=5,
day=5,
observance=sunday_to_monday,
),
Holiday(
name="Marine day",
month=7,
day=1,
offset=DateOffset(weekday=MO(3)),
),
Holiday(
name="Mountain day",
month=8,
day=11,
observance=sunday_to_monday,
),
Holiday(
name="Respect for the aged day",
month=9,
day=1,
offset=DateOffset(weekday=MO(3)),
),
Holiday(
name="Autumnal equinox",
month=9,
day=22,
observance=autumnal_equinox,
),
Holiday(
name="Health and sports day",
month=10,
day=1,
offset=DateOffset(weekday=MO(2)),
),
Holiday(
name="Culture day",
month=11,
day=3,
observance=sunday_to_monday,
),
Holiday(
name="Labor Thanksgiving Day",
month=11,
day=23,
observance=sunday_to_monday,
),
Holiday(
name="Emperor's Birthday",
month=12,
day=23,
observance=sunday_to_monday,
),
Holiday(
name="Before New Year's Day",
month=12,
day=31,
observance=sunday_to_monday,
),
])
