def create_ts_calendar(df, ts_settings, additional_events=None):
"""
df: pandas df
ts_settings: dict
Parameters for time series project
additional_events: pandas df(optional)
df of additional events to add to calendar
Returns:
--------
Calendar of events
"""
date_col = ts_settings['date_col']
cal = USFederalHolidayCalendar(AbstractHolidayCalendar)
black_friday = Holiday(
"Black Friday",
month=11,
day=1,
offset=[pd.DateOffset(weekday=TH(4)),
pd.DateOffset(1)])
cyber_monday = Holiday(
"Cyber Monday",
month=11,
day=1,
offset=[pd.DateOffset(weekday=TH(4)),
pd.DateOffset(4)])
cal.rules.append(black_friday)
cal.rules.append(cyber_monday)
cal.rules[9] = Holiday('Christmas', month=12, day=25)
cal.rules[4] = Holiday('July 4th', month=7, day=4)
events = pd.DataFrame(
cal.holidays(
start=pd.to_datetime(df[date_col].min()),
end=pd.to_datetime(df[date_col].max()) + dt.timedelta(days=365),
return_name=True,
))
events = events.reset_index()
events.columns = ['Date', 'Event']
if additional_events is not None:
assert additional_events.shape[
1] == 2, 'additional events must be a df with 2 columns'
additional_events.columns = ['Date', 'Event']
additional_events['Date'] = pd.to_datetime(additional_events['Date'])
events = events.append(additional_events)
events['Date'] = [
dt.datetime.strftime(pd.to_datetime(date), '%Y-%m-%d')
for date in events['Date']
]
return events.drop_duplicates().sort_values(by='Date').reset_index(
drop=True)
class US_Stocks_Trading_Calendar(AbstractHolidayCalendar):
rules= [
Holiday("New Year's Day", month=1, day=1, observance=sunday_to_monday),
Holiday("Martin Luther King, Jr. Day", month=1, day=1, offset=DateOffset(weekday=MO(3))),
Holiday("Washington’s Birthday", month=2, day=1, offset=DateOffset(weekday=MO(3))),
Holiday("Good Friday", month=1, day=1, offset=[Easter(),Day(-2)]),
Holiday("Memorial Day", month=5, day=31, offset=DateOffset(weekday=MO(-1))),
Holiday("Independence Day", month=7, day=4, observance=nearest_workday),
Holiday("Labor Day", month=9, day=1, offset=DateOffset(weekday=MO(1))),
Holiday("Thanksgiving Day", month=11, day=1, offset=DateOffset(weekday=TH(4))),
Holiday("Christmas Day", month=12, day=25, observance=nearest_workday),
Holiday("Day before Independence Day - Half day", month=7, day=3, observance=previous_friday),
Holiday("Day following Thanksgiving - Half day", month=11, day=1, offset=DateOffset(weekday=WE(4))),
Holiday("Christmas Eve - Half day", month=12, day=24, observance=previous_friday)
]
# holiday. In this case, the smaller distance (182 days) is returned.
return (index - holiday_date[0]).days
return distance_to_day
EasterSunday = Holiday("Easter Sunday", month=1, day=1, offset=[Easter(), Day(0)])
NewYearsDay = Holiday("New Years Day", month=1, day=1)
SuperBowl = Holiday("Superbowl", month=2, day=1, offset=DateOffset(weekday=SU(1)))
MothersDay = Holiday("Mothers Day", month=5, day=1, offset=DateOffset(weekday=SU(2)))
IndependenceDay = Holiday("Independence Day", month=7, day=4)
ChristmasEve = Holiday("Christmas", month=12, day=24)
ChristmasDay = Holiday("Christmas", month=12, day=25)
NewYearsEve = Holiday("New Years Eve", month=12, day=31)
BlackFriday = Holiday(
"Black Friday", month=11, day=1, offset=[pd.DateOffset(weekday=TH(4)), Day(1)]
)
CyberMonday = Holiday(
"Cyber Monday",
month=11,
day=1,
offset=[pd.DateOffset(weekday=TH(4)), Day(4)],
)
NEW_YEARS_DAY = "new_years_day"
MARTIN_LUTHER_KING_DAY = "martin_luther_king_day"
SUPERBOWL = "superbowl"
PRESIDENTS_DAY = "presidents_day"
GOOD_FRIDAY = "good_friday"
EASTER_SUNDAY = "easter_sunday"
european_labour_day,
maundy_thursday,
new_years_day,
new_years_eve,
whit_monday,
)
from .exchange_calendar import HolidayCalendar, ExchangeCalendar
NewYearsDay = new_years_day()
# This falls on the first Thursday after 18 April.
FirstDayOfSummer = Holiday(
"First Day of Summer",
month=4,
day=19,
offset=DateOffset(weekday=TH(1)),
)
LabourDay = european_labour_day()
MaundyThursday = maundy_thursday()
AscensionDay = ascension_day()
WhitMonday = whit_monday()
NationalDay = Holiday("Icelandic Republic Day", month=6, day=17)
# This falls on the first Monday of August.
CommerceDay = Holiday(
"Commerce Day",
month=8,
day=1,
SuperBowl = Holiday("Superbowl",
month=2,
day=1,
offset=DateOffset(weekday=SU(1)))
MothersDay = Holiday("Mothers Day",
month=5,
day=1,
offset=DateOffset(weekday=SU(2)))
IndependenceDay = Holiday("Independence Day", month=7, day=4)
ChristmasEve = Holiday("Christmas", month=12, day=24)
ChristmasDay = Holiday("Christmas", month=12, day=25)
NewYearsEve = Holiday("New Years Eve", month=12, day=31)
BlackFriday = Holiday("Black Friday",
month=11,
day=1,
offset=[pd.DateOffset(weekday=TH(4)),
Day(1)])
CyberMonday = Holiday(
"Cyber Monday",
month=11,
day=1,
offset=[pd.DateOffset(weekday=TH(4)), Day(4)],
)
NEW_YEARS_DAY = "new_years_day"
MARTIN_LUTHER_KING_DAY = "martin_luther_king_day"
SUPERBOWL = "superbowl"
PRESIDENTS_DAY = "presidents_day"
GOOD_FRIDAY = "good_friday"
EASTER_SUNDAY = "easter_sunday"
EASTER_MONDAY = "easter_monday"
# 2008 was the last year SIFMA observed early close the day prior to Columbus Day
FridayBeforeColumbusDayBefore2009 = Holiday(
'Early Close Friday Before Columbus Day',
month=10,
day=1,
offset=[DateOffset(weekday=MO(2)),
DateOffset(-3)],
end_date=Timestamp('2009-01-01'),
)
WednesdayBeforeThanksgiving = Holiday(
'Early Close Wednesday Before Thanksgiving Day',
month=11,
day=1,
offset=[DateOffset(weekday=TH(4)),
DateOffset(-1)],
)
# 2008 was the last year SIFMA observed early close for Black Friday
BlackFridayBefore2009 = Holiday(
'Early Close Wednesday Before Thanksgiving Day',
month=11,
day=1,
offset=[DateOffset(weekday=TH(4)),
DateOffset(1)],
end_date=Timestamp('2009-01-01'),
)
ChristmasEve = Holiday(
'Christmas Eve',
