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 get_mtm_dates(start_date, end_date, exchanges, how='all', holidays=None):
"""
Dates which are tradeable based on the calendars for the exchanges that
the set of instruments in the portfolio trade on.
Parameters
----------
start_date: pandas.Timestamp
Date to generate mtm dates starting from
end_date: pandas.Timestamp
Date to generate mtm dates until
exchanges: list
list of strings representing exchanges, see pandas_market_calendars
how: {'all', 'any'}, default 'all'
* all: all instruments must be tradeable for date to be included
* any: any instrument must be tradeable for date to be included
holidays: list
list of adhoc pd.Timestamps representing additional holidays to
exclude.
Returns
-------
DatetimeIndex of tradeable dates
Examples
--------
>>> import strategy.calendar as cal
>>> import pandas as pd
>>> sd = pd.Timestamp("2018-01-01")
>>> ed = pd.Timestamp("2018-02-01")
>>> exchanges = ["CME"]
>>> holidays = [pd.Timestamp("2018-01-03")]
>>> cal.get_mtm_dates(sd, ed, exchanges, holidays=holidays)
"""
if holidays is None:
holidays = []
schedules = []
for exch in exchanges:
cal = mcal.get_calendar(exch)
schedules.append(cal.schedule(start_date, end_date))
how = {"all": "inner", "any": "outer"}[how]
schedule = mcal.merge_schedules(schedules, how=how)
mtm_dates = schedule.index
mtm_dates = mtm_dates.difference(holidays)
return mtm_dates
