def get_early_closes(start, end):
# TSX closed at 1:00 PM on december 24th.
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
# Not included here are early closes prior to 1993
# or unplanned early closes
early_close_rules = []
christmas_eve = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=24,
byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR),
cache=True,
dtstart=start,
until=end
)
early_close_rules.append(christmas_eve)
early_close_ruleset = rrule.rruleset()
for rule in early_close_rules:
early_close_ruleset.rrule(rule)
early_closes = early_close_ruleset.between(start, end, inc=True)
early_closes.sort()
return pd.DatetimeIndex(early_closes)
def signal(self, *args, **kwargs):
'''
Entry point for the rule_func
All arguments are passed to rule_func
'''
now = get_datetime()
dt = calendar.canonicalize_datetime(get_datetime())
if self.next_event_date is None:
self.next_event_date = dt
times = self.open_and_close(dt)
self.market_open = times['market_open']
self.market_close = times['market_close']
if self.format_datetime(now) < self.format_datetime(self.market_open):
return False
#print self.format_datetime(now) >= self.format_datetime(self.market_close)
if (self.frequency == '1m'):
# decide if it is the entry time for today's trading
decision = self._trade_timing_func(*args, **kwargs)
if decision:
self.remaining_hits -= 1
self.set_next_event_date()
elif (self.frequency == '1d'):
decision = self.format_datetime(now) >= \
self.format_datetime(self.market_close)
if decision:
self.set_next_event_date()
return decision
def get_non_trading_days(start, end):
non_trading_rules = []
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
non_trading_rules.append(weekends)
non_trading_rules.append(new_year)
# Good Friday
good_friday = rrule.rrule(
rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(good_friday)
non_trading_rules.append(easter_monday)
non_trading_rules.append(ch_himm)
non_trading_rules.append(pfinst_mon_13)
non_trading_rules.append(pfinst_mon_15)
non_trading_rules.append(may_bank)
non_trading_rules.append(tde)
non_trading_rules.append(christmas_eve)
non_trading_rules.append(christmas)
non_trading_rules.append(boxing_day)
non_trading_rules.append(newyears_eve)
non_trading_ruleset = rrule.rruleset()
for rule in non_trading_rules:
non_trading_ruleset.rrule(rule)
non_trading_days = sorted(
non_trading_ruleset.between(
start, end, inc=True))
return pd.DatetimeIndex(non_trading_days)
def get_market_close():
"""
Returns the market close time for the
current trading day
"""
closes = tradingcalendar.open_and_closes['market_close']
today = tradingcalendar.canonicalize_datetime(get_datetime())
return closes[today]
def get_early_closes(start, end):
# TSX closed at 1:00 PM on december 24th.
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
early_close_rules = []
early_close_rules.append(quarta_cinzas)
early_close_ruleset = rrule.rruleset()
for rule in early_close_rules:
early_close_ruleset.rrule(rule)
early_closes = early_close_ruleset.between(start, end, inc=True)
early_closes.sort()
return pd.DatetimeIndex(early_closes)
def get_early_closes(start, end):
# TSX closed at 1:00 PM on december 24th.
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
early_close_rules = []
early_close_rules.append(quarta_cinzas)
early_close_ruleset = rrule.rruleset()
for rule in early_close_rules:
early_close_ruleset.rrule(rule)
early_closes = early_close_ruleset.between(start, end, inc=True)
early_closes.sort()
return pd.DatetimeIndex(early_closes)
def shift_quandl(df):
tdays = tradingcalendar.trading_days
last_bar = df.iloc[-1].copy()
last_date = pd.to_datetime(last_bar['Date'])
last_dt = tradingcalendar.canonicalize_datetime(last_date)
next_dt = tdays[tdays.searchsorted(last_dt) + 1]
last_bar['Date'] = next_dt
last_bar.name = df.index[-1] + 1
df = df.append(last_bar)
return df
def shift_quandl(df):
tdays = tradingcalendar.trading_days
last_bar = df.iloc[-1].copy()
last_date = pd.to_datetime(last_bar['Date'])
last_dt = tradingcalendar.canonicalize_datetime(last_date)
next_dt = tdays[tdays.searchsorted(last_dt) + 1]
last_bar['Date'] = next_dt
last_bar.name = df.index[-1] + 1
df = df.append(last_bar)
return df
def minutes_till_close():
"""
Returns the number of minutes until the
market close
"""
now = get_datetime()
open_and_closes = tradingcalendar.open_and_closes
dt = tradingcalendar.canonicalize_datetime(now)
idx = open_and_closes.index.searchsorted(dt)
close = open_and_closes.iloc[idx]['market_close']
return (close - now).seconds / 60
def signal(self, *args, **kwargs):
'''
Entry point for the rule_func
All arguments are passed to rule_func
'''
now = get_datetime()
dt = calendar.canonicalize_datetime(now)
if self.next_event_date is None:
self.next_event_date = dt
times = self.open_and_close(dt)
self.market_open = times['market_open']
self.market_close = times['market_close']
if now < self.market_open:
return False
if now == self.market_close:
self.set_next_event_date()
decision = self._rule_func(*args, **kwargs)
if decision:
self.remaining_hits -= 1
if self.remaining_hits <= 0:
self.set_next_event_date()
return decision
def next_trading_day(dt):
tdays = tradingcalendar.trading_days
normalized_dt = tradingcalendar.canonicalize_datetime(dt)
idx = tdays.searchsorted(normalized_dt)
return tdays[idx + 1]
def next_trading_day(dt):
tdays = tradingcalendar.trading_days
normalized_dt = tradingcalendar.canonicalize_datetime(dt)
idx = tdays.searchsorted(normalized_dt)
return tdays[idx + 1]
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 todays_index(self):
dt = calendar.canonicalize_datetime(get_datetime())
return calendar.trading_days.searchsorted(dt)
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)
# Universal confraternization
conf_universal = rrule.rrule(rrule.MONTHLY, byyearday=1, cache=True, dtstart=start, until=end)
non_trading_rules.append(conf_universal)
# Sao Paulo city birthday
aniversario_sao_paulo = rrule.rrule(rrule.MONTHLY, bymonth=1, bymonthday=25, cache=True, dtstart=start, until=end)
non_trading_rules.append(aniversario_sao_paulo)
# Carnival Monday
carnaval_segunda = rrule.rrule(rrule.MONTHLY, byeaster=-48, cache=True, dtstart=start, until=end)
non_trading_rules.append(carnaval_segunda)
# Carnival Tuesday
carnaval_terca = rrule.rrule(rrule.MONTHLY, byeaster=-47, cache=True, dtstart=start, until=end)
non_trading_rules.append(carnaval_terca)
# Passion of the Christ
sexta_paixao = rrule.rrule(rrule.MONTHLY, byeaster=-2, cache=True, dtstart=start, until=end)
non_trading_rules.append(sexta_paixao)
# Corpus Christi
corpus_christi = rrule.rrule(rrule.MONTHLY, byeaster=60, cache=True, dtstart=start, until=end)
non_trading_rules.append(corpus_christi)
tiradentes = rrule.rrule(rrule.MONTHLY, bymonth=4, bymonthday=21, cache=True, dtstart=start, until=end)
non_trading_rules.append(tiradentes)
# Labor day
dia_trabalho = rrule.rrule(rrule.MONTHLY, bymonth=5, bymonthday=1, cache=True, dtstart=start, until=end)
non_trading_rules.append(dia_trabalho)
# Constitutionalist Revolution
constitucionalista = rrule.rrule(
rrule.MONTHLY, bymonth=7, bymonthday=9, cache=True, dtstart=datetime(1997, 1, 1, tzinfo=pytz.utc), until=end
)
non_trading_rules.append(constitucionalista)
# Independency day
independencia = rrule.rrule(rrule.MONTHLY, bymonth=9, bymonthday=7, cache=True, dtstart=start, until=end)
non_trading_rules.append(independencia)
# Our Lady of Aparecida
aparecida = rrule.rrule(rrule.MONTHLY, bymonth=10, bymonthday=12, cache=True, dtstart=start, until=end)
non_trading_rules.append(aparecida)
# All Souls' day
finados = rrule.rrule(rrule.MONTHLY, bymonth=11, bymonthday=2, cache=True, dtstart=start, until=end)
non_trading_rules.append(finados)
# Proclamation of the Republic
proclamacao_republica = rrule.rrule(rrule.MONTHLY, bymonth=11, bymonthday=15, cache=True, dtstart=start, until=end)
non_trading_rules.append(proclamacao_republica)
# Day of Black Awareness
consciencia_negra = rrule.rrule(
rrule.MONTHLY, bymonth=11, bymonthday=20, cache=True, dtstart=datetime(2004, 1, 1, tzinfo=pytz.utc), until=end
)
non_trading_rules.append(consciencia_negra)
# Christmas Eve
vespera_natal = rrule.rrule(rrule.MONTHLY, bymonth=12, bymonthday=24, cache=True, dtstart=start, until=end)
non_trading_rules.append(vespera_natal)
# Christmas
natal = rrule.rrule(rrule.MONTHLY, bymonth=12, bymonthday=25, cache=True, dtstart=start, until=end)
non_trading_rules.append(natal)
# New Year Eve
ano_novo = rrule.rrule(rrule.MONTHLY, bymonth=12, bymonthday=31, cache=True, dtstart=start, until=end)
non_trading_rules.append(ano_novo)
# New Year Eve on saturday
ano_novo_sab = rrule.rrule(
rrule.MONTHLY, bymonth=12, bymonthday=30, byweekday=rrule.FR, cache=True, dtstart=start, until=end
)
non_trading_rules.append(ano_novo_sab)
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)
non_trading_days.sort()
return pd.DatetimeIndex(non_trading_days)
def subsequent_trading_date(date):
tdays = tradingcalendar.trading_days
last_date = pd.to_datetime(date)
last_dt = tradingcalendar.canonicalize_datetime(last_date)
next_dt = tdays[tdays.searchsorted(last_dt) + 1]
return next_dt
def is_market_close(dt):
ref = tradingcalendar.canonicalize_datetime(dt)
return dt == tradingcalendar.open_and_closes.T[ref]['market_close']
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)
# Universal confraternization
conf_universal = rrule.rrule(rrule.MONTHLY,
byyearday=1,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(conf_universal)
# Sao Paulo city birthday
aniversario_sao_paulo = rrule.rrule(rrule.MONTHLY,
bymonth=1,
bymonthday=25,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(aniversario_sao_paulo)
# Carnival Monday
carnaval_segunda = rrule.rrule(rrule.MONTHLY,
byeaster=-48,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(carnaval_segunda)
# Carnival Tuesday
carnaval_terca = rrule.rrule(rrule.MONTHLY,
byeaster=-47,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(carnaval_terca)
# Passion of the Christ
sexta_paixao = rrule.rrule(rrule.MONTHLY,
byeaster=-2,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(sexta_paixao)
# Corpus Christi
corpus_christi = rrule.rrule(rrule.MONTHLY,
byeaster=60,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(corpus_christi)
tiradentes = rrule.rrule(rrule.MONTHLY,
bymonth=4,
bymonthday=21,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(tiradentes)
# Labor day
dia_trabalho = rrule.rrule(rrule.MONTHLY,
bymonth=5,
bymonthday=1,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(dia_trabalho)
# Constitutionalist Revolution
constitucionalista = rrule.rrule(rrule.MONTHLY,
bymonth=7,
bymonthday=9,
cache=True,
dtstart=datetime(1997,
1,
1,
tzinfo=pytz.utc),
until=end)
non_trading_rules.append(constitucionalista)
# Independency day
independencia = rrule.rrule(rrule.MONTHLY,
bymonth=9,
bymonthday=7,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(independencia)
# Our Lady of Aparecida
aparecida = rrule.rrule(rrule.MONTHLY,
bymonth=10,
bymonthday=12,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(aparecida)
# All Souls' day
finados = rrule.rrule(rrule.MONTHLY,
bymonth=11,
bymonthday=2,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(finados)
# Proclamation of the Republic
proclamacao_republica = rrule.rrule(rrule.MONTHLY,
bymonth=11,
bymonthday=15,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(proclamacao_republica)
# Day of Black Awareness
consciencia_negra = rrule.rrule(rrule.MONTHLY,
bymonth=11,
bymonthday=20,
cache=True,
dtstart=datetime(2004,
1,
1,
tzinfo=pytz.utc),
until=end)
non_trading_rules.append(consciencia_negra)
# Christmas Eve
vespera_natal = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=24,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(vespera_natal)
# Christmas
natal = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=25,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(natal)
# New Year Eve
ano_novo = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=31,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(ano_novo)
# New Year Eve on saturday
ano_novo_sab = rrule.rrule(rrule.MONTHLY,
bymonth=12,
bymonthday=30,
byweekday=rrule.FR,
cache=True,
dtstart=start,
until=end)
non_trading_rules.append(ano_novo_sab)
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)
non_trading_days.sort()
return pd.DatetimeIndex(non_trading_days)
def is_market_close(dt):
ref = tradingcalendar.canonicalize_datetime(dt)
return dt == tradingcalendar.open_and_closes.T[ref]['market_close']
import pandas as pd
from dateutil import rrule
from zipline.utils.tradingcalendar import end, canonicalize_datetime
__author__ = 'Warren'
start = pd.Timestamp('2013-01-01', tz='UTC')
end_base = pd.Timestamp('today', tz='UTC')
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
weekends = rrule.rrule(
rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU),
cache=True,
dtstart=start,
until=end
)
# New Year's Day
new_year = rrule.rrule(
rrule.MONTHLY,
byyearday=1,
cache=True,
dtstart=start,
until=end
)
