import sys
sys.path.append("../")
from datetime import time
import pandas as pd
import pandas_market_calendars as mcal
Calendars¶
Basic Usage¶
Setup new exchange calendar¶
nyse = mcal.get_calendar('NYSE')
Get the time zone
nyse.tz.zone
'America/New_York'
Get the AbstractHolidayCalendar object
holidays = nyse.holidays()
holidays.holidays[-5:]
(numpy.datetime64('2200-05-26'),
numpy.datetime64('2200-07-04'),
numpy.datetime64('2200-09-01'),
numpy.datetime64('2200-11-27'),
numpy.datetime64('2200-12-25'))
View the available information on regular market times
print(nyse.regular_market_times) # more on this under the 'Customizations' heading
ProtectedDict(
{'pre': ((None, datetime.time(4, 0)),),
'market_open': ((None, datetime.time(10, 0)),
('1985-01-01', datetime.time(9, 30))),
'market_close': ((None, datetime.time(15, 0)),
('1952-09-29', datetime.time(15, 30)),
('1974-01-01', datetime.time(16, 0))),
'post': ((None, datetime.time(20, 0)),)}
)
Exchange open valid business days¶
Get the valid open exchange business dates between a start and end date. Note that Dec 26 (Christmas), Jan 2 (New Years) and all weekends are missing
nyse.valid_days(start_date='2016-12-20', end_date='2017-01-10')
DatetimeIndex(['2016-12-20 00:00:00+00:00', '2016-12-21 00:00:00+00:00',
'2016-12-22 00:00:00+00:00', '2016-12-23 00:00:00+00:00',
'2016-12-27 00:00:00+00:00', '2016-12-28 00:00:00+00:00',
'2016-12-29 00:00:00+00:00', '2016-12-30 00:00:00+00:00',
'2017-01-03 00:00:00+00:00', '2017-01-04 00:00:00+00:00',
'2017-01-05 00:00:00+00:00', '2017-01-06 00:00:00+00:00',
'2017-01-09 00:00:00+00:00', '2017-01-10 00:00:00+00:00'],
dtype='datetime64[ns, UTC]', freq=None)
Schedule¶
schedule = nyse.schedule(start_date='2016-12-30', end_date='2017-01-10')
schedule
| market_open | market_close | |
|---|---|---|
| 2016-12-30 | 2016-12-30 14:30:00+00:00 | 2016-12-30 21:00:00+00:00 |
| 2017-01-03 | 2017-01-03 14:30:00+00:00 | 2017-01-03 21:00:00+00:00 |
| 2017-01-04 | 2017-01-04 14:30:00+00:00 | 2017-01-04 21:00:00+00:00 |
| 2017-01-05 | 2017-01-05 14:30:00+00:00 | 2017-01-05 21:00:00+00:00 |
| 2017-01-06 | 2017-01-06 14:30:00+00:00 | 2017-01-06 21:00:00+00:00 |
| 2017-01-09 | 2017-01-09 14:30:00+00:00 | 2017-01-09 21:00:00+00:00 |
| 2017-01-10 | 2017-01-10 14:30:00+00:00 | 2017-01-10 21:00:00+00:00 |
# with early closes
early = nyse.schedule(start_date='2012-07-01', end_date='2012-07-10')
early
| market_open | market_close | |
|---|---|---|
| 2012-07-02 | 2012-07-02 13:30:00+00:00 | 2012-07-02 20:00:00+00:00 |
| 2012-07-03 | 2012-07-03 13:30:00+00:00 | 2012-07-03 17:00:00+00:00 |
| 2012-07-05 | 2012-07-05 13:30:00+00:00 | 2012-07-05 20:00:00+00:00 |
| 2012-07-06 | 2012-07-06 13:30:00+00:00 | 2012-07-06 20:00:00+00:00 |
| 2012-07-09 | 2012-07-09 13:30:00+00:00 | 2012-07-09 20:00:00+00:00 |
| 2012-07-10 | 2012-07-10 13:30:00+00:00 | 2012-07-10 20:00:00+00:00 |
# including pre and post-market
extended = nyse.schedule(start_date='2012-07-01', end_date='2012-07-10', start="pre", end="post")
extended
| pre | market_open | market_close | post | |
|---|---|---|---|---|
| 2012-07-02 | 2012-07-02 08:00:00+00:00 | 2012-07-02 13:30:00+00:00 | 2012-07-02 20:00:00+00:00 | 2012-07-03 00:00:00+00:00 |
| 2012-07-03 | 2012-07-03 08:00:00+00:00 | 2012-07-03 13:30:00+00:00 | 2012-07-03 17:00:00+00:00 | 2012-07-03 17:00:00+00:00 |
| 2012-07-05 | 2012-07-05 08:00:00+00:00 | 2012-07-05 13:30:00+00:00 | 2012-07-05 20:00:00+00:00 | 2012-07-06 00:00:00+00:00 |
| 2012-07-06 | 2012-07-06 08:00:00+00:00 | 2012-07-06 13:30:00+00:00 | 2012-07-06 20:00:00+00:00 | 2012-07-07 00:00:00+00:00 |
| 2012-07-09 | 2012-07-09 08:00:00+00:00 | 2012-07-09 13:30:00+00:00 | 2012-07-09 20:00:00+00:00 | 2012-07-10 00:00:00+00:00 |
| 2012-07-10 | 2012-07-10 08:00:00+00:00 | 2012-07-10 13:30:00+00:00 | 2012-07-10 20:00:00+00:00 | 2012-07-11 00:00:00+00:00 |
# specific market times
# CAVEAT: Looking at 2012-07-03, you can see that times will NOT be adjusted to special_opens/sepcial_closes
# if market_open/market_close are not requested
specific = nyse.schedule(start_date='2012-07-01', end_date='2012-07-10', market_times= ["post", "market_open"]) # this order will be kept
specific
| post | market_open | |
|---|---|---|
| 2012-07-02 | 2012-07-03 00:00:00+00:00 | 2012-07-02 13:30:00+00:00 |
| 2012-07-03 | 2012-07-04 00:00:00+00:00 | 2012-07-03 13:30:00+00:00 |
| 2012-07-05 | 2012-07-06 00:00:00+00:00 | 2012-07-05 13:30:00+00:00 |
| 2012-07-06 | 2012-07-07 00:00:00+00:00 | 2012-07-06 13:30:00+00:00 |
| 2012-07-09 | 2012-07-10 00:00:00+00:00 | 2012-07-09 13:30:00+00:00 |
| 2012-07-10 | 2012-07-11 00:00:00+00:00 | 2012-07-10 13:30:00+00:00 |
Get early closes¶
nyse.early_closes(schedule=early)
| market_open | market_close | |
|---|---|---|
| 2012-07-03 | 2012-07-03 13:30:00+00:00 | 2012-07-03 17:00:00+00:00 |
nyse.early_closes(schedule=extended)
| pre | market_open | market_close | post | |
|---|---|---|---|---|
| 2012-07-03 | 2012-07-03 08:00:00+00:00 | 2012-07-03 13:30:00+00:00 | 2012-07-03 17:00:00+00:00 | 2012-07-03 17:00:00+00:00 |
Open at time¶
Test to see if a given timestamp is during market open hours
nyse.open_at_time(early, pd.Timestamp('2012-07-03 12:00', tz='America/New_York'))
True
nyse.open_at_time(early, pd.Timestamp('2012-07-03 16:00', tz='America/New_York'))
False
Other market times will also be considered
nyse.open_at_time(extended, pd.Timestamp('2012-07-05 18:00', tz='America/New_York'))
True
but can be ignored by setting only_rth = True
nyse.open_at_time(extended, pd.Timestamp('2012-07-05 18:00', tz='America/New_York'), only_rth = True)
False
Customizations¶
The simplest way to customize the market times of a calendar is by passing datetime.time objects to the constructor, which will modify the open and/or close of regular trading hours.
cal = mcal.get_calendar('NYSE', open_time=time(10, 0), close_time=time(14, 30))
print('open, close: %s, %s' % (cal.open_time, cal.close_time))
open, close: 10:00:00, 14:30:00
More advanced customizations can be done after initialization or by inheriting from the closest MarketCalendar class, which requires an explanation of market times…
Market times¶
Market times are moments in a trading day that are contained in the
regular_market_times attribute, for example:
print("The original NYSE calendar: \n", nyse.regular_market_times)
The original NYSE calendar:
ProtectedDict(
{'pre': ((None, datetime.time(4, 0)),),
'market_open': ((None, datetime.time(10, 0)),
('1985-01-01', datetime.time(9, 30))),
'market_close': ((None, datetime.time(15, 0)),
('1952-09-29', datetime.time(15, 30)),
('1974-01-01', datetime.time(16, 0))),
'post': ((None, datetime.time(20, 0)),)}
)
NYSE’s regular trading hours are referenced by “market_open” and “market_close”, but NYSE also has extended hours, which are referenced by “pre” and “post”.
The attribute ``regular_market_times`` has these requirements:
- It needs to be a dictionary
- Each market_time needs one entry
- Regular open must be “market_open”, regular close must be “market_close”.
- If there is a break, there must be a “break_start” and a “break_end”.
- only ONE break is currently supported.
- One list/tuple for each market_time, containing at least one
list/tuple:
- Each nested iterable needs at least two items:
(first_date_used, time[, offset]). - The first iterable’s date should be None, marking the start. In
every iterable thereafter this is the date when
timewas first used. - Optionally (assumed to be zero, when not present), a positive or negative integer, representing an offset in number of days.
- Dates need to be in ascending order, None coming first.
- Each nested iterable needs at least two items:
E.g.:
print(nyse.get_time("market_close", all_times= True)) # all_times = False only returns current
((None, datetime.time(15, 0)), ('1952-09-29', datetime.time(15, 30)), ('1974-01-01', datetime.time(16, 0)))
The first known close was 3pm, which changed on 1952-09-29 to 3:30pm, which changed on 1974-01-01 to 4pm. The dates are the first dates that the new time was used.
Customizing after initialization¶
There are three methods that allow customizing the
regular_market_times of a MarketCalendar instance: *
.change_time(market_time, times) *
.add_time(market_time, times) * .remove_time(market_time)
cal = mcal.get_calendar("NYSE")
cal.change_time("market_open", time(10,30))
print('open, close: %s, %s' % (cal.open_time, cal.close_time))
print("\nThe 'market_open' information is entirely replaced:\n", cal.regular_market_times)
open, close: 10:30:00, 16:00:00
The 'market_open' information is entirely replaced:
ProtectedDict(
{'pre': ((None, datetime.time(4, 0)),),
'market_open': ((None, datetime.time(10, 30)),),
'market_close': ((None, datetime.time(15, 0)),
('1952-09-29', datetime.time(15, 30)),
('1974-01-01', datetime.time(16, 0))),
'post': ((None, datetime.time(20, 0)),)}
)
cal.remove_time("post")
cal.add_time("new_post", time(19))
print(cal.regular_market_times)
ProtectedDict(
{'pre': ((None, datetime.time(4, 0)),),
'market_open': ((None, datetime.time(10, 30)),),
'market_close': ((None, datetime.time(15, 0)),
('1952-09-29', datetime.time(15, 30)),
('1974-01-01', datetime.time(16, 0))),
'new_post': ((None, datetime.time(19, 0)),)}
)
cal.remove_time("pre")
cal.remove_time("new_post")
The methods .add_time and .change_time also accept the time
information in these formats:
cal.add_time("just_time", time(10))
cal.add_time("with_offset", (time(10), -1))
cal.add_time("changes_and_offset", ((None, time(17)), ("2009-12-28", time(11), -2)))
print(cal.regular_market_times)
ProtectedDict(
{'market_open': ((None, datetime.time(10, 30)),),
'market_close': ((None, datetime.time(15, 0)),
('1952-09-29', datetime.time(15, 30)),
('1974-01-01', datetime.time(16, 0))),
'just_time': ((None, datetime.time(10, 0)),),
'with_offset': ((None, datetime.time(10, 0), -1),),
'changes_and_offset': ((None, datetime.time(17, 0)),
('2009-12-28', datetime.time(11, 0), -2))}
)
CAVEATS:¶
FIRST¶
Internally, a an order of market_times is detected based on their
current time.
Because of the offsets in “with_offset” and “changes_and_offset”, the
columns in a schedule are in the following order:
cal.schedule("2009-12-23", "2009-12-29", market_times= "all")
| changes_and_offset | with_offset | just_time | market_open | market_close | |
|---|---|---|---|---|---|
| 2009-12-23 | 2009-12-23 22:00:00+00:00 | 2009-12-22 15:00:00+00:00 | 2009-12-23 15:00:00+00:00 | 2009-12-23 15:30:00+00:00 | 2009-12-23 21:00:00+00:00 |
| 2009-12-24 | 2009-12-24 18:00:00+00:00 | 2009-12-23 15:00:00+00:00 | 2009-12-24 15:00:00+00:00 | 2009-12-24 15:30:00+00:00 | 2009-12-24 18:00:00+00:00 |
| 2009-12-28 | 2009-12-26 16:00:00+00:00 | 2009-12-27 15:00:00+00:00 | 2009-12-28 15:00:00+00:00 | 2009-12-28 15:30:00+00:00 | 2009-12-28 21:00:00+00:00 |
| 2009-12-29 | 2009-12-27 16:00:00+00:00 | 2009-12-28 15:00:00+00:00 | 2009-12-29 15:00:00+00:00 | 2009-12-29 15:30:00+00:00 | 2009-12-29 21:00:00+00:00 |
On 2009-12-23 changes_and_offset doesn’t seem to be in the right order, but as of 2009-12-28 it is.
Passing a list to market_times, allows you to keep a custom order:
cal.schedule("2009-12-23", "2009-12-29", market_times= ["with_offset", "market_open", "market_close", "changes_and_offset"])
| with_offset | market_open | market_close | changes_and_offset | |
|---|---|---|---|---|
| 2009-12-23 | 2009-12-22 15:00:00+00:00 | 2009-12-23 15:30:00+00:00 | 2009-12-23 21:00:00+00:00 | 2009-12-23 22:00:00+00:00 |
| 2009-12-24 | 2009-12-23 15:00:00+00:00 | 2009-12-24 15:30:00+00:00 | 2009-12-24 18:00:00+00:00 | 2009-12-24 18:00:00+00:00 |
| 2009-12-28 | 2009-12-27 15:00:00+00:00 | 2009-12-28 15:30:00+00:00 | 2009-12-28 21:00:00+00:00 | 2009-12-26 16:00:00+00:00 |
| 2009-12-29 | 2009-12-28 15:00:00+00:00 | 2009-12-29 15:30:00+00:00 | 2009-12-29 21:00:00+00:00 | 2009-12-27 16:00:00+00:00 |
SECOND¶
Special closes of market_closes will override all later times,
special opens of market_opens will override all earlier times.
In the prior schedule, 2009-12-24 is a special market_close, which was
enforced in the changes_and_offset column.
Providing False or None to the force_special_times keyword
argument, changes this behaviour:
# False - will only adjust the columns itself (changes_and_offset left alone, market_close adjusted)
cal.schedule("2009-12-23", "2009-12-28", market_times= ["changes_and_offset", "market_close"], force_special_times= False)
| changes_and_offset | market_close | |
|---|---|---|
| 2009-12-23 | 2009-12-23 22:00:00+00:00 | 2009-12-23 21:00:00+00:00 |
| 2009-12-24 | 2009-12-24 22:00:00+00:00 | 2009-12-24 18:00:00+00:00 |
| 2009-12-28 | 2009-12-26 16:00:00+00:00 | 2009-12-28 21:00:00+00:00 |
# None - will not adjust any column (both are left alone)
cal.schedule("2009-12-23", "2009-12-28", market_times= ["changes_and_offset", "market_close"], force_special_times= None)
| changes_and_offset | market_close | |
|---|---|---|
| 2009-12-23 | 2009-12-23 22:00:00+00:00 | 2009-12-23 21:00:00+00:00 |
| 2009-12-24 | 2009-12-24 22:00:00+00:00 | 2009-12-24 21:00:00+00:00 |
| 2009-12-28 | 2009-12-26 16:00:00+00:00 | 2009-12-28 21:00:00+00:00 |
Inheriting from a MarketCalendar¶
You get even more control over a calendar (or help this package by contributing a calendar) by inheriting from a MarketCalendar class, which is as simple as this:
# CFEExchangeCalendar only has the regular trading hours for the futures exchange (8:30 - 15:15).
# But you want to use the equity options exchange (8:30 - 15:00), including the order acceptance time at 7:30.
# Maybe you even know some special cases when the order acceptance time was different....
from pandas_market_calendars.exchange_calendar_cboe import CFEExchangeCalendar
class DemoOptionsExchangeCalendar(CFEExchangeCalendar): # Inherit what doesn't need to change
name = "Demo_CBOE_Equity_Options"
aliases = [name]
regular_market_times = {**CFEExchangeCalendar.regular_market_times, # unpack the parent's regular_market_times
"order_acceptance": ((None, time(7,30)),), # add your market time of interest
"market_close": ((None, time(15)),)} # overwrite the market time you want to change
@property ## See the 'Special times' header below
def special_order_acceptance_adhoc(self): # use the special_{market_time}_adhoc functionality to include special cases
return [(time(8,30), ["2000-12-27", "2001-12-27"])]
options = mcal.get_calendar("Demo_CBOE_Equity_Options")
print(options.regular_market_times)
ProtectedDict(
{'market_open': ((None, datetime.time(8, 30)),),
'market_close': ((None, datetime.time(15, 0)),),
'order_acceptance': ((None, datetime.time(7, 30)),)}
)
schedule = options.schedule("2000-12-22", "2000-12-28", start= "order_acceptance")
schedule
| order_acceptance | market_open | market_close | |
|---|---|---|---|
| 2000-12-22 | 2000-12-22 13:30:00+00:00 | 2000-12-22 14:30:00+00:00 | 2000-12-22 21:00:00+00:00 |
| 2000-12-26 | 2000-12-26 13:30:00+00:00 | 2000-12-26 14:30:00+00:00 | 2000-12-26 21:00:00+00:00 |
| 2000-12-27 | 2000-12-27 14:30:00+00:00 | 2000-12-27 14:30:00+00:00 | 2000-12-27 21:00:00+00:00 |
| 2000-12-28 | 2000-12-28 13:30:00+00:00 | 2000-12-28 14:30:00+00:00 | 2000-12-28 21:00:00+00:00 |
Dec 25th is filtered out already because it is inherited from the CFEExchangeCalendar, and the special case on 2000-12-27 is also integrated
Special times¶
Any market_time in regular_market_times can have special times,
which are looked for in two properties: *
special_{market_time}_adhoc * same format as
special_opens_adhoc, which is the same as
special_market_open_adhoc * special_{market_time} * same
format as special_opens, which is the same as
special_market_open
Advanced Usage¶
Checking for special times¶
The following functions respect varying times in regular_market_times
These will only check market_close/market_open columns for early/late times
options.early_closes(schedule), options.late_opens(schedule)
(Empty DataFrame
Columns: [order_acceptance, market_open, market_close]
Index: [],
Empty DataFrame
Columns: [order_acceptance, market_open, market_close]
Index: [])
The is_different method uses the name of the series passed to it, to
determine which rows are not equal to the regular market times, and
return a boolean Series
schedule[options.is_different(schedule["order_acceptance"])]
| order_acceptance | market_open | market_close | |
|---|---|---|---|
| 2000-12-27 | 2000-12-27 14:30:00+00:00 | 2000-12-27 14:30:00+00:00 | 2000-12-27 21:00:00+00:00 |
You can also pass pd.Series.lt/ -.gt / -.ge / etc. for more control
over the comparison
schedule[options.is_different(schedule["order_acceptance"], pd.Series.lt)]
| order_acceptance | market_open | market_close |
|---|
schedule[options.is_different(schedule["order_acceptance"], pd.Series.ge)]
| order_acceptance | market_open | market_close | |
|---|---|---|---|
| 2000-12-22 | 2000-12-22 13:30:00+00:00 | 2000-12-22 14:30:00+00:00 | 2000-12-22 21:00:00+00:00 |
| 2000-12-26 | 2000-12-26 13:30:00+00:00 | 2000-12-26 14:30:00+00:00 | 2000-12-26 21:00:00+00:00 |
| 2000-12-27 | 2000-12-27 14:30:00+00:00 | 2000-12-27 14:30:00+00:00 | 2000-12-27 21:00:00+00:00 |
| 2000-12-28 | 2000-12-28 13:30:00+00:00 | 2000-12-28 14:30:00+00:00 | 2000-12-28 21:00:00+00:00 |
Checking custom times¶
options.has_custom # order_acceptance is not considered custom because it is hardcoded into the class
False
options.add_time("post", time(17))
options.has_custom, options.is_custom("market_open"), options.is_custom("post")
(True, False, True)
Get the regular time on a certain date¶
nyse.open_time, nyse.close_time # these always refer to the current time of market_open/market_close
(datetime.time(9, 30, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>),
datetime.time(16, 0, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>))
nyse.get_time("post"), nyse.get_time("pre") # these also refer to the current time
(datetime.time(20, 0, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>),
datetime.time(4, 0, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>))
# open_time_on looks for market_open, close_time_on looks for market_close and get_time_on looks for the provided market time
nyse.open_time_on("1950-01-01"), nyse.get_time_on("market_close", "1960-01-01")
(datetime.time(10, 0, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>),
datetime.time(15, 30, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>))
Special Methods¶
nyse["market_open"] # gets the current time
datetime.time(9, 30, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>)
nyse["market_open", "all"] # gets all times
((None, datetime.time(10, 0)), ('1985-01-01', datetime.time(9, 30)))
nyse["market_open", "1950-01-01"] # gets the time on a certain date
datetime.time(10, 0, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>)
This tries to add a time, which will fail if it already exists. In
that case .change_time is the explicit alternative.
nyse["new_post"] = time(20)
nyse["new_post"]
datetime.time(20, 0, tzinfo=<DstTzInfo 'America/New_York' LMT-1 day, 19:04:00 STD>)
try: nyse["post"] = time(19)
except AssertionError as e: print(e)
post is already in regular_market_times:
['pre', 'market_open', 'market_close', 'post', 'new_post']
Array of special times¶
options.special_dates("order_acceptance", "2000-12-22", "2001-12-28")
DatetimeIndex(['2000-12-27 14:30:00+00:00', '2001-12-27 14:30:00+00:00'], dtype='datetime64[ns, UTC]', freq=None)
Handling discontinued times¶
xkrx = mcal.get_calendar("XKRX")
c:RMBAriesgitpandas_market_calendarspandas_market_calendarsmarket_calendar.py:128: UserWarning: ['break_start', 'break_end'] are discontinued, the dictionary .discontinued_market_times has the dates on which these were discontinued. The times as of those dates are incorrect, use .remove_time(market_time) to ignore a market_time.
warnings.warn(f"{list(self.discontinued_market_times.keys())} are discontinued, the dictionary"
xkrx.schedule("2020-01-01", "2020-01-05")
| market_open | break_start | break_end | market_close | |
|---|---|---|---|---|
| 2020-01-02 | 2020-01-02 00:00:00+00:00 | 2020-01-02 03:00:00+00:00 | 2020-01-02 04:00:00+00:00 | 2020-01-02 06:30:00+00:00 |
| 2020-01-03 | 2020-01-03 00:00:00+00:00 | 2020-01-03 03:00:00+00:00 | 2020-01-03 04:00:00+00:00 | 2020-01-03 06:30:00+00:00 |
xkrx.discontinued_market_times # these are the dates as of which the market time didn't exist anymore
{'break_start': Timestamp('2000-05-22 00:00:00'),
'break_end': Timestamp('2000-05-22 00:00:00')}
print(xkrx.has_discontinued)
xkrx.remove_time("break_start")
xkrx.remove_time("break_end")
print(xkrx.has_discontinued)
True
False
xkrx.schedule("2020-01-01", "2020-01-05")
| market_open | market_close | |
|---|---|---|
| 2020-01-02 | 2020-01-02 00:00:00+00:00 | 2020-01-02 06:30:00+00:00 |
| 2020-01-03 | 2020-01-03 00:00:00+00:00 | 2020-01-03 06:30:00+00:00 |
Helpers¶
schedules with columns other than market_open, break_start, break_end or market_close are not yet supported by the following functions
Date Range¶
This function will take a schedule DataFrame and return a DatetimeIndex with all timestamps at the frequency given for all of the exchange open dates and times.
mcal.date_range(early, frequency='1D')
DatetimeIndex(['2012-07-02 20:00:00+00:00', '2012-07-03 17:00:00+00:00',
'2012-07-05 20:00:00+00:00', '2012-07-06 20:00:00+00:00',
'2012-07-09 20:00:00+00:00', '2012-07-10 20:00:00+00:00'],
dtype='datetime64[ns, UTC]', freq=None)
mcal.date_range(early, frequency='1H')
DatetimeIndex(['2012-07-02 14:30:00+00:00', '2012-07-02 15:30:00+00:00',
'2012-07-02 16:30:00+00:00', '2012-07-02 17:30:00+00:00',
'2012-07-02 18:30:00+00:00', '2012-07-02 19:30:00+00:00',
'2012-07-02 20:00:00+00:00', '2012-07-03 14:30:00+00:00',
'2012-07-03 15:30:00+00:00', '2012-07-03 16:30:00+00:00',
'2012-07-03 17:00:00+00:00', '2012-07-05 14:30:00+00:00',
'2012-07-05 15:30:00+00:00', '2012-07-05 16:30:00+00:00',
'2012-07-05 17:30:00+00:00', '2012-07-05 18:30:00+00:00',
'2012-07-05 19:30:00+00:00', '2012-07-05 20:00:00+00:00',
'2012-07-06 14:30:00+00:00', '2012-07-06 15:30:00+00:00',
'2012-07-06 16:30:00+00:00', '2012-07-06 17:30:00+00:00',
'2012-07-06 18:30:00+00:00', '2012-07-06 19:30:00+00:00',
'2012-07-06 20:00:00+00:00', '2012-07-09 14:30:00+00:00',
'2012-07-09 15:30:00+00:00', '2012-07-09 16:30:00+00:00',
'2012-07-09 17:30:00+00:00', '2012-07-09 18:30:00+00:00',
'2012-07-09 19:30:00+00:00', '2012-07-09 20:00:00+00:00',
'2012-07-10 14:30:00+00:00', '2012-07-10 15:30:00+00:00',
'2012-07-10 16:30:00+00:00', '2012-07-10 17:30:00+00:00',
'2012-07-10 18:30:00+00:00', '2012-07-10 19:30:00+00:00',
'2012-07-10 20:00:00+00:00'],
dtype='datetime64[ns, UTC]', freq=None)
Merge schedules¶
# NYSE Calendar
nyse = mcal.get_calendar('NYSE')
schedule_nyse = nyse.schedule('2015-12-20', '2016-01-06')
schedule_nyse
| market_open | market_close | |
|---|---|---|
| 2015-12-21 | 2015-12-21 14:30:00+00:00 | 2015-12-21 21:00:00+00:00 |
| 2015-12-22 | 2015-12-22 14:30:00+00:00 | 2015-12-22 21:00:00+00:00 |
| 2015-12-23 | 2015-12-23 14:30:00+00:00 | 2015-12-23 21:00:00+00:00 |
| 2015-12-24 | 2015-12-24 14:30:00+00:00 | 2015-12-24 18:00:00+00:00 |
| 2015-12-28 | 2015-12-28 14:30:00+00:00 | 2015-12-28 21:00:00+00:00 |
| 2015-12-29 | 2015-12-29 14:30:00+00:00 | 2015-12-29 21:00:00+00:00 |
| 2015-12-30 | 2015-12-30 14:30:00+00:00 | 2015-12-30 21:00:00+00:00 |
| 2015-12-31 | 2015-12-31 14:30:00+00:00 | 2015-12-31 21:00:00+00:00 |
| 2016-01-04 | 2016-01-04 14:30:00+00:00 | 2016-01-04 21:00:00+00:00 |
| 2016-01-05 | 2016-01-05 14:30:00+00:00 | 2016-01-05 21:00:00+00:00 |
| 2016-01-06 | 2016-01-06 14:30:00+00:00 | 2016-01-06 21:00:00+00:00 |
# LSE Calendar
lse = mcal.get_calendar('LSE')
schedule_lse = lse.schedule('2015-12-20', '2016-01-06')
schedule_lse
| market_open | market_close | |
|---|---|---|
| 2015-12-21 | 2015-12-21 08:00:00+00:00 | 2015-12-21 16:30:00+00:00 |
| 2015-12-22 | 2015-12-22 08:00:00+00:00 | 2015-12-22 16:30:00+00:00 |
| 2015-12-23 | 2015-12-23 08:00:00+00:00 | 2015-12-23 16:30:00+00:00 |
| 2015-12-24 | 2015-12-24 08:00:00+00:00 | 2015-12-24 12:30:00+00:00 |
| 2015-12-29 | 2015-12-29 08:00:00+00:00 | 2015-12-29 16:30:00+00:00 |
| 2015-12-30 | 2015-12-30 08:00:00+00:00 | 2015-12-30 16:30:00+00:00 |
| 2015-12-31 | 2015-12-31 08:00:00+00:00 | 2015-12-31 12:30:00+00:00 |
| 2016-01-04 | 2016-01-04 08:00:00+00:00 | 2016-01-04 16:30:00+00:00 |
| 2016-01-05 | 2016-01-05 08:00:00+00:00 | 2016-01-05 16:30:00+00:00 |
| 2016-01-06 | 2016-01-06 08:00:00+00:00 | 2016-01-06 16:30:00+00:00 |
Inner merge¶
This will find the dates where both the NYSE and LSE are open. Notice that Dec 28th is open for NYSE but not LSE. Also note that some days have a close prior to the open. This function does not currently check for that.
mcal.merge_schedules(schedules=[schedule_nyse, schedule_lse], how='inner')
| market_open | market_close | |
|---|---|---|
| 2015-12-21 | 2015-12-21 14:30:00+00:00 | 2015-12-21 16:30:00+00:00 |
| 2015-12-22 | 2015-12-22 14:30:00+00:00 | 2015-12-22 16:30:00+00:00 |
| 2015-12-23 | 2015-12-23 14:30:00+00:00 | 2015-12-23 16:30:00+00:00 |
| 2015-12-24 | 2015-12-24 14:30:00+00:00 | 2015-12-24 12:30:00+00:00 |
| 2015-12-29 | 2015-12-29 14:30:00+00:00 | 2015-12-29 16:30:00+00:00 |
| 2015-12-30 | 2015-12-30 14:30:00+00:00 | 2015-12-30 16:30:00+00:00 |
| 2015-12-31 | 2015-12-31 14:30:00+00:00 | 2015-12-31 12:30:00+00:00 |
| 2016-01-04 | 2016-01-04 14:30:00+00:00 | 2016-01-04 16:30:00+00:00 |
| 2016-01-05 | 2016-01-05 14:30:00+00:00 | 2016-01-05 16:30:00+00:00 |
| 2016-01-06 | 2016-01-06 14:30:00+00:00 | 2016-01-06 16:30:00+00:00 |
Outer merge¶
This will return the dates and times where either the NYSE or the LSE are open
mcal.merge_schedules(schedules=[schedule_nyse, schedule_lse], how='outer')
| market_open | market_close | |
|---|---|---|
| 2015-12-21 | 2015-12-21 08:00:00+00:00 | 2015-12-21 21:00:00+00:00 |
| 2015-12-22 | 2015-12-22 08:00:00+00:00 | 2015-12-22 21:00:00+00:00 |
| 2015-12-23 | 2015-12-23 08:00:00+00:00 | 2015-12-23 21:00:00+00:00 |
| 2015-12-24 | 2015-12-24 08:00:00+00:00 | 2015-12-24 18:00:00+00:00 |
| 2015-12-28 | 2015-12-28 14:30:00+00:00 | 2015-12-28 21:00:00+00:00 |
| 2015-12-29 | 2015-12-29 08:00:00+00:00 | 2015-12-29 21:00:00+00:00 |
| 2015-12-30 | 2015-12-30 08:00:00+00:00 | 2015-12-30 21:00:00+00:00 |
| 2015-12-31 | 2015-12-31 08:00:00+00:00 | 2015-12-31 21:00:00+00:00 |
| 2016-01-04 | 2016-01-04 08:00:00+00:00 | 2016-01-04 21:00:00+00:00 |
| 2016-01-05 | 2016-01-05 08:00:00+00:00 | 2016-01-05 21:00:00+00:00 |
| 2016-01-06 | 2016-01-06 08:00:00+00:00 | 2016-01-06 21:00:00+00:00 |
Use holidays in numpy¶
This will use your exchange calendar in numpy to add business days
import numpy as np
cme = mcal.get_calendar("CME_Agriculture")
np.busday_offset(dates="2020-05-22", holidays=cme.holidays().holidays, offsets=1)
numpy.datetime64('2020-05-26')
Trading Breaks¶
Some markets have breaks in the day, like the CME Equity Futures markets which are closed from 4:15 - 4:35 (NY) daily. These calendars will have additional columns in the schedule() DataFrame
cme = mcal.get_calendar('CME_Equity')
schedule = cme.schedule('2020-01-01', '2020-01-04')
schedule
| market_open | break_start | break_end | market_close | |
|---|---|---|---|---|
| 2020-01-02 | 2020-01-01 23:00:00+00:00 | 2020-01-02 21:15:00+00:00 | 2020-01-02 21:30:00+00:00 | 2020-01-02 22:00:00+00:00 |
| 2020-01-03 | 2020-01-02 23:00:00+00:00 | 2020-01-03 21:15:00+00:00 | 2020-01-03 21:30:00+00:00 | 2020-01-03 22:00:00+00:00 |
The date_range() properly accounts for the breaks
mcal.date_range(schedule, '5H')
DatetimeIndex(['2020-01-02 04:00:00+00:00', '2020-01-02 09:00:00+00:00',
'2020-01-02 14:00:00+00:00', '2020-01-02 19:00:00+00:00',
'2020-01-02 21:15:00+00:00', '2020-01-02 22:00:00+00:00',
'2020-01-03 04:00:00+00:00', '2020-01-03 09:00:00+00:00',
'2020-01-03 14:00:00+00:00', '2020-01-03 19:00:00+00:00',
'2020-01-03 21:15:00+00:00', '2020-01-03 22:00:00+00:00'],
dtype='datetime64[ns, UTC]', freq=None)