Create trading holiday calendar with Pandas

Question

I\'m trying to create a Trading calendar using Pandas. I\'m able to create a cal instance based on the USFederalHolidayCalendar. The USFederalHolidayCalendar is not consiste

Answer 1

If it helps, I had a similar need for exchange trading calendars. There was some excellent code buried in the Zipline project by Quantopian. I extracted out the relevant part and created a new project for creating market exchange trading calendars in pandas. The links are here, with some of the functionality described below.

https://github.com/rsheftel/pandas_market_calendars

https://pypi.python.org/pypi/pandas-market-calendars

Here is what it can do by creating a pandas DatetimeIndex of all of the valid open hours for the NYSE:

import pandas_market_calendars as mcal
nyse = mcal.get_calendar('NYSE')

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

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)

If you just want to get the pandas Holiday Calendar that can be used in other pandas functions that take that as an argument:

holidays = nyse.holidays()

holidays.holidays[-5:]
(numpy.datetime64('2030-05-27'),
 numpy.datetime64('2030-07-04'),
 numpy.datetime64('2030-09-02'),
 numpy.datetime64('2030-11-28'),
 numpy.datetime64('2030-12-25'))