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

You have to create new instance of class: cal1 = tradingCal(). This works for me.

from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
from datetime import datetime

cal = get_calendar('USFederalHolidayCalendar')  # Create calendar instance
cal.rules.pop(7)                                # Remove Veteran's Day rule
cal.rules.pop(6)                                # Remove Columbus Day rule
tradingCal = HolidayCalendarFactory('TradingCalendar', cal, GoodFriday)
print tradingCal.rules

#new instance of class
cal1 = tradingCal()

print cal1.holidays(datetime(2014, 12, 31), datetime(2016, 12, 31))

#DatetimeIndex(['2015-01-01', '2015-01-19', '2015-02-16', '2015-04-03',
#               '2015-05-25', '2015-07-03', '2015-09-07', '2015-11-26',
#               '2015-12-25', '2016-01-01', '2016-01-18', '2016-02-15',
#              '2016-03-25', '2016-05-30', '2016-07-04', '2016-09-05',
#               '2016-11-24', '2016-12-26'],
#              dtype='datetime64[ns]', freq=None, tz=None)