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# Copyright 2014 Quantopian, Inc. |
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# |
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# Licensed under the Apache License, Version 2.0 (the "License"); |
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# you may not use this file except in compliance with the License. |
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# You may obtain a copy of the License at |
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# |
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# http://www.apache.org/licenses/LICENSE-2.0 |
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# |
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# Unless required by applicable law or agreed to in writing, software |
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# distributed under the License is distributed on an "AS IS" BASIS, |
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. |
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# See the License for the specific language governing permissions and |
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# limitations under the License. |
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import pandas as pd |
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import pytz |
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from datetime import datetime |
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from dateutil import rrule |
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from zipline.utils.tradingcalendar import end, canonicalize_datetime, \ |
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get_open_and_closes |
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start = pd.Timestamp('1994-01-01', tz='UTC') |
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def get_non_trading_days(start, end): |
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non_trading_rules = [] |
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start = canonicalize_datetime(start) |
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end = canonicalize_datetime(end) |
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weekends = rrule.rrule( |
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rrule.YEARLY, |
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byweekday=(rrule.SA, rrule.SU), |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(weekends) |
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# Universal confraternization |
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conf_universal = rrule.rrule( |
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rrule.MONTHLY, |
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byyearday=1, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(conf_universal) |
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# Sao Paulo city birthday |
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aniversario_sao_paulo = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=1, |
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bymonthday=25, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(aniversario_sao_paulo) |
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# Carnival Monday |
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carnaval_segunda = rrule.rrule( |
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rrule.MONTHLY, |
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byeaster=-48, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(carnaval_segunda) |
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# Carnival Tuesday |
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carnaval_terca = rrule.rrule( |
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rrule.MONTHLY, |
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byeaster=-47, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(carnaval_terca) |
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# Passion of the Christ |
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sexta_paixao = rrule.rrule( |
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rrule.MONTHLY, |
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byeaster=-2, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(sexta_paixao) |
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# Corpus Christi |
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corpus_christi = rrule.rrule( |
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rrule.MONTHLY, |
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byeaster=60, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(corpus_christi) |
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tiradentes = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=4, |
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bymonthday=21, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(tiradentes) |
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# Labor day |
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dia_trabalho = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=5, |
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bymonthday=1, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(dia_trabalho) |
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# Constitutionalist Revolution |
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constitucionalista = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=7, |
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bymonthday=9, |
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cache=True, |
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dtstart=datetime(1997, 1, 1, tzinfo=pytz.utc), |
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until=end |
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) |
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non_trading_rules.append(constitucionalista) |
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# Independency day |
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independencia = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=9, |
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bymonthday=7, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(independencia) |
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# Our Lady of Aparecida |
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aparecida = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=10, |
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bymonthday=12, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(aparecida) |
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# All Souls' day |
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finados = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=11, |
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bymonthday=2, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(finados) |
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# Proclamation of the Republic |
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proclamacao_republica = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=11, |
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bymonthday=15, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(proclamacao_republica) |
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# Day of Black Awareness |
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consciencia_negra = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=11, |
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bymonthday=20, |
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cache=True, |
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dtstart=datetime(2004, 1, 1, tzinfo=pytz.utc), |
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until=end |
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) |
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non_trading_rules.append(consciencia_negra) |
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# Christmas Eve |
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vespera_natal = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=12, |
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bymonthday=24, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(vespera_natal) |
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# Christmas |
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natal = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=12, |
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bymonthday=25, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(natal) |
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# New Year Eve |
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ano_novo = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=12, |
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bymonthday=31, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(ano_novo) |
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# New Year Eve on saturday |
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ano_novo_sab = rrule.rrule( |
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rrule.MONTHLY, |
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bymonth=12, |
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bymonthday=30, |
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byweekday=rrule.FR, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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non_trading_rules.append(ano_novo_sab) |
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non_trading_ruleset = rrule.rruleset() |
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for rule in non_trading_rules: |
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non_trading_ruleset.rrule(rule) |
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non_trading_days = non_trading_ruleset.between(start, end, inc=True) |
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# World Cup 2014 Opening |
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non_trading_days.append(datetime(2014, 6, 12, tzinfo=pytz.utc)) |
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non_trading_days.sort() |
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return pd.DatetimeIndex(non_trading_days) |
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non_trading_days = get_non_trading_days(start, end) |
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trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days) |
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def get_trading_days(start, end, trading_day=trading_day): |
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return pd.date_range(start=start.date(), |
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end=end.date(), |
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freq=trading_day).tz_localize('UTC') |
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trading_days = get_trading_days(start, end) |
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# Ash Wednesday |
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quarta_cinzas = rrule.rrule( |
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rrule.MONTHLY, |
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byeaster=-46, |
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cache=True, |
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dtstart=start, |
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until=end |
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) |
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def get_early_closes(start, end): |
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# TSX closed at 1:00 PM on december 24th. |
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start = canonicalize_datetime(start) |
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end = canonicalize_datetime(end) |
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early_close_rules = [] |
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early_close_rules.append(quarta_cinzas) |
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early_close_ruleset = rrule.rruleset() |
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for rule in early_close_rules: |
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early_close_ruleset.rrule(rule) |
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early_closes = early_close_ruleset.between(start, end, inc=True) |
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early_closes.sort() |
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return pd.DatetimeIndex(early_closes) |
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early_closes = get_early_closes(start, end) |
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def get_open_and_close(day, early_closes): |
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# only "early close" event in Bovespa actually is a late start |
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# as the market only opens at 1pm |
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open_hour = 13 if day in quarta_cinzas else 10 |
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market_open = pd.Timestamp( |
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datetime( |
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year=day.year, |
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month=day.month, |
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day=day.day, |
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hour=open_hour, |
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minute=00), |
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tz='America/Sao_Paulo').tz_convert('UTC') |
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market_close = pd.Timestamp( |
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datetime( |
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year=day.year, |
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month=day.month, |
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day=day.day, |
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hour=16), |
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tz='America/Sao_Paulo').tz_convert('UTC') |
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return market_open, market_close |
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open_and_closes = get_open_and_closes(trading_days, early_closes, |
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get_open_and_close) |
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quantopian /
zipline
