zipline.utils.get_early_closes() - Code Metrics - Inspection of "allows users to specify the cutoff time for data q..." - quantopian/zipline - Measure and Improve Code Quality continuously with Scrutinizer

Completed

Pull Request — master (#947)

by Joe

created 2016-01-09 01:36 UTC

zipline.utils.get_early_closes() B

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rs	8.8571

#
# Copyright 2014 Quantopian, Inc.
#
# Licensed under the Apache License, Version 2.0 (the "License");
# you may not use this file except in compliance with the License.
# You may obtain a copy of the License at
#
#     http://www.apache.org/licenses/LICENSE-2.0
#
# Unless required by applicable law or agreed to in writing, software
# distributed under the License is distributed on an "AS IS" BASIS,
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
# See the License for the specific language governing permissions and
# limitations under the License.


import pandas as pd
import pytz

from datetime import datetime
from dateutil import rrule
from zipline.utils.tradingcalendar import end, canonicalize_datetime, \
    get_open_and_closes

start = pd.Timestamp('1994-01-01', tz='UTC')


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)

non_trading_days = get_non_trading_days(start, end)
trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)


def get_trading_days(start, end, trading_day=trading_day):
    return pd.date_range(start=start.date(),
                         end=end.date(),
                         freq=trading_day).tz_localize('UTC')

trading_days = get_trading_days(start, end)

# Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
# --------------------------------------------------------------------
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
# to check whether exchange was open on these days.
# 1994-07-01     - July 1st, Yahoo Finance has Volume = 0
# 1996-07-01     - July 1st, Yahoo Finance has Volume = 0
# 1996-08-05     - Civic Holiday, Yahoo Finance has Volume = 0
# 1997-07-01     - July 1st, Yahoo Finance has Volume = 0
# 1997-08-04     - Civic Holiday, Yahoo Finance has Volume = 0
# 2001-05-21     - Victoria day, Yahoo Finance has Volume = 0
# 2004-10-11     - Closed, Thanksgiving - Confirmed closed
# 2004-12-28     - Closed, Boxing Day - Confirmed closed
# 2012-10-08     - Closed, Thanksgiving - Confirmed closed

# Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
# --------------------------------------------------------------------
# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
# to check whether exchange was open on these days.
# 2000-06-28     - No data this far back, can't confirm
# 2000-08-28     - No data this far back, can't confirm
# 2000-08-29     - No data this far back, can't confirm
# 2001-09-11     - TSE Open for 71 min.
# 2002-02-01     - Confirm TSE Open
# 2002-06-14     - Confirm TSE Open
# 2002-07-02     - Confirm TSE Open
# 2002-11-11     - TSX website has no data for 2 weeks in 2002
# 2003-07-07     - Confirm TSE Open
# 2003-12-16     - Confirm TSE Open


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)

early_closes = get_early_closes(start, end)


def get_open_and_close(day, early_closes):
    market_open = pd.Timestamp(
        datetime(
            year=day.year,
            month=day.month,
            day=day.day,
            hour=9,
            minute=31),
        tz='US/Eastern').tz_convert('UTC')
    # 1 PM if early close, 4 PM otherwise
    close_hour = 13 if day in early_closes else 16
    market_close = pd.Timestamp(
        datetime(
            year=day.year,
            month=day.month,
            day=day.day,
            hour=close_hour),
        tz='US/Eastern').tz_convert('UTC')

    return market_open, market_close

open_and_closes = get_open_and_closes(trading_days, early_closes,
                                      get_open_and_close)


1			#
2			# Copyright 2014 Quantopian, Inc.
3			#
4			# Licensed under the Apache License, Version 2.0 (the "License");
5			# you may not use this file except in compliance with the License.
6			# You may obtain a copy of the License at
7			#
8			# http://www.apache.org/licenses/LICENSE-2.0
9			#
10			# Unless required by applicable law or agreed to in writing, software
11			# distributed under the License is distributed on an "AS IS" BASIS,
12			# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
13			# See the License for the specific language governing permissions and
14			# limitations under the License.
15
16
17			import pandas as pd
18			import pytz
19
20			from datetime import datetime
21			from dateutil import rrule
22			from zipline.utils.tradingcalendar import end, canonicalize_datetime, \
23			get_open_and_closes
24
25			start = pd.Timestamp('1994-01-01', tz='UTC')
26
27
28			def get_non_trading_days(start, end):
29			non_trading_rules = []
30
31			start = canonicalize_datetime(start)
32			end = canonicalize_datetime(end)
33
34			weekends = rrule.rrule(
35			rrule.YEARLY,
36			byweekday=(rrule.SA, rrule.SU),
37			cache=True,
38			dtstart=start,
39			until=end
40			)
41			non_trading_rules.append(weekends)
42
43			new_years = rrule.rrule(
44			rrule.MONTHLY,
45			byyearday=1,
46			cache=True,
47			dtstart=start,
48			until=end
49			)
50			non_trading_rules.append(new_years)
51
52			new_years_sunday = rrule.rrule(
53			rrule.MONTHLY,
54			byyearday=2,
55			byweekday=rrule.MO,
56			cache=True,
57			dtstart=start,
58			until=end
59			)
60			non_trading_rules.append(new_years_sunday)
61
62			new_years_saturday = rrule.rrule(
63			rrule.MONTHLY,
64			byyearday=3,
65			byweekday=rrule.MO,
66			cache=True,
67			dtstart=start,
68			until=end
69			)
70			non_trading_rules.append(new_years_saturday)
71
72			# Family day in Ontario, starting in 2008, third monday of February
73			family_day = rrule.rrule(
74			rrule.MONTHLY,
75			bymonth=2,
76			byweekday=(rrule.MO(3)),
77			cache=True,
78			dtstart=datetime(2008, 1, 1, tzinfo=pytz.utc),
79			until=end
80			)
81			non_trading_rules.append(family_day)
82
83			good_friday = rrule.rrule(
84			rrule.DAILY,
85			byeaster=-2,
86			cache=True,
87			dtstart=start,
88			until=end
89			)
90			non_trading_rules.append(good_friday)
91
92			# Monday prior to May 25th.
93			victoria_day = rrule.rrule(
94			rrule.MONTHLY,
95			bymonth=5,
96			byweekday=rrule.MO,
97			bymonthday=[24, 23, 22, 21, 20, 19, 18],
98			cache=True,
99			dtstart=start,
100			until=end
101			)
102			non_trading_rules.append(victoria_day)
103
104			july_1st = rrule.rrule(
105			rrule.MONTHLY,
106			bymonth=7,
107			bymonthday=1,
108			cache=True,
109			dtstart=start,
110			until=end
111			)
112			non_trading_rules.append(july_1st)
113
114			july_1st_sunday = rrule.rrule(
115			rrule.MONTHLY,
116			bymonth=7,
117			bymonthday=2,
118			byweekday=rrule.MO,
119			cache=True,
120			dtstart=start,
121			until=end
122			)
123			non_trading_rules.append(july_1st_sunday)
124
125			july_1st_saturday = rrule.rrule(
126			rrule.MONTHLY,
127			bymonth=7,
128			bymonthday=3,
129			byweekday=rrule.MO,
130			cache=True,
131			dtstart=start,
132			until=end
133			)
134			non_trading_rules.append(july_1st_saturday)
135
136			civic_holiday = rrule.rrule(
137			rrule.MONTHLY,
138			bymonth=8,
139			byweekday=rrule.MO(1),
140			cache=True,
141			dtstart=start,
142			until=end
143			)
144			non_trading_rules.append(civic_holiday)
145
146			labor_day = rrule.rrule(
147			rrule.MONTHLY,
148			bymonth=9,
149			byweekday=(rrule.MO(1)),
150			cache=True,
151			dtstart=start,
152			until=end
153			)
154			non_trading_rules.append(labor_day)
155
156			thanksgiving = rrule.rrule(
157			rrule.MONTHLY,
158			bymonth=10,
159			byweekday=(rrule.MO(2)),
160			cache=True,
161			dtstart=start,
162			until=end
163			)
164			non_trading_rules.append(thanksgiving)
165
166			christmas = rrule.rrule(
167			rrule.MONTHLY,
168			bymonth=12,
169			bymonthday=25,
170			cache=True,
171			dtstart=start,
172			until=end
173			)
174			non_trading_rules.append(christmas)
175
176			# If Christmas is a Sunday then the 26th, a Monday is observed.
177			# (but that would be boxing day), so the 27th is also observed.
178			christmas_sunday = rrule.rrule(
179			rrule.MONTHLY,
180			bymonth=12,
181			bymonthday=27,
182			byweekday=rrule.TU,
183			cache=True,
184			dtstart=start,
185			until=end
186			)
187			non_trading_rules.append(christmas_sunday)
188
189			# If Christmas is a Saturday then the 27th, a monday is observed.
190			christmas_saturday = rrule.rrule(
191			rrule.MONTHLY,
192			bymonth=12,
193			bymonthday=27,
194			byweekday=rrule.MO,
195			cache=True,
196			dtstart=start,
197			until=end
198			)
199			non_trading_rules.append(christmas_saturday)
200
201			boxing_day = rrule.rrule(
202			rrule.MONTHLY,
203			bymonth=12,
204			bymonthday=26,
205			cache=True,
206			dtstart=start,
207			until=end
208			)
209			non_trading_rules.append(boxing_day)
210
211			# if boxing day is a sunday, the Christmas was saturday.
212			# Christmas is observed on the 27th, a month and boxing day is observed
213			# on the 28th, a tuesday.
214			boxing_day_sunday = rrule.rrule(
215			rrule.MONTHLY,
216			bymonth=12,
217			bymonthday=28,
218			byweekday=rrule.TU,
219			cache=True,
220			dtstart=start,
221			until=end
222			)
223			non_trading_rules.append(boxing_day_sunday)
224
225			# If boxing day is a Saturday then the 28th, a monday is observed.
226			boxing_day_saturday = rrule.rrule(
227			rrule.MONTHLY,
228			bymonth=12,
229			bymonthday=28,
230			byweekday=rrule.MO,
231			cache=True,
232			dtstart=start,
233			until=end
234			)
235			non_trading_rules.append(boxing_day_saturday)
236
237			non_trading_ruleset = rrule.rruleset()
238
239			for rule in non_trading_rules:
240			non_trading_ruleset.rrule(rule)
241
242			non_trading_days = non_trading_ruleset.between(start, end, inc=True)
243
244			# Add September 11th closings
245			# The TSX was open for 71 minutes on September 11, 2011.
246			# It was closed on the 12th and reopened on the 13th.
247			# http://www.cbc.ca/news2/interactives/map-tsx/
248			#
249			# September 2001
250			# Su Mo Tu We Th Fr Sa
251			# 1
252			# 2 3 4 5 6 7 8
253			# 9 10 11 12 13 14 15
254			# 16 17 18 19 20 21 22
255			# 23 24 25 26 27 28 29
256			# 30
257
258			non_trading_days.append(
259			datetime(2001, 9, 12, tzinfo=pytz.utc))
260
261			non_trading_days.sort()
262			return pd.DatetimeIndex(non_trading_days)
263
264			non_trading_days = get_non_trading_days(start, end)
265			trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
266
267
268			def get_trading_days(start, end, trading_day=trading_day):
269			return pd.date_range(start=start.date(),
270			end=end.date(),
271			freq=trading_day).tz_localize('UTC')
272
273			trading_days = get_trading_days(start, end)
274
275			# Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
276			# --------------------------------------------------------------------
277			# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
278			# to check whether exchange was open on these days.
279			# 1994-07-01 - July 1st, Yahoo Finance has Volume = 0
280			# 1996-07-01 - July 1st, Yahoo Finance has Volume = 0
281			# 1996-08-05 - Civic Holiday, Yahoo Finance has Volume = 0
282			# 1997-07-01 - July 1st, Yahoo Finance has Volume = 0
283			# 1997-08-04 - Civic Holiday, Yahoo Finance has Volume = 0
284			# 2001-05-21 - Victoria day, Yahoo Finance has Volume = 0
285			# 2004-10-11 - Closed, Thanksgiving - Confirmed closed
286			# 2004-12-28 - Closed, Boxing Day - Confirmed closed
287			# 2012-10-08 - Closed, Thanksgiving - Confirmed closed
288
289			# Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
290			# --------------------------------------------------------------------
291			# Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
292			# to check whether exchange was open on these days.
293			# 2000-06-28 - No data this far back, can't confirm
294			# 2000-08-28 - No data this far back, can't confirm
295			# 2000-08-29 - No data this far back, can't confirm
296			# 2001-09-11 - TSE Open for 71 min.
297			# 2002-02-01 - Confirm TSE Open
298			# 2002-06-14 - Confirm TSE Open
299			# 2002-07-02 - Confirm TSE Open
300			# 2002-11-11 - TSX website has no data for 2 weeks in 2002
301			# 2003-07-07 - Confirm TSE Open
302			# 2003-12-16 - Confirm TSE Open
303
304
305			def get_early_closes(start, end):
306			# TSX closed at 1:00 PM on december 24th.
307
308			start = canonicalize_datetime(start)
309			end = canonicalize_datetime(end)
310
311			start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
312			end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
313
314			# Not included here are early closes prior to 1993
315			# or unplanned early closes
316
317			early_close_rules = []
318
319			christmas_eve = rrule.rrule(
320			rrule.MONTHLY,
321			bymonth=12,
322			bymonthday=24,
323			byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR),
324			cache=True,
325			dtstart=start,
326			until=end
327			)
328			early_close_rules.append(christmas_eve)
329
330			early_close_ruleset = rrule.rruleset()
331
332			for rule in early_close_rules:
333			early_close_ruleset.rrule(rule)
334			early_closes = early_close_ruleset.between(start, end, inc=True)
335
336			early_closes.sort()
337			return pd.DatetimeIndex(early_closes)
338
339			early_closes = get_early_closes(start, end)
340
341
342			def get_open_and_close(day, early_closes):
343			market_open = pd.Timestamp(
344			datetime(
345			year=day.year,
346			month=day.month,
347			day=day.day,
348			hour=9,
349			minute=31),
350			tz='US/Eastern').tz_convert('UTC')
351			# 1 PM if early close, 4 PM otherwise
352			close_hour = 13 if day in early_closes else 16
353			market_close = pd.Timestamp(
354			datetime(
355			year=day.year,
356			month=day.month,
357			day=day.day,
358			hour=close_hour),
359			tz='US/Eastern').tz_convert('UTC')
360
361			return market_open, market_close
362
363			open_and_closes = get_open_and_closes(trading_days, early_closes,
364			get_open_and_close)
365

quantopian / zipline

Pull Request — master (#947)

zipline.utils.get_early_closes() B

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