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A calendar wrapper

Project description


Managing irregular calendars isn't hard per-se, but it can be painful, especially in the context of trading calendars and backtesting. That is why doubledate exposes a nifty Calendar class to work with custom calendars.


The best - and easiest - way to install doubledate is by calling:

pip install doubledate 


import datetime
from doubledate import Calendar, utils

#every day in 2019
#you can load up your own dates from a backend, API, file...
calendar = Calendar([,1,1) + datetime.timedelta(i) for i in range(365)])

weekends = calendar.weekends()

#week days
weekdays = calendar.weekdays()

#first and last date
weekdays.first(), weekdays.last()

#or index
weekdays[0], weekdays[-1]

#slice the calendar
#like normal lists, the Calendar is 0-based, such that slice(10:20) returns the 11th to 20th dates

#or with a date-like object
#this will be inclusive of the bounds, if they are in the calendar
s2 = weekdays[,7,1),12,31)]

#10th weekday each month
b10 = weekdays.groupby("month").apply(lambda cal: cal[10])

#5th to 10th weekday each month
b5to10 = weekdays.groupby("month").apply(lambda cal: cal[5:10])

#lets retrieve holidays from somewhere (API, file...)
holidays = [, 1, 1),, 1, 21),, 2, 18),, 5, 27),, 7, 4),, 9, 2),, 10, 14),, 11, 11),, 11, 28),, 12, 25)

#because the calendar class is a sorted set, you have set methods like union, intersection and difference
#business days
workdays = weekdays.difference(holidays)

#... alternatively
workdays = holidays.inverse(, 1, 1),, 12, 31)).weekdays()

#non-weekend holidays
offdays = weekdays.union(holidays)

#is my birthday a weekday?, 6, 17) in weekdays
>> True

#slicing is inclusive of the two bounds... summer workdays
summer = workdays[,6,21),9,20)]

#index of given date in given frequency
workdays.dayof(,8,14), "month")
>> 8

#a few utilities
utils.isleap(2016), utils.isleap(,6,17))
>> True, False

#end of month
utils.eom(,2,14), 0), utils.eom(,2,14), -1)
>>, 2, 29),, 1, 31)

#... number of work days to new Year's eve
#week end, month end, quarter end, semester end or year end... simply ask for it!
workdays.daysto(to="year end",, 11, 15))
>> 45

About doubledate

This package is named after the doubledate calendar, which was itself named after Pope Gregory XIII who introduced it as a correction to the Julian calendar in 1582.

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