exchange-calendars 3.6.3

exchange_calendars is a Python library with securities exchange calendars

exchange_calendars

A Python library for defining and querying calendars for security exchanges.

Calendars for more than 50 exchanges available out-the-box! If you still can't find the calendar you're looking for, create a new one!

NOTICES: All change!

Release 3.6.3 will be the last stop for version 3!

The final release for version 3 will be v3.6.3 (due before end May 22). See #175 for information on PRs received ahead of release v4.0.

What to expect in 4.0 (June 2022)

Major changes to be introduced in 4.0 include:

• Changes to the timezone of sessions and times (#142). This will (probably) break dependent packages!
  • Schedule times to change from tz-naive to "UTC".
  • Sessions to change from "UTC" to tz-naive.
• Renaming of further methods and method parameters to improve consistency.
• Minimum supported Python version to advance from 3.7 to 3.8.
• For those methods renamed in 3.4, the old method names will be removed.

See the path to 4.0 for a fuller list.

New library for prices data!

If you like the idea of using exchange_calendars to create meaningful OHLCV datasets then check out the new market_prices library. Works out-the-box with freely available data!

Installation

$ pip install exchange_calendars

Quick Start

import exchange_calendars as xcals

Get a list of available calendars:

>>> xcals.get_calendar_names(include_aliases=False)[5:10]
['CMES', 'IEPA', 'XAMS', 'XASX', 'XBKK']

Get a calendar:

>>> xnys = xcals.get_calendar("XNYS")  # New York Stock Exchange
>>> xhkg = xcals.get_calendar(
        "XHKG",
        start="2018-01",
        end="2021-12-31",
        side="left"
)  # Hong Kong Stock Exchange

Query the schedule:

>>> xhkg.schedule.loc["2020-12-29":"2021-01-05"]

	market_open	break_start	break_end	market_close
2020-12-29 00:00:00+00:00	2020-12-29 01:30:00	2020-12-29 04:00:00	2020-12-29 05:00:00	2020-12-29 08:00:00
2020-12-30 00:00:00+00:00	2020-12-30 01:30:00	2020-12-30 04:00:00	2020-12-30 05:00:00	2020-12-30 08:00:00
2020-12-31 00:00:00+00:00	2020-12-31 01:30:00	NaT	NaT	2020-12-31 04:00:00
2021-01-04 00:00:00+00:00	2021-01-04 01:30:00	2021-01-04 04:00:00	2021-01-04 05:00:00	2021-01-04 08:00:00
2021-01-05 00:00:00+00:00	2021-01-05 01:30:00	2021-01-05 04:00:00	2021-01-05 05:00:00	2021-01-05 08:00:00

Working with sessions

>>> xnys.is_session("2020-01-01")
False

>>> xnys.sessions_in_range("2021-01-01", "2021-01-11")
DatetimeIndex(['2021-01-04 00:00:00+00:00', '2021-01-05 00:00:00+00:00',
               '2021-01-06 00:00:00+00:00', '2021-01-07 00:00:00+00:00',
               '2021-01-08 00:00:00+00:00', '2021-01-11 00:00:00+00:00'],
              dtype='datetime64[ns, UTC]', freq='C')

>>> xnys.sessions_window("2021-01-04", 7)
DatetimeIndex(['2021-01-04 00:00:00+00:00', '2021-01-05 00:00:00+00:00',
               '2021-01-06 00:00:00+00:00', '2021-01-07 00:00:00+00:00',
               '2021-01-08 00:00:00+00:00', '2021-01-11 00:00:00+00:00',
               '2021-01-12 00:00:00+00:00', '2021-01-13 00:00:00+00:00'],
              dtype='datetime64[ns, UTC]', freq='C')

>>> xnys.date_to_session_("2021-01-01", direction="next")
Timestamp('2021-01-04 00:00:00+0000', tz='UTC', freq='C')

>>> xnys.previous_session("2021-01-11")
Timestamp('2021-01-08 00:00:00+0000', tz='UTC', freq='C')

>>> xhkg.trading_index(
...     "2020-12-30",
...     "2020-12-31",
...     period="90T",
...     force_close=True,
...     force_break_close=True
... )
IntervalIndex([[2020-12-30 01:30:00, 2020-12-30 03:00:00), [2020-12-30 03:00:00, 2020-12-30 04:00:00), [2020-12-30 05:00:00, 2020-12-30 06:30:00), [2020-12-30 06:30:00, 2020-12-30 08:00:00), [2020-12-31 01:30:00, 2020-12-31 03:00:00), [2020-12-31 03:00:00, 2020-12-31 04:00:00)],
              closed='left',
              dtype='interval[datetime64[ns, UTC]]')

See the sessions tutorial for a deeper dive into sessions.

Working with minutes

>>> xhkg.session_minutes("2021-01-04")
DatetimeIndex(['2021-01-04 01:30:00+00:00', '2021-01-04 01:31:00+00:00',
               '2021-01-04 01:32:00+00:00', '2021-01-04 01:33:00+00:00',
               '2021-01-04 01:34:00+00:00', '2021-01-04 01:35:00+00:00',
               '2021-01-04 01:36:00+00:00', '2021-01-04 01:37:00+00:00',
               '2021-01-04 01:38:00+00:00', '2021-01-04 01:39:00+00:00',
               ...
               '2021-01-04 07:50:00+00:00', '2021-01-04 07:51:00+00:00',
               '2021-01-04 07:52:00+00:00', '2021-01-04 07:53:00+00:00',
               '2021-01-04 07:54:00+00:00', '2021-01-04 07:55:00+00:00',
               '2021-01-04 07:56:00+00:00', '2021-01-04 07:57:00+00:00',
               '2021-01-04 07:58:00+00:00', '2021-01-04 07:59:00+00:00'],
              dtype='datetime64[ns, UTC]', length=330, freq=None)

>>> mins = [ "2021-01-04 " + tm for tm in ["01:29", "01:30", "04:20", "07:59", "08:00"] ]
>>> [ xhkg.is_trading_minute(minute) for minute in mins ]
[False, True, False, True, False]

>>> xhkg.is_break_minute("2021-01-04 04:20")
True

>>> xhkg.previous_close("2021-01-04 21:10")
Timestamp('2021-01-04 08:00:00+0000', tz='UTC')

>>> xhkg.previous_minute("2021-01-04 21:10")
Timestamp('2021-01-04 07:59:00+0000', tz='UTC')

Check out the minutes tutorial for a deeper dive that includes an explanation of the concept of 'minutes' and how the "side" option determines which minutes are treated as trading minutes.

Tutorials

sessions.ipynb - all things sessions.
minutes.ipynb - all things minutes. Don't miss this one!
calendar_properties.ipynb - a walk through the schedule and all other calendar properties.
calendar_methods.ipynb - a walk through all the methods available to interrogate a calendar.
trading_index.ipynb - a method that warrants a tutorial all of its own.

Hopefully you'll find that exchange_calendars has the method you need to get the information you want. If it doesn't, either PR it or raise an issue and let us know!

Command Line Usage

Print a unix-cal like calendar straight from the command line (holidays are indicated by brackets)...

ecal XNYS 2020

                                        2020
        January                        February                        March
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
            [ 1]  2   3 [ 4]                           [ 1]
[ 5]  6   7   8   9  10 [11]   [ 2]  3   4   5   6   7 [ 8]   [ 1]  2   3   4   5   6 [ 7]
[12] 13  14  15  16  17 [18]   [ 9] 10  11  12  13  14 [15]   [ 8]  9  10  11  12  13 [14]
[19][20] 21  22  23  24 [25]   [16][17] 18  19  20  21 [22]   [15] 16  17  18  19  20 [21]
[26] 27  28  29  30  31        [23] 24  25  26  27  28 [29]   [22] 23  24  25  26  27 [28]
                                                              [29] 30  31

        April                           May                            June
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
              1   2   3 [ 4]                         1 [ 2]         1   2   3   4   5 [ 6]
[ 5]  6   7   8   9 [10][11]   [ 3]  4   5   6   7   8 [ 9]   [ 7]  8   9  10  11  12 [13]
[12] 13  14  15  16  17 [18]   [10] 11  12  13  14  15 [16]   [14] 15  16  17  18  19 [20]
[19] 20  21  22  23  24 [25]   [17] 18  19  20  21  22 [23]   [21] 22  23  24  25  26 [27]
[26] 27  28  29  30            [24][25] 26  27  28  29 [30]   [28] 29  30
                               [31]

            July                          August                       September
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
              1   2 [ 3][ 4]                           [ 1]             1   2   3   4 [ 5]
[ 5]  6   7   8   9  10 [11]   [ 2]  3   4   5   6   7 [ 8]   [ 6][ 7]  8   9  10  11 [12]
[12] 13  14  15  16  17 [18]   [ 9] 10  11  12  13  14 [15]   [13] 14  15  16  17  18 [19]
[19] 20  21  22  23  24 [25]   [16] 17  18  19  20  21 [22]   [20] 21  22  23  24  25 [26]
[26] 27  28  29  30  31        [23] 24  25  26  27  28 [29]   [27] 28  29  30
                               [30] 31

        October                        November                       December
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
                  1   2 [ 3]                                            1   2   3   4 [ 5]
[ 4]  5   6   7   8   9 [10]   [ 1]  2   3   4   5   6 [ 7]   [ 6]  7   8   9  10  11 [12]
[11] 12  13  14  15  16 [17]   [ 8]  9  10  11  12  13 [14]   [13] 14  15  16  17  18 [19]
[18] 19  20  21  22  23 [24]   [15] 16  17  18  19  20 [21]   [20] 21  22  23  24 [25][26]
[25] 26  27  28  29  30 [31]   [22] 23  24  25 [26] 27 [28]   [27] 28  29  30  31
                               [29] 30

ecal XNYS 1 2020

        January 2020
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  31

Changes in 3.4 (released October 2021)

The 3.4 release introduced notable new features and documentation, including:

• Tutorials. Five of them!
• New calendar methods #71 (see calendar_methods.ipynb for usage), including:
  • trading_index (tutorial trading_index.ipynb)
  • is_trading_minute
  • is_break_minute
  • minute_offset
  • session_offset
  • minute_offset_by_sessions
• Calendar's now have a side parameter to determine which of the open, close, break-start and break-end minutes are treated as trading minutes #71.
• 24 hour calendars are now truly 24 hours (open/close times are no longer one minute later/earlier than the actual open/close) #71.
• Some calendar methods have been renamed to improve consistency (table of changes here) #85. The previous names will continue to be available until version 4.0. NOTE: Some newly named methods have also made changes to parameter names, for example from session_label to session and from start_session_label to start.
• Under-the-bonnet work has sped up many methods.
• A test suite overhaul (#71, #92, #96) has made it simpler to define and test calendars.

Please offer any feedback at the 3.4 discussion.

Methods renamed in version 3.4

Previous Name	New Name
previous_session_label	previous_session
next_session_label	next_session
date_to_session_label	date_to_session
minute_to_session_label	minute_to_session
open_and_close_for_session	session_open_close
break_start_and_end_for_session	session_break_start_end
minutes_for_session	session_minutes
minute_index_to_session_labels	minutes_to_sessions
all_sessions	sessions
all_minutes	minutes
all_minutes_nanos	minutes_nanos
first_trading_minute	first_minute
last_trading_minute	last_minute
first_trading_session	first_session
last_trading_session	last_session
has_breaks	sessions_has_break
market_opens_nanos	opens_nanos
market_closes_nanos	closes_nanos
market_break_starts_nanos	break_starts_nanos
market_break_ends_nanos	break_ends_nanos

Frequently Asked Questions

How can I create a new calendar?

First off, make sure the calendar you're after hasn't already been defined; exchange calendars comes with over 50 pre-defined calendars, including major security exchanges.

If you can't find what you're after, a custom calendar can be created as a subclass of ExchangeCalendar. This workflow describes the process to add a new calendar to exchange_calendars. Just follow the relevant parts.

To access the new calendar via get_calendar call either xcals.register_calendar or xcals.register_calendar_type to register, respectively, a specific calendar instance or a calendar factory (i.e. the subclass).

Can I contribute a new calendar to exchange calendars?

Yes please! The workflow can be found here.

<calendar> is missing a holiday, has a wrong time, should have a break etc...

All of the exchange calendars are maintained by user contributions. If a calendar you care about needs revising, please open a PR - that's how this thing works!

You'll find the workflow to modify an existing calendar here.

What times are considered open and closed?

exchange_calendars attempts to be broadly useful by considering an exchange to be open only during periods of regular trading. During any pre-trading, post-trading or auction period the exchange is treated as closed. An exchange is also treated as closed during any observed lunch break.

See the minutes tutorial for a detailed explanation of which minutes an exchange is considered open over. If you previously used trading_calendars, or exchange_calendars prior to release 3.4, then this is the place to look for answers to questions of how the definition of trading minutes has changed over time (and is now stable and flexible!).

Calendars

Exchange	ISO Code	Country	Version Added	Exchange Website (English)
New York Stock Exchange	XNYS	USA	1.0	https://www.nyse.com/index
CBOE Futures	XCBF	USA	1.0	https://markets.cboe.com/us/futures/overview/
Chicago Mercantile Exchange	CMES	USA	1.0	https://www.cmegroup.com/
ICE US	IEPA	USA	1.0	https://www.theice.com/index
Toronto Stock Exchange	XTSE	Canada	1.0	https://www.tsx.com/
BMF Bovespa	BVMF	Brazil	1.0	http://www.b3.com.br/en_us/
London Stock Exchange	XLON	England	1.0	https://www.londonstockexchange.com/
Euronext Amsterdam	XAMS	Netherlands	1.2	https://www.euronext.com/en/regulation/amsterdam
Euronext Brussels	XBRU	Belgium	1.2	https://www.euronext.com/en/regulation/brussels
Euronext Lisbon	XLIS	Portugal	1.2	https://www.euronext.com/en/regulation/lisbon
Euronext Paris	XPAR	France	1.2	https://www.euronext.com/en/regulation/paris
Frankfurt Stock Exchange	XFRA	Germany	1.2	http://en.boerse-frankfurt.de/
SIX Swiss Exchange	XSWX	Switzerland	1.2	https://www.six-group.com/en/home.html
Tokyo Stock Exchange	XTKS	Japan	1.2	https://www.jpx.co.jp/english/
Austrialian Securities Exchange	XASX	Australia	1.3	https://www.asx.com.au/
Bolsa de Madrid	XMAD	Spain	1.3	https://www.bolsamadrid.es
Borsa Italiana	XMIL	Italy	1.3	https://www.borsaitaliana.it
New Zealand Exchange	XNZE	New Zealand	1.3	https://www.nzx.com/
Wiener Borse	XWBO	Austria	1.3	https://www.wienerborse.at/en/
Hong Kong Stock Exchange	XHKG	Hong Kong	1.3	https://www.hkex.com.hk/?sc_lang=en
Copenhagen Stock Exchange	XCSE	Denmark	1.4	http://www.nasdaqomxnordic.com/
Helsinki Stock Exchange	XHEL	Finland	1.4	http://www.nasdaqomxnordic.com/
Stockholm Stock Exchange	XSTO	Sweden	1.4	http://www.nasdaqomxnordic.com/
Oslo Stock Exchange	XOSL	Norway	1.4	https://www.oslobors.no/ob_eng/
Irish Stock Exchange	XDUB	Ireland	1.4	http://www.ise.ie/
Bombay Stock Exchange	XBOM	India	1.5	https://www.bseindia.com
Singapore Exchange	XSES	Singapore	1.5	https://www.sgx.com
Shanghai Stock Exchange	XSHG	China	1.5	http://english.sse.com.cn
Korea Exchange	XKRX	South Korea	1.6	http://global.krx.co.kr
Iceland Stock Exchange	XICE	Iceland	1.7	http://www.nasdaqomxnordic.com/
Poland Stock Exchange	XWAR	Poland	1.9	http://www.gpw.pl
Santiago Stock Exchange	XSGO	Chile	1.9	https://www.bolsadesantiago.com/
Colombia Securities Exchange	XBOG	Colombia	1.9	https://www.bvc.com.co/nueva/https://www.bvc.com.co/nueva/
Mexican Stock Exchange	XMEX	Mexico	1.9	https://www.bmv.com.mx
Lima Stock Exchange	XLIM	Peru	1.9	https://www.bvl.com.pe
Prague Stock Exchange	XPRA	Czech Republic	1.9	https://www.pse.cz/en/
Budapest Stock Exchange	XBUD	Hungary	1.10	https://bse.hu/
Athens Stock Exchange	ASEX	Greece	1.10	http://www.helex.gr/
Istanbul Stock Exchange	XIST	Turkey	1.10	https://www.borsaistanbul.com/en/
Johannesburg Stock Exchange	XJSE	South Africa	1.10	https://www.jse.co.za/z
Malaysia Stock Exchange	XKLS	Malaysia	1.11	http://www.bursamalaysia.com/market/
Moscow Exchange	XMOS	Russia	1.11	https://www.moex.com/en/
Philippine Stock Exchange	XPHS	Philippines	1.11	https://www.pse.com.ph/
Stock Exchange of Thailand	XBKK	Thailand	1.11	https://www.set.or.th/set/mainpage.do?language=en&country=US
Indonesia Stock Exchange	XIDX	Indonesia	1.11	https://www.idx.co.id/
Taiwan Stock Exchange Corp.	XTAI	Taiwan	1.11	https://www.twse.com.tw/en/
Buenos Aires Stock Exchange	XBUE	Argentina	1.11	https://www.bcba.sba.com.ar/
Pakistan Stock Exchange	XKAR	Pakistan	1.11	https://www.psx.com.pk/
Xetra	XETR	Germany	2.1	https://www.xetra.com/
Tel Aviv Stock Exchange	XTAE	Israel	2.1	https://www.tase.co.il/
Astana International Exchange	AIXK	Kazakhstan	3.2	https://www.aix.kz/
Bucharest Stock Exchange	XBSE	Romania	3.2	https://www.bvb.ro/

Note that exchange calendars are defined by their ISO-10383 market identifier code.