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trading_calendars is a Python library with securities exchange calendars used by Quantopian's Zipline.

Project description

trading_calendars

CI PyPI version Conda version

A Python library of exchange calendars, frequently used with Zipline.

Installation

$ pip install trading-calendars

Quick Start

import trading_calendars as tc
import pandas as pd
import pytz

Get all registered calendars with get_calendar_names:

>>> tc.get_calendar_names()[:5]
['XPHS', 'FWB', 'CFE', 'CMES', 'XSGO']

Get a calendar with get_calendar:

>>> xnys = tc.get_calendar("XNYS")

Working with sessions:

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

>>> xnys.next_open(pd.Timestamp("2020-01-01"))
Timestamp('2020-01-02 14:31:00+0000', tz='UTC')

>>> pd.Timestamp("2020-01-01", tz=pytz.UTC)+xnys.day
Timestamp('2020-01-02 00:00:00+0000', tz='UTC')

>>> xnys.previous_close(pd.Timestamp("2020-01-01"))
Timestamp('2019-12-31 21:00:00+0000', tz='UTC')

>>> xnys.sessions_in_range(
>>>     pd.Timestamp("2020-01-01", tz=pytz.UTC),
>>>     pd.Timestamp("2020-01-10", tz=pytz.UTC)
>>> )
DatetimeIndex(['2020-01-02 00:00:00+00:00', '2020-01-03 00:00:00+00:00',
                '2020-01-06 00:00:00+00:00', '2020-01-07 00:00:00+00:00',
                '2020-01-08 00:00:00+00:00', '2020-01-09 00:00:00+00:00',
                '2020-01-10 00:00:00+00:00'],
                dtype='datetime64[ns, UTC]', freq='C')

>>> xnys.sessions_window(
>>>     pd.Timestamp("2020-01-02", tz=pytz.UTC),
>>>     7
>>> )
DatetimeIndex(['2020-01-02 00:00:00+00:00', '2020-01-03 00:00:00+00:00',
                '2020-01-06 00:00:00+00:00', '2020-01-07 00:00:00+00:00',
                '2020-01-08 00:00:00+00:00', '2020-01-09 00:00:00+00:00',
                '2020-01-10 00:00:00+00:00', '2020-01-13 00:00:00+00:00'],
                dtype='datetime64[ns, UTC]', freq='C')

NOTE: see the TradingCalendar class for more advanced usage.

Trading calendars also supports command line usage, printing a unix-cal like calendar indicating which days are trading sessions or holidays.

tcal 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
tcal 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

Frequently Asked Questions

Why are open times one minute late?

Due to its historical use in the Zipline backtesting system, trading_calendars will only indicate a market is open upon the completion of the first minute bar in a day. Zipline uses minute bars labeled with the end of the bar, e.g. 9:31AM for 9:30-9:31AM. As an example, on a regular trading day for NYSE:

  • 9:30:00 is treated as closed.
  • 9:30:01 is treated as closed.
  • 9:31:00 is the first time treated as open.
  • 16:00:00 is treated as open
  • 16:00:01 is treated as closed

This may change in the future.

Calendar Support

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/home/homepage.htm
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/exchanges/index.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 http://www.bolsamadrid.es/ing/aspx/Portada/Portada.aspx
Borsa Italiana XMIL Italy 1.3 https://www.borsaitaliana.it/homepage/homepage.en.htm
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 http://inter.bolsadesantiago.com/sitios/en/Paginas/home.aspx
Colombia Securities Exchange XBOG Colombia 1.9 https://www.bvc.com.co/nueva/index_en.html
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/stockMarket/home.html
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/

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

Project details


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