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Examples





In [1]:



    


import sys
sys.path.append("../") 
from datetime import time
import pandas as pd
import pandas_market_calendars as mcal

Setup new exchange calendar





In [2]:



    


nyse = mcal.get_calendar('NYSE')

Get the time zone





In [3]:



    


nyse.tz.zone



    


















    
Out[3]:








'America/New_York'

Get the AbstractHolidayCalendar object





In [4]:



    


holidays = nyse.holidays()
holidays.holidays[-5:]



    


















    
Out[4]:








(numpy.datetime64('2030-05-27'),
 numpy.datetime64('2030-07-04'),
 numpy.datetime64('2030-09-02'),
 numpy.datetime64('2030-11-28'),
 numpy.datetime64('2030-12-25'))

Exchange open valid business days

Get the valid open exchange business dates between a start and end date. Note that Dec 26 (Christmas), Jan 2 (New Years) and all weekends are missing





In [5]:



    


nyse.valid_days(start_date='2016-12-20', end_date='2017-01-10')



    


















    
Out[5]:








DatetimeIndex(['2016-12-20', '2016-12-21', '2016-12-22', '2016-12-23',
               '2016-12-27', '2016-12-28', '2016-12-29', '2016-12-30',
               '2017-01-03', '2017-01-04', '2017-01-05', '2017-01-06',
               '2017-01-09', '2017-01-10'],
              dtype='datetime64[ns, UTC]', freq='C')

Schedule





In [6]:



    


schedule = nyse.schedule(start_date='2016-12-30', end_date='2017-01-10')
schedule



    


















    
Out[6]:










  
    

      
      market_open
      market_close
    

  
  
    

      2016-12-30
      2016-12-30 14:30:00+00:00
      2016-12-30 21:00:00+00:00
    

    

      2017-01-03
      2017-01-03 14:30:00+00:00
      2017-01-03 21:00:00+00:00
    

    

      2017-01-04
      2017-01-04 14:30:00+00:00
      2017-01-04 21:00:00+00:00
    

    

      2017-01-05
      2017-01-05 14:30:00+00:00
      2017-01-05 21:00:00+00:00
    

    

      2017-01-06
      2017-01-06 14:30:00+00:00
      2017-01-06 21:00:00+00:00
    

    

      2017-01-09
      2017-01-09 14:30:00+00:00
      2017-01-09 21:00:00+00:00
    

    

      2017-01-10
      2017-01-10 14:30:00+00:00
      2017-01-10 21:00:00+00:00
    

  




















In [7]:



    


# with early closes
early = nyse.schedule(start_date='2012-07-01', end_date='2012-07-10')
early



    


















    
Out[7]:










  
    

      
      market_open
      market_close
    

  
  
    

      2012-07-02
      2012-07-02 13:30:00+00:00
      2012-07-02 20:00:00+00:00
    

    

      2012-07-03
      2012-07-03 13:30:00+00:00
      2012-07-03 17:00:00+00:00
    

    

      2012-07-05
      2012-07-05 13:30:00+00:00
      2012-07-05 20:00:00+00:00
    

    

      2012-07-06
      2012-07-06 13:30:00+00:00
      2012-07-06 20:00:00+00:00
    

    

      2012-07-09
      2012-07-09 13:30:00+00:00
      2012-07-09 20:00:00+00:00
    

    

      2012-07-10
      2012-07-10 13:30:00+00:00
      2012-07-10 20:00:00+00:00

Get early closes





In [8]:



    


nyse.early_closes(schedule=early)



    


















    
Out[8]:










  
    

      
      market_open
      market_close
    

  
  
    

      2012-07-03
      2012-07-03 13:30:00+00:00
      2012-07-03 17:00:00+00:00

Open at time

Test to see if a given timestamp is during market open hours





In [9]:



    


nyse.open_at_time(early, pd.Timestamp('2012-07-03 12:00', tz='America/New_York'))



    


















    
Out[9]:








True

















In [10]:



    


nyse.open_at_time(early, pd.Timestamp('2012-07-03 16:00', tz='America/New_York'))



    


















    
Out[10]:








False

Date Range

This function will take a schedule DataFrame and return a DatetimeIndex with all timestamps at the frequency given for all of the exchange open dates and times.





In [11]:



    


mcal.date_range(early, frequency='1D')



    


















    
Out[11]:








DatetimeIndex(['2012-07-02 20:00:00+00:00', '2012-07-03 17:00:00+00:00',
               '2012-07-05 20:00:00+00:00', '2012-07-06 20:00:00+00:00',
               '2012-07-09 20:00:00+00:00', '2012-07-10 20:00:00+00:00'],
              dtype='datetime64[ns, UTC]', freq=None)

















In [12]:



    


mcal.date_range(early, frequency='1H')



    


















    
Out[12]:








DatetimeIndex(['2012-07-02 14:30:00+00:00', '2012-07-02 15:30:00+00:00',
               '2012-07-02 16:30:00+00:00', '2012-07-02 17:30:00+00:00',
               '2012-07-02 18:30:00+00:00', '2012-07-02 19:30:00+00:00',
               '2012-07-02 20:00:00+00:00', '2012-07-03 14:30:00+00:00',
               '2012-07-03 15:30:00+00:00', '2012-07-03 16:30:00+00:00',
               '2012-07-03 17:00:00+00:00', '2012-07-05 14:30:00+00:00',
               '2012-07-05 15:30:00+00:00', '2012-07-05 16:30:00+00:00',
               '2012-07-05 17:30:00+00:00', '2012-07-05 18:30:00+00:00',
               '2012-07-05 19:30:00+00:00', '2012-07-05 20:00:00+00:00',
               '2012-07-06 14:30:00+00:00', '2012-07-06 15:30:00+00:00',
               '2012-07-06 16:30:00+00:00', '2012-07-06 17:30:00+00:00',
               '2012-07-06 18:30:00+00:00', '2012-07-06 19:30:00+00:00',
               '2012-07-06 20:00:00+00:00', '2012-07-09 14:30:00+00:00',
               '2012-07-09 15:30:00+00:00', '2012-07-09 16:30:00+00:00',
               '2012-07-09 17:30:00+00:00', '2012-07-09 18:30:00+00:00',
               '2012-07-09 19:30:00+00:00', '2012-07-09 20:00:00+00:00',
               '2012-07-10 14:30:00+00:00', '2012-07-10 15:30:00+00:00',
               '2012-07-10 16:30:00+00:00', '2012-07-10 17:30:00+00:00',
               '2012-07-10 18:30:00+00:00', '2012-07-10 19:30:00+00:00',
               '2012-07-10 20:00:00+00:00'],
              dtype='datetime64[ns, UTC]', freq=None)

Custom open and close times

If you want to override the market open and close times enter these at construction





In [13]:



    


cal = mcal.get_calendar('NYSE', open_time=time(10, 0), close_time=time(14, 30))
print('open, close: %s, %s' % (cal.open_time, cal.close_time))



    


















    






open, close: 10:00:00, 14:30:00

Merge schedules





In [14]:



    


# NYSE Calendar
nyse = mcal.get_calendar('NYSE')
schedule_nyse = nyse.schedule('2015-12-20', '2016-01-06')
schedule_nyse



    


















    
Out[14]:










  
    

      
      market_open
      market_close
    

  
  
    

      2015-12-21
      2015-12-21 14:30:00+00:00
      2015-12-21 21:00:00+00:00
    

    

      2015-12-22
      2015-12-22 14:30:00+00:00
      2015-12-22 21:00:00+00:00
    

    

      2015-12-23
      2015-12-23 14:30:00+00:00
      2015-12-23 21:00:00+00:00
    

    

      2015-12-24
      2015-12-24 14:30:00+00:00
      2015-12-24 18:00:00+00:00
    

    

      2015-12-28
      2015-12-28 14:30:00+00:00
      2015-12-28 21:00:00+00:00
    

    

      2015-12-29
      2015-12-29 14:30:00+00:00
      2015-12-29 21:00:00+00:00
    

    

      2015-12-30
      2015-12-30 14:30:00+00:00
      2015-12-30 21:00:00+00:00
    

    

      2015-12-31
      2015-12-31 14:30:00+00:00
      2015-12-31 21:00:00+00:00
    

    

      2016-01-04
      2016-01-04 14:30:00+00:00
      2016-01-04 21:00:00+00:00
    

    

      2016-01-05
      2016-01-05 14:30:00+00:00
      2016-01-05 21:00:00+00:00
    

    

      2016-01-06
      2016-01-06 14:30:00+00:00
      2016-01-06 21:00:00+00:00
    

  




















In [15]:



    


# LSE Calendar
lse = mcal.get_calendar('LSE')
schedule_lse = lse.schedule('2015-12-20', '2016-01-06')
schedule_lse



    


















    
Out[15]:










  
    

      
      market_open
      market_close
    

  
  
    

      2015-12-21
      2015-12-21 08:00:00+00:00
      2015-12-21 16:30:00+00:00
    

    

      2015-12-22
      2015-12-22 08:00:00+00:00
      2015-12-22 16:30:00+00:00
    

    

      2015-12-23
      2015-12-23 08:00:00+00:00
      2015-12-23 16:30:00+00:00
    

    

      2015-12-24
      2015-12-24 08:00:00+00:00
      2015-12-24 12:30:00+00:00
    

    

      2015-12-29
      2015-12-29 08:00:00+00:00
      2015-12-29 16:30:00+00:00
    

    

      2015-12-30
      2015-12-30 08:00:00+00:00
      2015-12-30 16:30:00+00:00
    

    

      2015-12-31
      2015-12-31 08:00:00+00:00
      2015-12-31 12:30:00+00:00
    

    

      2016-01-04
      2016-01-04 08:00:00+00:00
      2016-01-04 16:30:00+00:00
    

    

      2016-01-05
      2016-01-05 08:00:00+00:00
      2016-01-05 16:30:00+00:00
    

    

      2016-01-06
      2016-01-06 08:00:00+00:00
      2016-01-06 16:30:00+00:00

Inner merge

This will find the dates where both the NYSE and LSE are open. Notice that Dec 28th is open for NYSE but not LSE. Also note that some days have a close prior to the open. This function does not currently check for that.





In [16]:



    


mcal.merge_schedules(schedules=[schedule_nyse, schedule_lse], how='inner')



    


















    
Out[16]:










  
    

      
      market_open
      market_close
    

  
  
    

      2015-12-21
      2015-12-21 14:30:00+00:00
      2015-12-21 16:30:00+00:00
    

    

      2015-12-22
      2015-12-22 14:30:00+00:00
      2015-12-22 16:30:00+00:00
    

    

      2015-12-23
      2015-12-23 14:30:00+00:00
      2015-12-23 16:30:00+00:00
    

    

      2015-12-24
      2015-12-24 14:30:00+00:00
      2015-12-24 12:30:00+00:00
    

    

      2015-12-29
      2015-12-29 14:30:00+00:00
      2015-12-29 16:30:00+00:00
    

    

      2015-12-30
      2015-12-30 14:30:00+00:00
      2015-12-30 16:30:00+00:00
    

    

      2015-12-31
      2015-12-31 14:30:00+00:00
      2015-12-31 12:30:00+00:00
    

    

      2016-01-04
      2016-01-04 14:30:00+00:00
      2016-01-04 16:30:00+00:00
    

    

      2016-01-05
      2016-01-05 14:30:00+00:00
      2016-01-05 16:30:00+00:00
    

    

      2016-01-06
      2016-01-06 14:30:00+00:00
      2016-01-06 16:30:00+00:00

Outer merge

This will return the dates and times where either the NYSE or the LSE are open





In [17]:



    


mcal.merge_schedules(schedules=[schedule_nyse, schedule_lse], how='outer')



    


















    
Out[17]:










  
    

      
      market_open
      market_close
    

  
  
    

      2015-12-21
      2015-12-21 08:00:00+00:00
      2015-12-21 21:00:00+00:00
    

    

      2015-12-22
      2015-12-22 08:00:00+00:00
      2015-12-22 21:00:00+00:00
    

    

      2015-12-23
      2015-12-23 08:00:00+00:00
      2015-12-23 21:00:00+00:00
    

    

      2015-12-24
      2015-12-24 08:00:00+00:00
      2015-12-24 18:00:00+00:00
    

    

      2015-12-28
      2015-12-28 14:30:00+00:00
      2015-12-28 21:00:00+00:00
    

    

      2015-12-29
      2015-12-29 08:00:00+00:00
      2015-12-29 21:00:00+00:00
    

    

      2015-12-30
      2015-12-30 08:00:00+00:00
      2015-12-30 21:00:00+00:00
    

    

      2015-12-31
      2015-12-31 08:00:00+00:00
      2015-12-31 21:00:00+00:00
    

    

      2016-01-04
      2016-01-04 08:00:00+00:00
      2016-01-04 21:00:00+00:00
    

    

      2016-01-05
      2016-01-05 08:00:00+00:00
      2016-01-05 21:00:00+00:00
    

    

      2016-01-06
      2016-01-06 08:00:00+00:00
      2016-01-06 21:00:00+00:00
    

  




















In [ ]:

Content source: rsheftel/pandas_market_calendars

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