quantopian/trading_calendars

IMPORTANT NOTE

This package is currently unmaintained as the sponsor, quantopian, is going through corporate changes. As such there is a fork of this project that will receive more active maintenance, https://github.com/gerrymanoim/trading_calendars, and the actively developed and maintained alternative implimentation here: https://github.com/rsheftel/pandas_market_calendars . The process to merge these implementations will continue in those two respective repos.

trading_calendars

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

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