用熊猫创建交易假期日历

我正在尝试使用熊猫创建交易日历。我能够基于USFederalHolidayCalendar创建一个cal实例。美国联邦假日日历不符合交易日历，因为交易日历不包括哥伦布日和退伍军人节。但是，交易日历包括耶稣受难日（不包括在美国联邦假日日历中）。除了在下面的代码的最后一行一切工作：用熊猫创建交易假期日历

from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday 
from datetime import datetime 

cal = get_calendar('USFederalHolidayCalendar') # Create calendar instance 
cal.rules.pop(7)        # Remove Veteran's Day rule 
cal.rules.pop(6)        # Remove Columbus Day rule 
tradingCal = HolidayCalendarFactory('TradingCalendar', cal, GoodFriday)

的tradingCal实例似乎工作在我能够查看假日规则。

In[10]: tradingCal.rules 
Out[10]: 
[Holiday: Labor Day (month=9, day=1, offset=<DateOffset: kwds={'weekday': MO(+1)}>), 
Holiday: Presidents Day (month=2, day=1, offset=<DateOffset: kwds={'weekday': MO(+3)}>), 
Holiday: Good Friday (month=1, day=1, offset=[<Easter>, <-2 * Days>]), 
Holiday: Dr. Martin Luther King Jr. (month=1, day=1, offset=<DateOffset: kwds={'weekday': MO(+3)}>), 
Holiday: New Years Day (month=1, day=1, observance=<function nearest_workday at 0x000000000A190BA8>), 
Holiday: Thanksgiving (month=11, day=1, offset=<DateOffset: kwds={'weekday': TH(+4)}>), 
Holiday: July 4th (month=7, day=4, observance=<function nearest_workday at 0x000000000A190BA8>), 
Holiday: Christmas (month=12, day=25, observance=<function nearest_workday at 0x000000000A190BA8>), 
Holiday: MemorialDay (month=5, day=31, offset=<DateOffset: kwds={'weekday': MO(-1)}>)]

当我尝试列出假期的日期范围，我得到以下错误：

In[11]: tradingCal.holidays(datetime(2014, 12, 31), datetime(2016, 12, 31)) 
Traceback (most recent call last): 
    File "C:\Python27\lib\site-packages\IPython\core\interactiveshell.py", line 3035, in run_code 
    exec(code_obj, self.user_global_ns, self.user_ns) 
    File "<ipython-input-12-2708cd2db7a0>", line 1, in <module> 
    tradingCal.holidays(datetime(2014, 12, 31), datetime(2016, 12, 31)) 
TypeError: unbound method holidays() must be called with TradingCalendar instance as first argument (got datetime instance instead)

任何想法？

来源

2015-10-13 vlmercado

也许是更直接地从头开始创建贸易日历，就像这样：

import datetime as dt 

from pandas.tseries.holiday import AbstractHolidayCalendar, Holiday, nearest_workday, \ 
    USMartinLutherKingJr, USPresidentsDay, GoodFriday, USMemorialDay, \ 
    USLaborDay, USThanksgivingDay 


class USTradingCalendar(AbstractHolidayCalendar): 
    rules = [ 
     Holiday('NewYearsDay', month=1, day=1, observance=nearest_workday), 
     USMartinLutherKingJr, 
     USPresidentsDay, 
     GoodFriday, 
     USMemorialDay, 
     Holiday('USIndependenceDay', month=7, day=4, observance=nearest_workday), 
     USLaborDay, 
     USThanksgivingDay, 
     Holiday('Christmas', month=12, day=25, observance=nearest_workday) 
    ] 


def get_trading_close_holidays(year): 
    inst = USTradingCalendar() 

    return inst.holidays(dt.datetime(year-1, 12, 31), dt.datetime(year, 12, 31)) 


if __name__ == '__main__': 
    print(get_trading_close_holidays(2016)) 
    # DatetimeIndex(['2016-01-01', '2016-01-18', '2016-02-15', '2016-03-25', 
    #     '2016-05-30', '2016-07-04', '2016-09-05', '2016-11-24', 
    #     '2016-12-26'], 
    #     dtype='datetime64[ns]', freq=None)

来源

2016-04-10 03:58:17

您必须创建新的类实例：cal1 = tradingCal()。这对我有用。

from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday 
from datetime import datetime 

cal = get_calendar('USFederalHolidayCalendar') # Create calendar instance 
cal.rules.pop(7)        # Remove Veteran's Day rule 
cal.rules.pop(6)        # Remove Columbus Day rule 
tradingCal = HolidayCalendarFactory('TradingCalendar', cal, GoodFriday) 
print tradingCal.rules 

#new instance of class 
cal1 = tradingCal() 

print cal1.holidays(datetime(2014, 12, 31), datetime(2016, 12, 31)) 

#DatetimeIndex(['2015-01-01', '2015-01-19', '2015-02-16', '2015-04-03', 
#    '2015-05-25', '2015-07-03', '2015-09-07', '2015-11-26', 
#    '2015-12-25', '2016-01-01', '2016-01-18', '2016-02-15', 
#    '2016-03-25', '2016-05-30', '2016-07-04', '2016-09-05', 
#    '2016-11-24', '2016-12-26'], 
#    dtype='datetime64[ns]', freq=None, tz=None)

来源

2015-10-13 07:44:05 jezrael

完美，jezrael。谢谢。 – vlmercado

我认为这有一个重大的缺点！使用'.pop'会影响底层类“pandas.tseries.holiday.USFederalHolidayCalendar”，因为它是“就地”操作（不确定术语）。这意味着如果您尝试从'get_calendar（'USFederalHolidayCalendar'）'重新创建cal2，则规则与'cal'相同。即你没有得到* Clean *版本的'USFederalHolidayCalendar'，因为它不再存在，你修改了它！ – evan54

@ evan54我刚刚也注意到了这一点。你有解决方案吗？ – WillZ

如果有帮助，我对外汇交易日历同样需要。 Quantopian在Zipline项目中埋藏了一些优秀的代码。我提取出相关部分，并创建了一个新的项目，用于创建大熊猫市场交易交易日历。链接在这里，具有下面描述的一些功能。

https://github.com/rsheftel/pandas_market_calendars

https://pypi.python.org/pypi/pandas-market-calendars

下面是它可以通过创建所有的有效开放时间为纽约证券交易所的大熊猫DatetimeIndex做：

import pandas_market_calendars as mcal 
nyse = mcal.get_calendar('NYSE') 

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

        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 

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

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) 

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

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)

如果你只是想获得熊猫假期日历，可以在把它看作一个参数其他熊猫功能一起使用：

holidays = nyse.holidays() 

holidays.holidays[-5:] 
(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'))

来源

2016-12-29 20:48:26

此库不可靠。当我尝试它时，2010-01-01和其他新年日历在星期五以及其他星期五出现。 –

您可能未正确使用该软件包。 2010-01-01和所有其他新年和圣诞节的星期五不包括在交易日。试试上面的示例代码。如果您想了解如何使用包，我建议在线文档或者你可以留言给我，直接，如果你仍然有问题。 –

你说得对。我对照自1995年以来测试的日历进行了检查，结果是准确的。不记得我用什么语法，给了我不想要的结果。 –

用熊猫创建交易假期日历

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