与 pandas 创建交易假期日历 [英] Create trading holiday calendar with Pandas

问题描述

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. USFederalHolidayCalendar与交易日历不一致，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USFederalHolidayCalendar中).以下代码中除最后一行外的所有内容均有效:

I'm trying to create a Trading calendar using Pandas. I'm able to create a cal instance based on the USFederalHolidayCalendar. The USFederalHolidayCalendar is not consistent with the Trading calendar in that the Trading calendar doesn't include Columbus Day and Veteran's Day. However, the Trading calendar includes Good Friday (not included in the USFederalHolidayCalendar). Everything except for the last line in following code works:

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)

tradingCal实例似乎可以正常工作，因为我能够查看假日"规则.

The tradingCal instance seems to work in that I'm able to view the Holiday rules.

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)}>)]

当我尝试列出日期范围内的假期时，出现以下错误:

When I try to list the holidays in a date range, I get the following error:

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)

有什么想法吗?

推荐答案

也许从头开始创建交易日历更为简单，就像这样:

Perhaps it is more straightforward to create the trade calendar from scratch, like so:

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)

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