Merge pull request #285 from rsheftel/dev

v4.3.0

.github/config_new_release.yml

@@ -1,8 +1,11 @@
 
-new_version: '4.1.4'
+new_version: '4.3.0'
 
 change_log: |
-  - Updated TASE Holidays 2022-2025 
+  - Fixed for pandas 2.0 so all tests pass PR #282
+  - Move exchange_calendar*.py files to pandas_market_calendar/exchange_calendars/ PR #284
+  - Move holidays_*.py to pandas_market_calendar/holidays/ PR #284
+  - Major cleanup including unused imports PR #284
 
 
 release_body: |

.gitignore

@@ -82,7 +82,7 @@ celerybeat-schedule
 .env
 .venv
 env/
-venv/
+venv*/
 env.bak/
 venv.bak/
 

README.rst

@@ -9,6 +9,9 @@ Market calendars to use with pandas for trading applications.
    :target: http://pandas-market-calendars.readthedocs.io/en/latest/?badge=latest
    :alt: Documentation Status
 
+.. image:: https://coveralls.io/repos/github/rsheftel/pandas_market_calendars/badge.svg?branch=master
+    :target: https://coveralls.io/github/rsheftel/pandas_market_calendars?branch=master
+
 Documentation
 -------------
 http://pandas-market-calendars.readthedocs.io/en/latest/

docs/calendars.rst

@@ -26,13 +26,14 @@ Exchange  BSE    BSEExchangeCalendar                rakesh1988
 
 Futures Calendars
 #################
-========== ================ =================================== ============ ============
+========== ================= =================================== ============ ============
  Exchange        Name             Class                          Unit Tests    Creator
-========== ================ =================================== ============ ============
+========== ================= =================================== ============ ============
 CME        CME_Equity         CMEEquityExchangeCalendar           Yes         rsheftel
 CME        CME_Bond           CMEBondExchangeCalendar             Yes         rsheftel
-CME        CME_Agricultural   CMEAgriculturalExchangeCalendar     Yes        lionelyoung
-========== ================ =================================== ============ ============
+CME        CME_Agricultural   CMEAgriculturalExchangeCalendar     Yes         lionelyoung
+CME        CME Globex Crypto  CMEGlobexCryptoExchangeCalendar     Yes         Coinbase Asset Management
+========== ================= =================================== ============ ============
 
 Bond Market Calendars
 #####################

docs/change_log.rst

@@ -3,6 +3,13 @@ Change Log
 
 Updates
 -------
+4.3.0 (09/05/2023)
+~~~~~~~~~~~~~~~~~~
+- Fixed for pandas 2.0 so all tests pass PR #282
+- Move exchange_calendar*.py files to pandas_market_calendar/exchange_calendars/ PR #284
+- Move holidays_*.py to pandas_market_calendar/holidays/ PR #284
+- Major cleanup including unused imports PR #284
+
 4.2.1 (08/21/2023)
 ~~~~~~~~~~~~~~~~~~
 - Fix the pyproject.toml to properly generate sdist PR #267

examples/usage.ipynb

@@ -1427,7 +1427,7 @@
     "# If you want to use the equity options exchange (8:30 - 15:00), including the order acceptance time at 7:30, and\n",
     "# some special cases when the order acceptance time was different, do this:\n",
     "\n",
-    "from pandas_market_calendars.exchange_calendar_cboe import CFEExchangeCalendar \n",
+    "from pandas_market_calendars.exchange_calendar.cboe import CFEExchangeCalendar \n",
     "\n",
     "class DemoOptionsCalendar(CFEExchangeCalendar):  # Inherit what doesn't need to change\n",
     "    name = \"Demo_Options\"\n",

pandas_market_calendars/calendar_registry.py

@@ -1,31 +1,32 @@
 from .market_calendar import MarketCalendar
-from .exchange_calendar_asx import ASXExchangeCalendar
-from .exchange_calendar_bmf import BMFExchangeCalendar
-from .exchange_calendar_cboe import CFEExchangeCalendar
-from .exchange_calendar_cme import \
+from .calendars.asx import ASXExchangeCalendar
+from .calendars.bmf import BMFExchangeCalendar
+from .calendars.bse import BSEExchangeCalendar
+from .calendars.cboe import CFEExchangeCalendar
+from .calendars.cme import \
     CMEEquityExchangeCalendar, \
     CMEBondExchangeCalendar
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
-from .exchange_calendar_cme_globex_agriculture import CMEGlobexAgricultureExchangeCalendar
-from .exchange_calendar_cme_globex_fx import CMEGlobexFXExchangeCalendar
-from .exchange_calendar_cme_globex_energy_and_metals import CMEGlobexEnergyAndMetalsExchangeCalendar
-from .exchange_calendar_cme_globex_equities import CMEGlobexEquitiesExchangeCalendar
-from .exchange_calendar_cme_globex_fixed_income import CMEGlobexFixedIncomeCalendar
-from .exchange_calendar_eurex import EUREXExchangeCalendar
-from .exchange_calendar_hkex import HKEXExchangeCalendar
-from .exchange_calendar_ice import ICEExchangeCalendar
-from .exchange_calendar_iex import IEXExchangeCalendar
-from .exchange_calendar_jpx import JPXExchangeCalendar
-from .exchange_calendar_lse import LSEExchangeCalendar
-from .exchange_calendar_nyse import NYSEExchangeCalendar
-from .exchange_calendar_ose import OSEExchangeCalendar
-from .exchange_calendar_sifma import SIFMAUSExchangeCalendar, SIFMAUKExchangeCalendar, SIFMAJPExchangeCalendar
-from .exchange_calendar_six import SIXExchangeCalendar
-from .exchange_calendar_sse import SSEExchangeCalendar
-from .exchange_calendar_tsx import TSXExchangeCalendar
-from .exchange_calendar_bse import BSEExchangeCalendar
-from .exchange_calendar_tase import TASEExchangeCalendar
-from .exchange_calendars_mirror import *
+from .calendars.cme_globex_base import CMEGlobexBaseExchangeCalendar
+from .calendars.cme_globex_agriculture import CMEGlobexAgricultureExchangeCalendar
+from .calendars.cme_globex_crypto import CMEGlobexCryptoExchangeCalendar
+from .calendars.cme_globex_energy_and_metals import CMEGlobexEnergyAndMetalsExchangeCalendar
+from .calendars.cme_globex_equities import CMEGlobexEquitiesExchangeCalendar
+from .calendars.cme_globex_fx import CMEGlobexFXExchangeCalendar
+from .calendars.cme_globex_fixed_income import CMEGlobexFixedIncomeCalendar
+from .calendars.eurex import EUREXExchangeCalendar
+from .calendars.hkex import HKEXExchangeCalendar
+from .calendars.ice import ICEExchangeCalendar
+from .calendars.iex import IEXExchangeCalendar
+from .calendars.jpx import JPXExchangeCalendar
+from .calendars.lse import LSEExchangeCalendar
+from .calendars.nyse import NYSEExchangeCalendar
+from .calendars.ose import OSEExchangeCalendar
+from .calendars.sifma import SIFMAUSExchangeCalendar, SIFMAUKExchangeCalendar, SIFMAJPExchangeCalendar
+from .calendars.six import SIXExchangeCalendar
+from .calendars.sse import SSEExchangeCalendar
+from .calendars.tase import TASEExchangeCalendar
+from .calendars.tsx import TSXExchangeCalendar
+from .calendars.mirror import *
 
 
 def get_calendar(name, open_time=None, close_time=None) -> MarketCalendar:

pandas_market_calendars/calendar_utils.py

@@ -14,7 +14,7 @@ def merge_schedules(schedules, how='outer'):
 
     CAVEATS:
         * This does not work for schedules with breaks, the break information will be lost.
-        * Onlu "market_open" and "market_close" are considered, other market times are not yet supported.
+        * Only "market_open" and "market_close" are considered, other market times are not yet supported.
 
     :param schedules: list of schedules
     :param how: outer or inner

pandas_market_calendars/exchange_calendar_asx.py → pandas_market_calendars/calendars/asx.py

@@ -3,8 +3,8 @@
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, EasterMonday
 from pytz import timezone
 
-from .holidays_oz import *
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.oz import *
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 AbstractHolidayCalendar.start_date = '2011-01-01'
 

pandas_market_calendars/exchange_calendar_bmf.py → pandas_market_calendars/calendars/bmf.py

@@ -19,7 +19,7 @@
 from pandas.tseries.holiday import AbstractHolidayCalendar, Day, Easter, GoodFriday, Holiday
 from pytz import timezone
 
-from .market_calendar import (FRIDAY, MarketCalendar)
+from pandas_market_calendars.market_calendar import (FRIDAY, MarketCalendar)
 
 # Universal Confraternization (new years day)
 ConfUniversal = Holiday(

pandas_market_calendars/exchange_calendar_bse.py → pandas_market_calendars/calendars/bse.py

@@ -5,7 +5,7 @@
 from pandas import Timestamp
 from pytz import timezone
 from datetime import time
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
 BSEClosedDay = [

pandas_market_calendars/exchange_calendar_cboe.py → pandas_market_calendars/calendars/cboe.py

@@ -6,28 +6,29 @@
 from itertools import chain
 import pandas as pd
 
-from .holidays_us import (Christmas, USBlackFridayInOrAfter1993, USIndependenceDay, USMartinLutherKingJrAfter1998,
-                          USMemorialDay, USNewYearsDay, HurricaneSandyClosings, USNationalDaysofMourning)
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.us import (Christmas, USBlackFridayInOrAfter1993, USIndependenceDay, USMartinLutherKingJrAfter1998,
+                                                 USMemorialDay, USNewYearsDay, HurricaneSandyClosings, USNationalDaysofMourning,
+                                                 USJuneteenthAfter2022)
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
-# TODO: In pandas 2.0.3 this no longer works as the dt passed in is the entire matrix and not a single date
 def good_friday_unless_christmas_nye_friday(dt):
     """
     Good Friday is a valid trading day if Christmas Day or New Years Day fall
     on a Friday.
     """
+    if isinstance(dt, pd.DatetimeIndex):
+        # Pandas < 2.1.0 will call with an index and fall-back to element by element
+        # Pandas == 2.1.0 will only call element by element
+        raise NotImplementedError()
+
     year = dt.year
-    christmas_weekday = Christmas.observance(
-        pd.Timestamp(year, 12, 25)
-    ).weekday()
-    nyd_weekday = USNewYearsDay.observance(
-        pd.Timestamp(year, 1, 1)
-    ).weekday()
+    christmas_weekday = Christmas.observance(pd.Timestamp(year=year, month=12, day=25)).weekday()
+    nyd_weekday = USNewYearsDay.observance(pd.Timestamp(year=year, month=1, day=1)).weekday()
     if christmas_weekday != 4 and nyd_weekday != 4:
-        return GoodFriday._apply_rule(dt)
+        return GoodFriday.dates(pd.Timestamp(year=year, month=1, day=1), pd.Timestamp(year=year, month=12, day=31))[0]
     else:
-        # compatibility for pandas 0.18.1
+        # Not a holiday so use NaT to ensure it gets removed
         return pd.NaT
 
 
@@ -70,8 +71,8 @@ def regular_holidays(self):
             USNewYearsDay,
             USMartinLutherKingJrAfter1998,
             USPresidentsDay,
-            # GoodFridayUnlessChristmasNYEFriday, #TODO: When this is fixed can return to using it
-            GoodFriday,
+            GoodFridayUnlessChristmasNYEFriday,
+            USJuneteenthAfter2022,
             USIndependenceDay,
             USMemorialDay,
             USLaborDay,
@@ -112,5 +113,3 @@ class CBOEIndexOptionsExchangeCalendar(CFEExchangeCalendar):
         "market_open": ((None, time(8, 30)),),
         "market_close": ((None, time(15, 15)),)
     }
-
-

pandas_market_calendars/exchange_calendar_cme.py → pandas_market_calendars/calendars/cme.py

@@ -20,10 +20,10 @@
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
 from pytz import timezone
 
-from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USNationalDaysofMourning,
-                          USNewYearsDay)
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USNationalDaysofMourning,
+                                                 USNewYearsDay)
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
 # Useful resources for making changes to this file: http://www.cmegroup.com/tools-information/holiday-calendar.html

pandas_market_calendars/exchange_calendar_cme_globex_agriculture.py → pandas_market_calendars/calendars/cme_globex_agriculture.py

@@ -13,22 +13,16 @@
 # See the License for the specific language governing permissions and
 # limitations under the License.
 
-from abc import ABC, abstractmethod
-from .exchange_calendar_cme_globex_base import CMEGlobexBaseExchangeCalendar
+from abc import abstractmethod
+from .cme_globex_base import CMEGlobexBaseExchangeCalendar
 
 from datetime import time
-from itertools import chain
 
-from pandas import Timestamp
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
-from pytz import timezone
-
-from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
-                          USNationalDaysofMourning, USNewYearsDay)
-from .market_calendar import MarketCalendar
-
 
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay,
+                                                 USNewYearsDay)
 
 
 class CMEGlobexAgricultureExchangeCalendar(CMEGlobexBaseExchangeCalendar):

pandas_market_calendars/exchange_calendar_cme_globex_base.py → pandas_market_calendars/calendars/cme_globex_base.py

@@ -15,17 +15,13 @@
 
 from abc import ABC, abstractmethod
 
-from datetime import time
-from itertools import chain
-
-from pandas import Timestamp
 from pandas.tseries.holiday import AbstractHolidayCalendar, GoodFriday, USLaborDay, USPresidentsDay, USThanksgivingDay
 from pytz import timezone
 
-from .holidays_us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
-                          USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
-                          USNationalDaysofMourning, USNewYearsDay)
-from .market_calendar import MarketCalendar
+from pandas_market_calendars.holidays.us import (Christmas, ChristmasEveBefore1993, ChristmasEveInOrAfter1993, USBlackFridayInOrAfter1993,
+                                                 USIndependenceDay, USMartinLutherKingJrAfter1998, USMemorialDay, USJuneteenthAfter2022,
+                                                 USNewYearsDay)
+from pandas_market_calendars.market_calendar import MarketCalendar
 
 
 class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
@@ -34,6 +30,7 @@ class CMEGlobexBaseExchangeCalendar(MarketCalendar, ABC):
 
     CME Markets: https://www.cmegroup.com/markets/agriculture.html#overview
     - Agriculture
+    - Crypto
     - Energy
     - Equity Index
     - FX