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Good Friday is always a holiday for CBOE/CFE even when Christmas and NYE fall on a Friday #312

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ypsah opened this issue Dec 21, 2023 · 0 comments

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@ypsah
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ypsah commented Dec 21, 2023

Good Friday is always a holiday, and I believe #116 misinterpreted the spec.

Holiday reminders from CBOE for good fridays in 2020 and 2021:

These two holidays are not reported as such in the latest version (4.3.2):

>>> import pandas_market_calendars as mcal
>>> no_valid_days = mcal.get_calendar("CBOE_Index_Options").valid_days("2020-04-10", "2020-04-10")
>>> assert no_valid_days.empty, f"{no_valid_days} should not be a valid day"
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
AssertionError: DatetimeIndex(['2020-04-10 00:00:00+00:00'], dtype='datetime64[ns, UTC]', freq='C') should not be a valid day
>>> import pandas_market_calendars as mcal
>>> no_valid_days = mcal.get_calendar("CBOE_Index_Options").valid_days("2021-04-02", "2021-04-02")
>>> assert no_valid_days.empty, f"{no_valid_days} should not be a valid day"
Traceback (most recent call last):
  File "<stdin>", line 1, in <module>
AssertionError: DatetimeIndex(['2021-04-02 00:00:00+00:00'], dtype='datetime64[ns, UTC]', freq='C') should not be a valid day

To further back this up: exchange-calendars reverted the change introduced for #116 in gerrymanoim/exchange_calendars#121.


Thank you for making pandas-market-calendars.

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