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jckantor/NYSE_tradingdays.py

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  1. jckantor renamed this gist Dec 29, 2014. 1 changed file with 0 additions and 0 deletions.
    0 NYSE_tradingdays → NYSE_tradingdays.py
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  2. jckantor created this gist Dec 29, 2014.
    54 changes: 54 additions & 0 deletions NYSE_tradingdays
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    from dateutil import rrule
    import datetime

    # Generate ruleset for holiday observances on the NYSE

    def NYSE_holidays(a=datetime.date.today(), b=datetime.date.today()+datetime.timedelta(days=365)):
    rs = rrule.rruleset()

    # Include all potential holiday observances
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=31, byweekday=rrule.FR)) # New Years Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, bymonthday= 1)) # New Years Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, bymonthday= 2, byweekday=rrule.MO)) # New Years Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, byweekday= rrule.MO(3))) # Martin Luther King Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 2, byweekday= rrule.MO(3))) # Washington's Birthday
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, byeaster= -2)) # Good Friday
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 5, byweekday= rrule.MO(-1))) # Memorial Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 3, byweekday=rrule.FR)) # Independence Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 4)) # Independence Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 5, byweekday=rrule.MO)) # Independence Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 9, byweekday= rrule.MO(1))) # Labor Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=11, byweekday= rrule.TH(4))) # Thanksgiving Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=24, byweekday=rrule.FR)) # Christmas
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=25)) # Christmas
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=26, byweekday=rrule.MO)) # Christmas

    # Exclude potential holidays that fall on weekends
    rs.exrule(rrule.rrule(rrule.WEEKLY, dtstart=a, until=b, byweekday=(rrule.SA,rrule.SU)))

    return rs

    # Generate ruleset for NYSE trading days

    def NYSE_tradingdays(a=datetime.date.today(), b=datetime.date.today()+datetime.timedelta(days=365)):
    rs = rrule.rruleset()
    rs.rrule(rrule.rrule(rrule.DAILY, dtstart=a, until=b))

    # Exclude weekends and holidays
    rs.exrule(rrule.rrule(rrule.WEEKLY, dtstart=a, byweekday=(rrule.SA,rrule.SU)))
    rs.exrule(NYSE_holidays(a,b))

    return rs

    # Examples

    # List all NYSE holiday observances for the coming year
    print "NYSE Holidays\n"
    for dy in NYSE_holidays():
    print dy.strftime('%b %d %Y')

    # Count NYSE trading days in next 5 years
    print "\n\nTrading Days\n"
    for yr in range(2015,2020):
    tdays = len(list(NYSE_tradingdays(datetime.datetime(yr,1,1),datetime.datetime(yr,12,31))))
    print "{0} {1}".format(yr,tdays)