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https://github.com/quantopian/trading_calendars
Calendars for various securities exchanges.
https://github.com/quantopian/trading_calendars
Last synced: 1 day ago
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Calendars for various securities exchanges.
- Host: GitHub
- URL: https://github.com/quantopian/trading_calendars
- Owner: quantopian
- License: apache-2.0
- Created: 2018-06-12T20:20:33.000Z (over 6 years ago)
- Default Branch: master
- Last Pushed: 2023-07-17T00:25:53.000Z (over 1 year ago)
- Last Synced: 2025-01-03T09:04:08.307Z (8 days ago)
- Language: Python
- Size: 4.15 MB
- Stars: 629
- Watchers: 35
- Forks: 389
- Open Issues: 33
-
Metadata Files:
- Readme: README.md
- License: LICENSE
Awesome Lists containing this project
- awesome-quant - trading_calendars - Stock Exchange Trading Calendars. (Python / Calendars)
README
# **IMPORTANT NOTE**
This package is currently unmaintained as the sponsor, quantopian, is going through corporate changes. As such there is a fork of this project that will receive more active maintenance, https://github.com/gerrymanoim/trading_calendars, and the actively developed and maintained alternative implimentation here: https://github.com/rsheftel/pandas_market_calendars . The process to merge these implementations will continue in those two respective repos.
# trading_calendars
[](https://github.com/quantopian/trading_calendars/actions?query=workflow%3ACI)
[](https://pypi.org/project/trading-calendars/)
[](https://anaconda.org/conda-forge/trading-calendars)
A Python library of exchange calendars, frequently used with [Zipline](https://github.com/quantopian/zipline).
## Installation
```bash
$ pip install trading-calendars
```
## Quick Start
```python
import trading_calendars as tc
import pandas as pd
import pytz
```
Get all registered calendars with `get_calendar_names`:
```python
>>> tc.get_calendar_names()[:5]
['XPHS', 'FWB', 'CFE', 'CMES', 'XSGO']
```
Get a calendar with `get_calendar`:
```python
>>> xnys = tc.get_calendar("XNYS")
```
Working with sessions:
```python
>>> xnys.is_session(pd.Timestamp("2020-01-01"))
False
>>> xnys.next_open(pd.Timestamp("2020-01-01"))
Timestamp('2020-01-02 14:31:00+0000', tz='UTC')
>>> pd.Timestamp("2020-01-01", tz=pytz.UTC)+xnys.day
Timestamp('2020-01-02 00:00:00+0000', tz='UTC')
>>> xnys.previous_close(pd.Timestamp("2020-01-01"))
Timestamp('2019-12-31 21:00:00+0000', tz='UTC')
>>> xnys.sessions_in_range(
>>> pd.Timestamp("2020-01-01", tz=pytz.UTC),
>>> pd.Timestamp("2020-01-10", tz=pytz.UTC)
>>> )
DatetimeIndex(['2020-01-02 00:00:00+00:00', '2020-01-03 00:00:00+00:00',
'2020-01-06 00:00:00+00:00', '2020-01-07 00:00:00+00:00',
'2020-01-08 00:00:00+00:00', '2020-01-09 00:00:00+00:00',
'2020-01-10 00:00:00+00:00'],
dtype='datetime64[ns, UTC]', freq='C')
>>> xnys.sessions_window(
>>> pd.Timestamp("2020-01-02", tz=pytz.UTC),
>>> 7
>>> )
DatetimeIndex(['2020-01-02 00:00:00+00:00', '2020-01-03 00:00:00+00:00',
'2020-01-06 00:00:00+00:00', '2020-01-07 00:00:00+00:00',
'2020-01-08 00:00:00+00:00', '2020-01-09 00:00:00+00:00',
'2020-01-10 00:00:00+00:00', '2020-01-13 00:00:00+00:00'],
dtype='datetime64[ns, UTC]', freq='C')
```
**NOTE**: see the [TradingCalendar class](https://github.com/quantopian/trading_calendars/blob/master/trading_calendars/trading_calendar.py) for more advanced usage.
Trading calendars also supports command line usage, printing a unix-cal like calendar indicating which days are trading sessions or holidays.
```bash
tcal XNYS 2020
```
2020
January February March
Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
[ 1] 2 3 [ 4] [ 1]
[ 5] 6 7 8 9 10 [11] [ 2] 3 4 5 6 7 [ 8] [ 1] 2 3 4 5 6 [ 7]
[12] 13 14 15 16 17 [18] [ 9] 10 11 12 13 14 [15] [ 8] 9 10 11 12 13 [14]
[19][20] 21 22 23 24 [25] [16][17] 18 19 20 21 [22] [15] 16 17 18 19 20 [21]
[26] 27 28 29 30 31 [23] 24 25 26 27 28 [29] [22] 23 24 25 26 27 [28]
[29] 30 31
April May June
Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
1 2 3 [ 4] 1 [ 2] 1 2 3 4 5 [ 6]
[ 5] 6 7 8 9 [10][11] [ 3] 4 5 6 7 8 [ 9] [ 7] 8 9 10 11 12 [13]
[12] 13 14 15 16 17 [18] [10] 11 12 13 14 15 [16] [14] 15 16 17 18 19 [20]
[19] 20 21 22 23 24 [25] [17] 18 19 20 21 22 [23] [21] 22 23 24 25 26 [27]
[26] 27 28 29 30 [24][25] 26 27 28 29 [30] [28] 29 30
[31]
July August September
Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
1 2 [ 3][ 4] [ 1] 1 2 3 4 [ 5]
[ 5] 6 7 8 9 10 [11] [ 2] 3 4 5 6 7 [ 8] [ 6][ 7] 8 9 10 11 [12]
[12] 13 14 15 16 17 [18] [ 9] 10 11 12 13 14 [15] [13] 14 15 16 17 18 [19]
[19] 20 21 22 23 24 [25] [16] 17 18 19 20 21 [22] [20] 21 22 23 24 25 [26]
[26] 27 28 29 30 31 [23] 24 25 26 27 28 [29] [27] 28 29 30
[30] 31
October November December
Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa Su Mo Tu We Th Fr Sa
1 2 [ 3] 1 2 3 4 [ 5]
[ 4] 5 6 7 8 9 [10] [ 1] 2 3 4 5 6 [ 7] [ 6] 7 8 9 10 11 [12]
[11] 12 13 14 15 16 [17] [ 8] 9 10 11 12 13 [14] [13] 14 15 16 17 18 [19]
[18] 19 20 21 22 23 [24] [15] 16 17 18 19 20 [21] [20] 21 22 23 24 [25][26]
[25] 26 27 28 29 30 [31] [22] 23 24 25 [26] 27 [28] [27] 28 29 30 31
[29] 30
```bash
tcal XNYS 1 2020
```
January 2020
Su Mo Tu We Th Fr Sa
[ 1] 2 3 [ 4]
[ 5] 6 7 8 9 10 [11]
[12] 13 14 15 16 17 [18]
[19][20] 21 22 23 24 [25]
[26] 27 28 29 30 31
## Frequently Asked Questions
### Why are open times one minute late?
Due to its historical use in the [Zipline](https://github.com/quantopian/zipline) backtesting system, `trading_calendars` will only indicate a market is open upon the completion of the first minute bar in a day. Zipline uses minute bars labeled with the end of the bar, e.g. 9:31AM for 9:30-9:31AM. As an example, on a regular trading day for NYSE:
- 9:30:00 is treated as closed.
- 9:30:01 is treated as closed.
- 9:31:00 is the first time treated as open.
- 16:00:00 is treated as open
- 16:00:01 is treated as closed
This may change in the future.
## Calendar Support
| Exchange | ISO Code | Country | Version Added | Exchange Website (English) |
| ------------------------------- | -------- | -------------- | ------------- | ------------------------------------------------------------ |
| New York Stock Exchange | XNYS | USA | 1.0 | https://www.nyse.com/index |
| CBOE Futures | XCBF | USA | 1.0 | https://markets.cboe.com/us/futures/overview/ |
| Chicago Mercantile Exchange | CMES | USA | 1.0 | https://www.cmegroup.com/ |
| ICE US | IEPA | USA | 1.0 | https://www.theice.com/index |
| Toronto Stock Exchange | XTSE | Canada | 1.0 | https://www.tsx.com/ |
| BMF Bovespa | BVMF | Brazil | 1.0 | http://www.b3.com.br/en_us/ |
| London Stock Exchange | XLON | England | 1.0 | https://www.londonstockexchange.com/home/homepage.htm |
| Euronext Amsterdam | XAMS | Netherlands | 1.2 | https://www.euronext.com/en/regulation/amsterdam |
| Euronext Brussels | XBRU | Belgium | 1.2 | https://www.euronext.com/en/regulation/brussels |
| Euronext Lisbon | XLIS | Portugal | 1.2 | https://www.euronext.com/en/regulation/lisbon |
| Euronext Paris | XPAR | France | 1.2 | https://www.euronext.com/en/regulation/paris |
| Frankfurt Stock Exchange | XFRA | Germany | 1.2 | http://en.boerse-frankfurt.de/ |
| SIX Swiss Exchange | XSWX | Switzerland | 1.2 | https://www.six-group.com/exchanges/index.html |
| Tokyo Stock Exchange | XTKS | Japan | 1.2 | https://www.jpx.co.jp/english/ |
| Austrialian Securities Exchange | XASX | Australia | 1.3 | https://www.asx.com.au/ |
| Bolsa de Madrid | XMAD | Spain | 1.3 | http://www.bolsamadrid.es/ing/aspx/Portada/Portada.aspx |
| Borsa Italiana | XMIL | Italy | 1.3 | https://www.borsaitaliana.it/homepage/homepage.en.htm |
| New Zealand Exchange | XNZE | New Zealand | 1.3 | https://www.nzx.com/ |
| Wiener Borse | XWBO | Austria | 1.3 | https://www.wienerborse.at/en/ |
| Hong Kong Stock Exchange | XHKG | Hong Kong | 1.3 | https://www.hkex.com.hk/?sc_lang=en |
| Copenhagen Stock Exchange | XCSE | Denmark | 1.4 | http://www.nasdaqomxnordic.com/ |
| Helsinki Stock Exchange | XHEL | Finland | 1.4 | http://www.nasdaqomxnordic.com/ |
| Stockholm Stock Exchange | XSTO | Sweden | 1.4 | http://www.nasdaqomxnordic.com/ |
| Oslo Stock Exchange | XOSL | Norway | 1.4 | https://www.oslobors.no/ob_eng/ |
| Irish Stock Exchange | XDUB | Ireland | 1.4 | http://www.ise.ie/ |
| Bombay Stock Exchange | XBOM | India | 1.5 | https://www.bseindia.com |
| Singapore Exchange | XSES | Singapore | 1.5 | https://www.sgx.com |
| Shanghai Stock Exchange | XSHG | China | 1.5 | http://english.sse.com.cn |
| Korea Exchange | XKRX | South Korea | 1.6 | http://global.krx.co.kr |
| Iceland Stock Exchange | XICE | Iceland | 1.7 | http://www.nasdaqomxnordic.com/ |
| Poland Stock Exchange | XWAR | Poland | 1.9 | http://www.gpw.pl |
| Santiago Stock Exchange | XSGO | Chile | 1.9 | http://inter.bolsadesantiago.com/sitios/en/Paginas/home.aspx |
| Colombia Securities Exchange | XBOG | Colombia | 1.9 | https://www.bvc.com.co/nueva/index_en.html |
| Mexican Stock Exchange | XMEX | Mexico | 1.9 | https://www.bmv.com.mx |
| Lima Stock Exchange | XLIM | Peru | 1.9 | https://www.bvl.com.pe |
| Prague Stock Exchange | XPRA | Czech Republic | 1.9 | https://www.pse.cz/en/ |
| Budapest Stock Exchange | XBUD | Hungary | 1.10 | https://bse.hu/ |
| Athens Stock Exchange | ASEX | Greece | 1.10 | http://www.helex.gr/ |
| Istanbul Stock Exchange | XIST | Turkey | 1.10 | https://www.borsaistanbul.com/en/ |
| Johannesburg Stock Exchange | XJSE | South Africa | 1.10 | https://www.jse.co.za/z |
| Malaysia Stock Exchange | XKLS | Malaysia | 1.11 | http://www.bursamalaysia.com/market/ |
| Moscow Exchange | XMOS | Russia | 1.11 | https://www.moex.com/en/ |
| Philippine Stock Exchange | XPHS | Philippines | 1.11 | https://www.pse.com.ph/stockMarket/home.html |
| Stock Exchange of Thailand | XBKK | Thailand | 1.11 | https://www.set.or.th/set/mainpage.do?language=en&country=US |
| Indonesia Stock Exchange | XIDX | Indonesia | 1.11 | https://www.idx.co.id/ |
| Taiwan Stock Exchange Corp. | XTAI | Taiwan | 1.11 | https://www.twse.com.tw/en/ |
| Buenos Aires Stock Exchange | XBUE | Argentina | 1.11 | https://www.bcba.sba.com.ar/ |
| Pakistan Stock Exchange | XKAR | Pakistan | 1.11 | https://www.psx.com.pk/ |
> Note that exchange calendars are defined by their [ISO-10383](https://www.iso20022.org/10383/iso-10383-market-identifier-codes) market identifier code.