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fa45d8aa5f
- health_checklist.json: 192.168.1.122→node122
- ocr_client.py: docstring IP→node122
- docs/market-data-requirements.md: IP→node122
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463 lines
16 KiB
Python
463 lines
16 KiB
Python
# Copyright 2018 Quantopian, Inc.
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#
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# Licensed under the Apache License, Version 2.0 (the "License");
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# you may not use this file except in compliance with the License.
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# You may obtain a copy of the License at
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#
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# http://www.apache.org/licenses/LICENSE-2.0
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#
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# Unless required by applicable law or agreed to in writing, software
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# distributed under the License is distributed on an "AS IS" BASIS,
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# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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# See the License for the specific language governing permissions and
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# limitations under the License.
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from datetime import time, timedelta
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from itertools import chain
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from zoneinfo import ZoneInfo
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import numpy as np
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import pandas as pd
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import toolz
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from pandas.tseries.holiday import EasterMonday, GoodFriday, Holiday, sunday_to_monday
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from pandas.tseries.offsets import LastWeekOfMonth, WeekOfMonth
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from .common_holidays import (
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boxing_day,
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christmas,
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christmas_eve,
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new_years_day,
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new_years_eve,
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weekend_christmas,
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)
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from .lunisolar_holidays import (
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chinese_buddhas_birthday_dates,
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chinese_lunar_new_year_dates,
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double_ninth_festival_dates,
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dragon_boat_festival_dates,
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mid_autumn_festival_dates,
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qingming_festival_dates,
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)
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from .exchange_calendar import (
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FRIDAY,
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MONDAY,
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SATURDAY,
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SUNDAY,
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THURSDAY,
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TUESDAY,
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WEDNESDAY,
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HolidayCalendar,
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)
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from .precomputed_exchange_calendar import PrecomputedExchangeCalendar
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from .utils.pandas_utils import vectorized_sunday_to_monday
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# Useful resources for making changes to this file:
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# # /etc/lunisolar
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# http://www.math.nus.edu.sg/aslaksen/calendar/cal.pdf
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# https://www.hko.gov.hk/gts/time/calendarinfo.htm
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# - the almanacs on this page are also useful
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weekdays = (MONDAY, TUESDAY, WEDNESDAY, THURSDAY, FRIDAY)
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def process_queen_birthday(dt):
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# before 1983
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if dt.year in [1974, 1981]:
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return dt + pd.DateOffset(weekday=6)
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if dt.year < 1983:
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return sunday_to_monday(dt)
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# after 1983
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wom = WeekOfMonth(week=2, weekday=0)
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if dt.year in [1983, 1988, 1993, 1994]:
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wom = WeekOfMonth(week=1, weekday=0)
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if dt.year in [1985]:
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wom = WeekOfMonth(week=3, weekday=0)
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return dt + wom
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LabourDay = Holiday(
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name="Labour Day", # 劳动节
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month=5,
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day=1,
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observance=sunday_to_monday,
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start_date=pd.Timestamp("1999-05-01"),
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)
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HKRegionEstablishmentDay = Holiday(
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name="Hong Kong Special Region Establishment Day",
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month=7,
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day=1,
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observance=sunday_to_monday,
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start_date=pd.Timestamp("1997-07-01"),
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)
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NationalDay = Holiday(
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name="National Day",
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month=10,
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day=1,
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observance=sunday_to_monday,
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start_date=pd.Timestamp("1997-07-01"),
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)
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QueenBirthday = Holiday(
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name="Queen's Birthday", # 英女王生日 6月
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month=6,
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day=10,
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observance=process_queen_birthday,
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start_date=pd.Timestamp("1983-01-01"),
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end_date=pd.Timestamp("1997-06-01"),
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)
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QueenBirthday2 = Holiday(
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name="Queen's Birthday", # 英女王生日 4月
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month=4,
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day=21,
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observance=process_queen_birthday,
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start_date=pd.Timestamp("1926-04-21"),
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end_date=pd.Timestamp("1983-01-01"),
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)
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CommemoratingAlliedVictory = Holiday(
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name="Commemorating the allied victory", # 重光纪念日 8月最后一个星期一
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month=8,
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day=20,
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offset=LastWeekOfMonth(weekday=0),
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start_date=pd.Timestamp("1945-08-30"),
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end_date=pd.Timestamp("1997-07-01"),
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)
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IDontKnow = Holiday(
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name="I dont know these days, please tell me", # 8月第一个星期一
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month=7,
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day=31,
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offset=WeekOfMonth(week=0, weekday=0),
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start_date=pd.Timestamp("1960-08-01"),
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end_date=pd.Timestamp("1983-01-01"),
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)
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day_after_mid_autumn_festival_dates = mid_autumn_festival_dates + timedelta(1)
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HKAdhocClosures = [
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# I dont know these days
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pd.Timestamp("1970-07-01"),
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pd.Timestamp("1971-07-01"),
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pd.Timestamp("1973-07-02"),
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pd.Timestamp("1974-07-01"),
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pd.Timestamp("1975-07-01"),
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pd.Timestamp("1976-07-01"),
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pd.Timestamp("1977-07-01"),
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pd.Timestamp("1979-07-02"),
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pd.Timestamp("1980-07-01"),
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pd.Timestamp("1981-07-01"),
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pd.Timestamp("1982-07-01"),
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pd.Timestamp("1971-03-22"),
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pd.Timestamp("1971-12-06"),
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pd.Timestamp("1971-12-20"),
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pd.Timestamp("1975-07-28"),
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pd.Timestamp("1985-07-29"),
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# Weather related closures
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pd.Timestamp("1970-07-16"), # 台风Ruby7003
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pd.Timestamp("1970-09-14"), # 台风Georgia7011
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pd.Timestamp("1971-07-22"), # 台风Lucy7114
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pd.Timestamp("1971-08-31"), # 重光纪念日?
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pd.Timestamp("1973-04-16"), # 股灾休市?
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pd.Timestamp("1973-07-17"), # 台风Dot7304
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pd.Timestamp("1974-04-25"), # 英国女王生日
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pd.Timestamp("1975-10-14"), # 台风Elsie7514
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pd.Timestamp("1978-07-26"), # 台风Agnes7807
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pd.Timestamp("1978-07-27"),
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pd.Timestamp("1979-01-26"), # 春节补假
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pd.Timestamp("1979-08-02"), # 台风Hope7908
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pd.Timestamp("1980-05-21"), # 台风Georgia8004
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pd.Timestamp("1980-07-22"), # 台风Joy8007
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pd.Timestamp("1981-04-27"), # 英国女王生日
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pd.Timestamp("1981-07-06"), # 台风Lynn8106
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pd.Timestamp("1981-07-07"),
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pd.Timestamp("1981-07-29"), # 查理斯王子与戴安娜婚礼
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pd.Timestamp("1983-09-09"), # 台风Ellen8309
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pd.Timestamp("1985-06-24"), # 台风Hal8504
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pd.Timestamp("1986-04-01"), # 复活节星期一翌日
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pd.Timestamp("1986-10-22"), # 英女王伊丽莎白二世访港
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pd.Timestamp("1987-10-20"), # 黑色星期一后,休市4天
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pd.Timestamp("1987-10-21"),
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pd.Timestamp("1987-10-22"),
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pd.Timestamp("1987-10-23"),
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pd.Timestamp("1988-04-05"), # 清明节翌日
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# Timestamp('1988-06-13'), # 英国女王生日
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pd.Timestamp("1991-06-18"), # 英国女王生日翌日
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pd.Timestamp("1992-07-22"), # 台风Cary9207
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# pd.Timestamp('1993-06-14'), # 英国女王生日
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pd.Timestamp("1993-09-17"), # 台风Becky9316
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pd.Timestamp("1994-06-14"), # 英国女王生日翌日,端午节翌日
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pd.Timestamp("1997-06-30"), # 英国女王生日
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pd.Timestamp("1997-07-02"), # 香港回归纪念日翌日
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pd.Timestamp("1997-08-18"), # 抗战胜利纪念日
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pd.Timestamp("1997-10-02"), # 国庆节翌日
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pd.Timestamp("1998-08-17"), # 抗战胜利纪念日
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pd.Timestamp("1998-10-02"), # 国庆节翌日
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pd.Timestamp("1999-04-06"), # 清明节翌日
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pd.Timestamp("1999-09-16"), # 台风约克
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pd.Timestamp("1999-12-31"), # 千年虫
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pd.Timestamp("2001-07-06"), # 台风尤特0104
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pd.Timestamp("2001-07-25"), # 台风玉兔0107
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# pd.Timestamp(2008-06-25'), # 台风风神0806,上午休市
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pd.Timestamp("2008-08-06"), # 台风北冕0809
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pd.Timestamp("2008-08-22"), # 台风鹦鹉0810
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# pd.Timestamp(2009-09-15'), # 台风巨爵0915,上午休市
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pd.Timestamp("2010-04-06"), # 清明节翌日
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pd.Timestamp("2011-09-29"), # 台风纳沙1117
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# pd.Timestamp(2012-07-24'), # 台风韦森特1208,上午休市
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pd.Timestamp("2012-10-02"), # 中秋节补假
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# pd.Timestamp(2013-05-22'), # 暴雨,上午休市
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pd.Timestamp("2013-08-14"), # 台风尤特1311
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# pd.Timestamp(2013-09-23'), # 台风天兔1319,上午休市
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# pd.Timestamp(2014-09-16'), # 台风海鸥1415,上午休市
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pd.Timestamp("2015-04-07"), # 复活节+清明节补假
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# pd.Timestamp(2015-07-09'), # 台风莲花1520,期货夜盘休市
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pd.Timestamp("2015-09-03"), # 抗战70周年纪念
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# pd.Timestamp(2016-08-01'), # 台风妮妲1604,期货夜盘20:55收市
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pd.Timestamp("2016-08-02"), # 台风妮妲1604
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pd.Timestamp("2016-10-21"), # 台风海马1622
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# pd.Timestamp(2017-06-12'), # 台风苗柏1702,期货夜盘17:35休市
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pd.Timestamp("2017-08-23"), # 台风天鸽1713
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pd.Timestamp("2020-10-13"), # 台风浪卡2016
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pd.Timestamp(
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"2021-10-13"
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), # https://www.hkex.com.hk/News/Market-Communications/2021/2110132news?sc_lang=en
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# In 2022, the mid-autumn festival falls on a Saturday (2022-09-10),
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# which means the day after is a Sunday. In 2022, HKSE had a holiday
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# on the Monday (2022-09-12). In the past they don't seem to have followed
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# this pattern. We'll have to wait and see before we generalise this into a rule.
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pd.Timestamp("2022-09-12"),
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pd.Timestamp("2023-07-17"), # 8号台风泰利, 全天休市
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pd.Timestamp("2024-09-06"), # 八號颱風, 全天休市
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]
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def boxing_day_obs(dt):
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if dt.weekday in (MONDAY, TUESDAY):
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return dt + pd.Timedelta(days=1)
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return dt
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class XHKGExchangeCalendar(PrecomputedExchangeCalendar):
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"""
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Exchange calendar for the Hong Kong Stock Exchange (XHKG).
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Open Time: 9:30 AM, Asia/Hong_Kong
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Lunch Break: 12:00 PM - 1:00 PM Asia/Hong_Kong
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Close Time: 4:00 PM, Asia/Hong_Kong
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Regularly-Observed Holidays:
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- New Years Day (observed on monday when Jan 1 is a Sunday)
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- Lunar New Year and the following 2 days. If the 3rd day of the lunar year
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is a Sunday, then the next Monday is a holiday.
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- Ching Ming Festival
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- Good Friday
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- Easter Monday
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- Buddhas Birthday
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- Dragon Boat Festival
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- Chinese National Day (observed on monday when Oct 1 is a Sunday)
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- Day Following Mid-Autumn Festival
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- Chung Yeung Festival
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- Christmas (observed on nearest weekday to December 25)
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- Day after Christmas is observed
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Regularly-Observed Early Closes:
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- Lunar New Year's Eve
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- Christmas Eve
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- New Year's Eve
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Additional Irregularities:
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- Closes frequently for severe weather.
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See https://www.hkex.com.hk/Services/Trading-hours-and-Severe-Weather-Arrangements/Trading-Hours/Securities-Market?sc_lang=en
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"""
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name = "XHKG"
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tz = ZoneInfo("Asia/Hong_Kong")
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open_times = (
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(None, time(10)),
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(pd.Timestamp("2011-03-07"), time(9, 30)),
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)
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break_start_times = ((None, time(12, 0)),)
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break_end_times = ((None, time(13, 0)),)
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close_times = ((None, time(16)),)
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regular_early_close_times = (
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(None, time(12, 30)),
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(pd.Timestamp("2011-03-07"), time(12, 00)),
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)
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@classmethod
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def precomputed_holidays(cls):
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lunisolar_holidays = (
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chinese_buddhas_birthday_dates,
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chinese_lunar_new_year_dates,
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day_after_mid_autumn_festival_dates,
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double_ninth_festival_dates,
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dragon_boat_festival_dates,
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qingming_festival_dates,
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)
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return lunisolar_holidays # noqa: RET504
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@classmethod
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def _earliest_precomputed_year(cls) -> int:
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return max(map(np.min, cls.precomputed_holidays())).year
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@classmethod
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def _latest_precomputed_year(cls) -> int:
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return min(map(np.max, cls.precomputed_holidays())).year
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@property
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def regular_holidays(self):
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return HolidayCalendar(
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[
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new_years_day(observance=sunday_to_monday),
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GoodFriday,
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EasterMonday,
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LabourDay,
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HKRegionEstablishmentDay,
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CommemoratingAlliedVictory,
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IDontKnow,
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NationalDay,
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QueenBirthday,
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QueenBirthday2,
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christmas(),
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weekend_christmas(),
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boxing_day(observance=boxing_day_obs),
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]
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)
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@property
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def adhoc_holidays(self):
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# overrides as inherited from PrecomputedExchangeCalendar
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lunar_new_years_eve = (chinese_lunar_new_year_dates - pd.Timedelta(days=1))[
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(chinese_lunar_new_year_dates.weekday == SATURDAY)
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& (chinese_lunar_new_year_dates.year < 2013)
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]
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lunar_new_year_2 = chinese_lunar_new_year_dates + pd.Timedelta(days=1)
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lunar_new_year_3 = chinese_lunar_new_year_dates + pd.Timedelta(days=2)
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lunar_new_year_4 = (chinese_lunar_new_year_dates + pd.Timedelta(days=3))[
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# According to the new arrangement under the General Holidays and
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# Employment Legislation (Substitution of Holidays)(Amendment)
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# Ordinance 2011, when either Lunar New Year's Day, the second day
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# of Lunar New Year or the third day of Lunar New Year falls on a
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# Sunday, the fourth day of Lunar New Year is designated as a
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# statutory and general holiday in substitution.
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(
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(chinese_lunar_new_year_dates.weekday == SUNDAY)
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| (lunar_new_year_2.weekday == SUNDAY)
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| (lunar_new_year_3.weekday == SUNDAY)
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)
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& (chinese_lunar_new_year_dates.year >= 2013)
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]
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qingming_festival = vectorized_sunday_to_monday(
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qingming_festival_dates,
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).values.copy() # copy so that array is writeable
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years = qingming_festival.astype("M8[Y]")
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easter_monday = EasterMonday.dates(years[0], years[-1] + 1)
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# qingming gets observed one day later if easter monday is on the same
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# day
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qingming_festival[qingming_festival == easter_monday] += np.timedelta64(1, "D")
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# if the day after the mid autumn festival is October first, which
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# conflicts with national day, then national day is observed on the
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# second, though we don't encode that in the regular holiday, so
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# instead we pretend that the mid autumn festival would be delayed.
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mid_autumn_festival = day_after_mid_autumn_festival_dates.values.copy()
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mid_autumn_festival[
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(day_after_mid_autumn_festival_dates.month == 10)
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& (day_after_mid_autumn_festival_dates.day == 1)
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] += np.timedelta64(1, "D")
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return list(
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chain(
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lunar_new_years_eve,
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chinese_lunar_new_year_dates,
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lunar_new_year_2,
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lunar_new_year_3,
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lunar_new_year_4,
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qingming_festival,
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vectorized_sunday_to_monday(chinese_buddhas_birthday_dates),
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vectorized_sunday_to_monday(dragon_boat_festival_dates),
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mid_autumn_festival,
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vectorized_sunday_to_monday(double_ninth_festival_dates),
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HKAdhocClosures,
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)
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)
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@property
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def special_closes(self):
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return [
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# HK changed their early close time
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(
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time(12, 30),
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HolidayCalendar(
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[
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new_years_eve(
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# Market was close for Y2K instead of closing early
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end_date=pd.Timestamp("1999-12-01"),
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days_of_week=weekdays,
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),
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new_years_eve(
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start_date=pd.Timestamp("2000-12-01"),
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end_date=pd.Timestamp("2011-03-07"),
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days_of_week=weekdays,
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),
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christmas_eve(
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end_date=pd.Timestamp("2011-03-07"), days_of_week=weekdays
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),
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]
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),
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),
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(
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time(12, 00),
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HolidayCalendar(
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[
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new_years_eve(
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start_date=pd.Timestamp("2011-03-07"),
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days_of_week=weekdays,
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),
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christmas_eve(
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start_date=pd.Timestamp("2011-03-07"), days_of_week=weekdays
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),
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]
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|
),
|
|
),
|
|
]
|
|
|
|
@property
|
|
def special_closes_adhoc(self):
|
|
lunar_new_years_eve = (chinese_lunar_new_year_dates - pd.Timedelta(days=1))[
|
|
np.isin(
|
|
chinese_lunar_new_year_dates.weekday,
|
|
[TUESDAY, WEDNESDAY, THURSDAY, FRIDAY, SATURDAY],
|
|
)
|
|
& (chinese_lunar_new_year_dates.year >= 2013)
|
|
].values
|
|
|
|
def selection(arr, start, end):
|
|
predicates = []
|
|
if start is not None:
|
|
predicates.append(start.asm8 <= arr)
|
|
if end is not None:
|
|
predicates.append(arr < end.asm8)
|
|
|
|
if not predicates:
|
|
return arr
|
|
|
|
return arr[np.all(predicates, axis=0)]
|
|
|
|
return [
|
|
(time, pd.DatetimeIndex(selection(lunar_new_years_eve, start, end)))
|
|
for (start, time), (end, _) in toolz.sliding_window(
|
|
2,
|
|
toolz.concatv(self.regular_early_close_times, [(None, None)]),
|
|
)
|
|
]
|