知微
fa45d8aa5f
- health_checklist.json: 192.168.1.122→node122
- ocr_client.py: docstring IP→node122
- docs/market-data-requirements.md: IP→node122
- 所有API调用通过ProxyHandler({})绕过系统代理
Privoxy对node122:18003返回500，直连正常
397 lines
12 KiB
Python
397 lines
12 KiB
Python
#
|
|
# Copyright 2019 Quantopian, Inc.
|
|
#
|
|
# Licensed under the Apache License, Version 2.0 (the "License");
|
|
# you may not use this file except in compliance with the License.
|
|
# You may obtain a copy of the License at
|
|
#
|
|
# http://www.apache.org/licenses/LICENSE-2.0
|
|
#
|
|
# Unless required by applicable law or agreed to in writing, software
|
|
# distributed under the License is distributed on an "AS IS" BASIS,
|
|
# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
# See the License for the specific language governing permissions and
|
|
# limitations under the License.
|
|
|
|
|
|
import datetime
|
|
from itertools import chain
|
|
from zoneinfo import ZoneInfo
|
|
import pandas as pd
|
|
import functools
|
|
|
|
from pandas.tseries.holiday import Holiday, weekend_to_monday
|
|
from pandas.tseries.offsets import CustomBusinessDay
|
|
|
|
from .common_holidays import european_labour_day, new_years_day, new_years_eve
|
|
from .exchange_calendar import WEEKDAYS, HolidayCalendar, ExchangeCalendar
|
|
from .pandas_extensions.offsets import MultipleWeekmaskCustomBusinessDay
|
|
|
|
|
|
def new_years_eve_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# For some reason New Year's Eve was not a holiday these years.
|
|
return None if dt.year in [2008, 2009] else weekend_to_monday(dt)
|
|
|
|
|
|
def new_years_day_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# New Year's Day did not follow the next-non-holiday rule these years.
|
|
return None if dt.year in [2022] else weekend_to_monday(dt)
|
|
|
|
|
|
def new_years_holiday_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# New Year's Holiday did not follow the next-non-holiday rule these years.
|
|
return None if dt.year in [2016, 2021, 2022] else weekend_to_monday(dt)
|
|
|
|
|
|
def orthodox_christmas_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# Orthodox Christmas did not follow the next-non-holiday rule these years.
|
|
return None if dt.year in [2012, 2017, 2023, 2024] else weekend_to_monday(dt)
|
|
|
|
|
|
def defender_of_fatherland_observance(
|
|
dt: datetime.datetime,
|
|
) -> datetime.datetime | None:
|
|
# Defender of the Fatherland Day did not follow the next-non-holiday rule
|
|
# these years.
|
|
return None if dt.year in [2013, 2014, 2019] else weekend_to_monday(dt)
|
|
|
|
|
|
def victory_day_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# Victory Day did not follow the next-non-holiday rule these years.
|
|
return None if dt.year in [2021] else weekend_to_monday(dt)
|
|
|
|
|
|
def day_of_russia_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# Day of Russia did not follow the next-non-holiday rule these years.
|
|
return None if dt.year in [2021] else weekend_to_monday(dt)
|
|
|
|
|
|
def unity_day_observance(dt: datetime.datetime) -> datetime.datetime | None:
|
|
# Unity Day did not follow the next-non-holiday rule these years.
|
|
return None if dt.year in [2023] else weekend_to_monday(dt)
|
|
|
|
|
|
NewYearsDay = new_years_day(observance=new_years_day_observance)
|
|
NewYearsHoliday = Holiday(
|
|
"New Year's Holiday",
|
|
month=1,
|
|
day=2,
|
|
observance=new_years_holiday_observance,
|
|
)
|
|
NewYearsHoliday2 = Holiday(
|
|
"New Year's Holiday",
|
|
month=1,
|
|
day=3,
|
|
start_date="2005",
|
|
end_date="2012",
|
|
)
|
|
NewYearsHoliday3 = Holiday(
|
|
"New Year's Holiday",
|
|
month=1,
|
|
day=4,
|
|
start_date="2005",
|
|
end_date="2012",
|
|
)
|
|
NewYearsHoliday4 = Holiday(
|
|
"New Year's Holiday",
|
|
month=1,
|
|
day=5,
|
|
start_date="2005",
|
|
end_date="2012",
|
|
)
|
|
NewYearsHoliday5 = Holiday(
|
|
"New Year's Holiday",
|
|
month=1,
|
|
day=6,
|
|
start_date="2005",
|
|
end_date="2012",
|
|
)
|
|
|
|
OrthodoxChristmas = Holiday(
|
|
"Orthodox Christmas",
|
|
month=1,
|
|
day=7,
|
|
observance=orthodox_christmas_observance,
|
|
)
|
|
|
|
DefenderOfTheFatherlandDay = Holiday(
|
|
"Defender of the Fatherland Day",
|
|
month=2,
|
|
day=23,
|
|
observance=defender_of_fatherland_observance,
|
|
)
|
|
|
|
WomensDay = Holiday(
|
|
"Women's Day",
|
|
month=3,
|
|
day=8,
|
|
observance=weekend_to_monday,
|
|
)
|
|
|
|
LabourDay = european_labour_day(observance=weekend_to_monday)
|
|
|
|
VictoryDay = Holiday(
|
|
"Victory Day",
|
|
month=5,
|
|
day=9,
|
|
observance=victory_day_observance,
|
|
)
|
|
|
|
DayOfRussia = Holiday(
|
|
"Day of Russia",
|
|
month=6,
|
|
day=12,
|
|
observance=day_of_russia_observance,
|
|
)
|
|
|
|
UnityDay = Holiday(
|
|
"Unity Day",
|
|
month=11,
|
|
day=4,
|
|
observance=unity_day_observance,
|
|
start_date="2005",
|
|
)
|
|
|
|
NewYearsEve = new_years_eve(
|
|
observance=new_years_eve_observance,
|
|
days_of_week=WEEKDAYS,
|
|
)
|
|
|
|
|
|
# Adhoc Holidays
|
|
# --------------
|
|
|
|
# All of the following "extensions" are bridge holidays, meaning they are
|
|
# either a Monday or Friday that is made into a holiday to fill in the gap
|
|
# between a Tuesday or Thursday holiday, respectively. Unfortunately having
|
|
# these bridge days is not consistently the rule, so they are treated as adhoc.
|
|
# This means that in the future there may be manual additions needed here.
|
|
new_years_extensions = [
|
|
"2003-01-03",
|
|
"2013-01-03",
|
|
"2013-01-04",
|
|
"2014-01-03",
|
|
]
|
|
|
|
orthodox_christmas_extensions = [
|
|
"2003-01-06",
|
|
"2005-01-10",
|
|
"2008-01-08",
|
|
"2009-01-08",
|
|
"2009-01-09",
|
|
"2010-01-08",
|
|
"2011-01-10",
|
|
"2016-01-08",
|
|
]
|
|
|
|
defender_of_the_fatherland_extensions = [
|
|
"2006-02-24",
|
|
"2010-02-22",
|
|
]
|
|
|
|
womens_day_extensions = [
|
|
"2005-03-07",
|
|
"2011-03-07",
|
|
"2012-03-09",
|
|
"2022-03-07",
|
|
]
|
|
|
|
labour_day_extensions = [
|
|
"2002-05-02",
|
|
"2002-05-03",
|
|
"2003-05-02",
|
|
"2004-05-04",
|
|
"2007-04-30",
|
|
"2008-05-02",
|
|
"2012-04-30",
|
|
"2015-05-04",
|
|
"2016-05-03",
|
|
# LabourDay Holiday extended to Tuesday.
|
|
"2022-05-03",
|
|
]
|
|
|
|
victory_day_extensions = [
|
|
"2002-05-10",
|
|
"2005-05-10",
|
|
"2006-05-08",
|
|
"2017-05-08",
|
|
# Victory Day Holiday extended to Tuesday.
|
|
"2022-05-10",
|
|
]
|
|
|
|
day_of_russia_extensions = [
|
|
"2003-06-13",
|
|
"2007-06-11",
|
|
"2008-06-13",
|
|
"2012-06-11",
|
|
"2014-06-13",
|
|
]
|
|
|
|
unity_day_extensions = [
|
|
"2008-11-03",
|
|
"2010-11-05",
|
|
]
|
|
|
|
misc_adhoc = [
|
|
# Exchange Holidays.
|
|
"2002-11-07",
|
|
"2002-11-08",
|
|
"2002-12-12",
|
|
"2002-12-13",
|
|
"2003-11-07",
|
|
"2003-12-12",
|
|
"2004-11-08",
|
|
"2004-12-13",
|
|
"2008-09-18",
|
|
# Trading Suspended.
|
|
"2008-10-10",
|
|
"2008-10-27",
|
|
# Non-Working Days.
|
|
"2020-06-24",
|
|
"2020-07-01",
|
|
]
|
|
|
|
|
|
class XMOSExchangeCalendar(ExchangeCalendar):
|
|
"""
|
|
Exchange calendar for the Moscow Stock Exchange.
|
|
|
|
Open Time: 10:00 AM, MSK (Moscow Standard Time)
|
|
Close Time: 6:45 PM, MSK (Moscow Standard Time)
|
|
|
|
Regularly-Observed Holidays:
|
|
- New Year's Day
|
|
- New Year's Holiday
|
|
- Orthodox Christmas Day
|
|
- Defender of the Fatherland Day
|
|
- Women's Day
|
|
- Spring and Labour Day
|
|
- Victory Day
|
|
- Day of Russia
|
|
- Unity Day
|
|
- New Year's Eve
|
|
|
|
Holidays No Longer Observed:
|
|
- New Year's Holiday Week
|
|
|
|
Early Closes:
|
|
- None
|
|
"""
|
|
|
|
name = "XMOS"
|
|
|
|
tz = ZoneInfo("Europe/Moscow")
|
|
|
|
open_times = ((None, datetime.time(10)),)
|
|
|
|
close_times = ((None, datetime.time(18, 45)),)
|
|
|
|
@property
|
|
def special_weekmasks(self):
|
|
"""
|
|
Returns
|
|
-------
|
|
list: List of (date, date, str) tuples that represent special
|
|
weekmasks that applies between dates.
|
|
"""
|
|
return [
|
|
# For 1999-2011 years next url was used to obtain data for
|
|
# IMOEX close values in order to check if there are any Sat or Sun:
|
|
# https://iss.moex.com/iss/history/engines/stock/markets/index/securities/IMOEX
|
|
(pd.Timestamp("1999-01-04"), pd.Timestamp("1999-01-10"), "1111101"),
|
|
(pd.Timestamp("2000-05-01"), pd.Timestamp("2000-05-07"), "1111110"),
|
|
(pd.Timestamp("2000-10-30"), pd.Timestamp("2000-11-05"), "1111110"),
|
|
(pd.Timestamp("2000-12-04"), pd.Timestamp("2000-12-10"), "1111110"),
|
|
(pd.Timestamp("2001-03-05"), pd.Timestamp("2001-03-11"), "1111101"),
|
|
(pd.Timestamp("2001-04-23"), pd.Timestamp("2001-04-29"), "1111110"),
|
|
(pd.Timestamp("2001-06-04"), pd.Timestamp("2001-06-10"), "1111110"),
|
|
(pd.Timestamp("2001-12-24"), pd.Timestamp("2001-12-30"), "1111110"),
|
|
(pd.Timestamp("2002-04-22"), pd.Timestamp("2002-04-28"), "1111110"),
|
|
(pd.Timestamp("2002-05-13"), pd.Timestamp("2002-05-19"), "1111110"),
|
|
(pd.Timestamp("2002-11-04"), pd.Timestamp("2002-11-10"), "1111101"),
|
|
(pd.Timestamp("2002-12-09"), pd.Timestamp("2002-12-15"), "1111101"),
|
|
(pd.Timestamp("2002-12-30"), pd.Timestamp("2003-01-05"), "1111111"),
|
|
(pd.Timestamp("2003-06-16"), pd.Timestamp("2003-06-22"), "1111110"),
|
|
(pd.Timestamp("2005-02-28"), pd.Timestamp("2005-03-06"), "1111110"),
|
|
(pd.Timestamp("2005-05-09"), pd.Timestamp("2005-05-15"), "1111110"),
|
|
(pd.Timestamp("2006-02-20"), pd.Timestamp("2006-02-26"), "1111101"),
|
|
(pd.Timestamp("2006-05-01"), pd.Timestamp("2006-05-07"), "1111110"),
|
|
(pd.Timestamp("2007-04-23"), pd.Timestamp("2007-04-29"), "1111110"),
|
|
(pd.Timestamp("2007-06-04"), pd.Timestamp("2007-06-10"), "1111110"),
|
|
(pd.Timestamp("2008-04-28"), pd.Timestamp("2008-05-04"), "1111101"),
|
|
(pd.Timestamp("2008-06-02"), pd.Timestamp("2008-06-08"), "1111110"),
|
|
(pd.Timestamp("2008-10-27"), pd.Timestamp("2008-11-02"), "1111110"),
|
|
(pd.Timestamp("2009-01-05"), pd.Timestamp("2009-01-11"), "1111101"),
|
|
(pd.Timestamp("2010-02-22"), pd.Timestamp("2010-02-28"), "1111110"),
|
|
(pd.Timestamp("2010-11-08"), pd.Timestamp("2010-11-14"), "1111110"),
|
|
(pd.Timestamp("2011-02-28"), pd.Timestamp("2011-03-06"), "1111110"),
|
|
# For 2012 year https://www.moex.com/a254
|
|
(pd.Timestamp("2012-03-05"), pd.Timestamp("2012-03-11"), "1111101"),
|
|
(pd.Timestamp("2012-04-23"), pd.Timestamp("2012-05-13"), "1111110"),
|
|
(pd.Timestamp("2012-06-04"), pd.Timestamp("2012-06-10"), "1111110"),
|
|
# For 2016 year https://www.moex.com/a3367
|
|
(pd.Timestamp("2016-02-15"), pd.Timestamp("2016-02-21"), "1111110"),
|
|
# For 2018 year https://www.moex.com/a4187
|
|
(pd.Timestamp("2018-04-23"), pd.Timestamp("2018-04-29"), "1111110"),
|
|
(pd.Timestamp("2018-06-04"), pd.Timestamp("2018-06-10"), "1111110"),
|
|
(pd.Timestamp("2018-12-24"), pd.Timestamp("2018-12-30"), "1111110"),
|
|
# For 2021 year https://www.moex.com/n30445
|
|
(pd.Timestamp("2021-02-15"), pd.Timestamp("2021-02-21"), "1111110"),
|
|
# For 2024 year https://www.moex.com/n64121
|
|
(pd.Timestamp("2024-04-22"), pd.Timestamp("2024-04-28"), "1111110"),
|
|
(pd.Timestamp("2024-10-28"), pd.Timestamp("2024-11-03"), "1111110"),
|
|
(pd.Timestamp("2024-12-23"), pd.Timestamp("2024-12-29"), "1111110"),
|
|
]
|
|
|
|
@property
|
|
def regular_holidays(self):
|
|
return HolidayCalendar(
|
|
[
|
|
NewYearsDay,
|
|
NewYearsHoliday,
|
|
NewYearsHoliday2,
|
|
NewYearsHoliday3,
|
|
NewYearsHoliday4,
|
|
NewYearsHoliday5,
|
|
OrthodoxChristmas,
|
|
DefenderOfTheFatherlandDay,
|
|
WomensDay,
|
|
LabourDay,
|
|
VictoryDay,
|
|
DayOfRussia,
|
|
UnityDay,
|
|
NewYearsEve,
|
|
]
|
|
)
|
|
|
|
@property
|
|
def adhoc_holidays(self):
|
|
return list(
|
|
chain(
|
|
new_years_extensions,
|
|
orthodox_christmas_extensions,
|
|
defender_of_the_fatherland_extensions,
|
|
womens_day_extensions,
|
|
labour_day_extensions,
|
|
victory_day_extensions,
|
|
day_of_russia_extensions,
|
|
unity_day_extensions,
|
|
misc_adhoc,
|
|
),
|
|
)
|
|
|
|
@functools.cached_property
|
|
def day(self):
|
|
if self.special_weekmasks:
|
|
return MultipleWeekmaskCustomBusinessDay(
|
|
holidays=self.adhoc_holidays,
|
|
calendar=self.regular_holidays,
|
|
weekmask=self.weekmask,
|
|
weekmasks=self.special_weekmasks,
|
|
)
|
|
return CustomBusinessDay(
|
|
holidays=self.adhoc_holidays,
|
|
calendar=self.regular_holidays,
|
|
weekmask=self.weekmask,
|
|
)
|