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490 lines
13 KiB
Python
490 lines
13 KiB
Python
#
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# Copyright 2019 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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import datetime
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from itertools import chain
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from zoneinfo import ZoneInfo
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import pandas as pd
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from pandas.tseries.holiday import MO, DateOffset, GoodFriday, Holiday
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from .common_holidays import (
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all_saints_day,
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christmas,
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christmas_eve,
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european_labour_day,
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maundy_thursday,
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immaculate_conception,
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new_years_day,
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new_years_eve,
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)
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from .lunisolar_holidays import chinese_lunar_new_year_dates
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from .exchange_calendar import FRIDAY, HolidayCalendar, ExchangeCalendar
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def only_friday(dt: datetime.datetime) -> datetime.datetime | None:
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"""
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Only keeps the holidays that fall on a Friday. Useful
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for defining holidays that add a Friday to make a 4-day weekend
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when falling on a Thursday.
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"""
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return dt if dt.weekday() == FRIDAY else None
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def ninoy_aquino_day_observed(dt: datetime.datetime) -> datetime.datetime | None:
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"""
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In 2024, Ninoy Aquino Day is observed on 2024-08-23 instead of 2024-08-21.
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https://www.officialgazette.gov.ph/2024/08/15/proclamation-no-665-s-2024/
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"""
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special_years = {
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2024: pd.Timestamp("2024-08-23"),
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}
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if dt.year in special_years:
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return special_years[dt.year]
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return dt
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def bonifacio_day_observed(dt: datetime.datetime) -> datetime.datetime | None:
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"""
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In 2023, Bonifacio Day is observed on 2023-11-27 instead of 2023-11-30.
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https://pco.gov.ph/wp-content/uploads/2022/11/20221109-PROC-90-FRM.pdf
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"""
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special_years = {
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2023: pd.Timestamp("2023-11-27"),
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}
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if dt.year in special_years:
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return special_years[dt.year]
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return dt
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# All pre-2011 holidays are pre-computed, so we define Holidays starting
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# in 2011.
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NewYearsDay = new_years_day(start_date="2011")
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# Chinese New Year's only observed after 2011
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ChineseNewYear = chinese_lunar_new_year_dates
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ChineseNewYearAfter2011 = ChineseNewYear[ChineseNewYear.year > 2011]
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# The People Power Revolution is observed from 2016 to 2022, with a
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# special anniversary on 2023-02-24 added to adhoc_holidays.
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PeoplePowerRevolution = Holiday(
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"People Power Revolution",
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month=2,
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day=25,
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start_date="2016",
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end_date="2022",
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)
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ArawNgKagitingan = Holiday(
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"Araw Ng Kagitingan",
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month=4,
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day=9,
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start_date="2011",
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)
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MaundyThursday = maundy_thursday(start_date="2011")
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LabourDay = european_labour_day(start_date="2011")
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IndependenceDay = Holiday(
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"Independence Day",
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month=6,
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day=12,
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start_date="2011",
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)
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NinoyAquinoDay = Holiday(
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"Ninoy Aquino Day",
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month=8,
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day=21,
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start_date="2011",
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observance=ninoy_aquino_day_observed,
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)
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NationalHeroesDay = Holiday(
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"National Heroes Day",
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month=8,
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day=31,
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offset=DateOffset(weekday=MO(-1)),
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start_date="2011",
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)
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AllSaintsDay = all_saints_day(start_date="2011")
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AllSaintsDayExtra = Holiday(
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"Friday after All Saint's Day",
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month=11,
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day=2,
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start_date="2011",
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observance=only_friday,
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)
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BonifacioDay = Holiday(
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"Bonifacio Day",
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month=11,
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day=30,
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start_date="2011",
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observance=bonifacio_day_observed,
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)
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# Immaculate Conception is observed after 2017.
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# https://www.officialgazette.gov.ph/2017/12/28/republic-act-no-10966/
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ImmaculateConception = immaculate_conception(start_date="2017")
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ChristmasEve = christmas_eve(start_date="2011")
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Christmas = christmas(start_date="2011")
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RizalDay = Holiday(
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"Rizal Day",
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month=12,
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day=30,
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start_date="2011",
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)
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NewYearsEve = new_years_eve(start_date="2011")
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# These dates were initially calculated using the ummalqura Python
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# package (https://pypi.org/project/ummalqura/), and then tweaked
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# to fit Philippines' observance of Eid al-Fitr. Other countries that
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# observe Eid al-Fitr might use slightly different dates
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philippines_eid_al_fitr = pd.to_datetime(
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[
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"2011-08-30",
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"2012-08-20",
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"2013-08-09",
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"2014-07-29",
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"2015-07-17",
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"2016-07-06",
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"2017-06-26",
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"2018-06-15",
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"2019-06-05",
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"2020-05-25",
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"2021-05-13",
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"2022-05-03",
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"2023-04-21",
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"2024-04-10",
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"2025-04-01",
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"2026-03-20",
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"2027-03-10",
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]
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)
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# These dates were initially calculated using the ummalqura Python
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# package (https://pypi.org/project/ummalqura/), and then tweaked
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# to fit Philippines' observance of Eid al-Adha. Other countries that
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# observe Eid al-Adha might use slightly different dates
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philippines_eid_al_adha = pd.to_datetime(
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[
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"2011-11-07",
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"2012-10-26",
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"2013-10-15",
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"2014-10-06",
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"2015-09-25",
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"2016-09-12",
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"2017-09-01",
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"2018-08-21",
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"2019-08-12",
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"2020-07-31",
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"2021-07-20",
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"2022-07-09",
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"2023-06-28",
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"2024-06-17",
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"2025-06-06",
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"2026-05-27",
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"2027-05-17",
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]
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)
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class XPHSExchangeCalendar(ExchangeCalendar):
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"""
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Exchange calendar for the Philippine Stock Exchange (XPHS).
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https://www.pse.com.ph/investing-at-pse/#investing2
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https://www.officialgazette.gov.ph/nationwide-holidays/
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Open Time: 9:30 AM, PHT
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Close Time: 3:30 PM, PHT
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Regularly-Observed Holidays:
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- New Year's Day
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- Chinese New Year's Day
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- Araw Ng Kagitingan (Apr 9)
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- Maundy Thursday (Thurs before Easter)
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- Good Friday (Friday before Easter)
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- Labour Day (May 1)
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- Eid-ul-Fitr (Islamic Lunar Calendar)
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- Independence Day (Jun 12)
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- Eid-al-Adha
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- Ninoy Aquino Day (Aug 21)
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- National Heroes' Day (last Monday of August)
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- All Saint's Day (Nov 1)
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- Bonifacio Day (Nov 30)
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- Immaculate Conception (Dec 8)
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- Christmas Eve (Dec 24)
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- Christmas Day (Dec 25)
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- Rizal Day (Dec 30)
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- New Year's Eve (Dec 31)
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Early Closes:
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- None
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"""
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name = "XPHS"
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tz = ZoneInfo("Asia/Manila")
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open_times = ((None, datetime.time(9, 30)),)
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close_times = ((None, datetime.time(15, 30)),)
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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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NewYearsDay,
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PeoplePowerRevolution,
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ArawNgKagitingan,
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MaundyThursday,
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GoodFriday,
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LabourDay,
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IndependenceDay,
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NinoyAquinoDay,
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NationalHeroesDay,
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AllSaintsDay,
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AllSaintsDayExtra,
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BonifacioDay,
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ImmaculateConception,
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ChristmasEve,
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Christmas,
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RizalDay,
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NewYearsEve,
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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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misc_adhoc = [
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"2024-02-09",
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"2023-02-24",
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"2023-04-10",
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"2023-11-02",
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"2020-11-02",
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"2017-04-28",
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"2017-10-16",
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"2015-11-18",
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"2015-11-19",
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"2013-08-19",
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"2013-08-20",
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"2013-10-28",
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"2011-06-20",
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# Election Day
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"2025-05-12",
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"2023-10-30",
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"2022-05-09",
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"2019-05-13",
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"2018-05-14",
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"2016-05-09",
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"2013-05-13",
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# Typhoon
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"2017-09-12",
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"2014-12-08",
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"2014-09-19",
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"2014-07-16",
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"2012-08-07",
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"2011-09-27",
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# Pope's Visit
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"2015-01-15",
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"2015-01-16",
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# Christmas Makeups
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"2023-12-26",
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"2017-12-26",
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"2016-12-26",
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"2014-12-26",
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# New Years Makeups
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"2023-01-02",
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"2018-01-02",
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"2017-01-02",
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"2015-01-02",
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# Other Makeups
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"2025-10-31", # All Saint's Makeup
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"2022-10-31", # All Saint's Makeup
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"2017-10-31", # All Saint's Makeup
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"2016-10-31", # All Saint's Makeup
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"2011-10-31", # All Saint's Makeup
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]
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# Before 2011, there are a few holidays that follow makeup day
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# rules that are inconsistent/challenging to model. Starting
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# in 2011, the rules become much more consistent. For convenience
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# we are hardcoding pre-2011 holidays and defining holidays in
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# 2011-present
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pre_2011_holidays = [
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"2002-01-01",
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"2002-02-25",
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"2002-03-28",
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"2002-03-29",
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"2002-04-08",
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"2002-05-01",
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"2002-06-12",
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"2002-07-15",
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"2002-10-31",
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"2002-11-01",
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"2002-12-06",
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"2002-12-24",
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"2002-12-25",
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"2002-12-30",
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"2002-12-31",
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"2003-01-01",
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"2003-02-25",
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"2003-04-07",
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"2003-04-17",
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"2003-04-18",
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"2003-05-01",
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"2003-05-02",
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"2003-06-13",
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"2003-08-22",
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"2003-11-26",
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"2003-12-24",
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"2003-12-25",
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"2003-12-26",
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"2003-12-31",
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"2004-01-01",
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"2004-01-02",
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"2004-02-25",
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"2004-04-07",
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"2004-04-08",
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"2004-04-09",
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"2004-05-10",
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"2004-11-01",
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"2004-11-15",
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"2004-11-29",
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"2004-12-03",
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"2004-12-24",
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"2004-12-27",
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"2004-12-30",
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"2004-12-31",
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"2005-02-25",
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"2005-03-23",
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"2005-03-24",
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"2005-03-25",
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"2005-05-02",
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"2005-06-13",
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"2005-07-25",
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"2005-08-29",
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"2005-10-31",
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"2005-11-01",
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"2005-11-04",
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"2005-11-28",
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"2005-12-26",
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"2005-12-30",
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"2006-04-13",
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"2006-04-14",
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"2006-05-01",
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"2006-06-12",
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"2006-07-24",
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"2006-08-21",
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"2006-09-28",
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"2006-09-29",
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"2006-10-24",
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"2006-11-01",
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"2006-12-01",
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"2006-12-25",
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"2006-12-26",
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"2007-01-01",
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"2007-04-05",
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"2007-04-06",
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"2007-04-09",
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"2007-05-01",
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"2007-05-14",
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"2007-06-11",
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"2007-08-20",
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"2007-08-27",
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"2007-10-12",
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"2007-10-29",
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"2007-11-01",
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"2007-11-02",
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"2007-11-30",
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"2007-12-24",
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"2007-12-25",
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"2007-12-31",
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"2008-01-01",
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"2008-02-25",
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"2008-03-20",
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"2008-03-21",
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"2008-04-07",
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"2008-05-01",
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"2008-06-09",
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"2008-08-18",
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"2008-08-25",
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"2008-10-01",
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"2008-12-01",
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"2008-12-25",
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"2008-12-26",
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"2008-12-29",
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"2008-12-30",
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"2008-12-31",
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"2009-01-01",
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"2009-01-02",
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"2009-04-06",
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"2009-04-09",
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"2009-04-10",
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"2009-05-01",
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"2009-06-12",
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"2009-07-17",
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"2009-08-05",
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"2009-08-21",
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"2009-08-31",
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"2009-09-07",
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"2009-09-21",
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"2009-11-02",
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"2009-11-30",
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"2009-12-24",
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"2009-12-25",
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"2009-12-30",
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"2009-12-31",
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"2010-01-01",
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"2010-04-01",
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"2010-04-02",
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"2010-04-09",
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"2010-05-03",
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"2010-05-10",
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"2010-06-14",
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"2010-06-30",
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"2010-08-30",
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"2010-09-10",
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"2010-10-25",
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"2010-11-01",
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"2010-11-16",
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"2010-11-29",
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"2010-12-24",
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"2010-12-27",
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"2010-12-31",
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]
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return [
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pd.Timestamp(d)
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for d in chain(
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misc_adhoc,
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pre_2011_holidays,
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ChineseNewYearAfter2011,
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philippines_eid_al_adha,
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philippines_eid_al_fitr,
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)
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]
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