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316 lines
8.3 KiB
Python
316 lines
8.3 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 zoneinfo import ZoneInfo
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import pandas as pd
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from pandas.tseries.holiday import Easter, GoodFriday, Holiday
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from pandas.tseries.offsets import Day
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from .common_holidays import (
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all_saints_day,
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assumption_day,
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christmas,
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christmas_eve,
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european_labour_day,
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immaculate_conception,
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maundy_thursday,
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new_years_day,
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new_years_eve,
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saint_peter_and_saint_paul_day,
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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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THURSDAY,
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TUESDAY,
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WEDNESDAY,
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WEEKDAYS,
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HolidayCalendar,
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ExchangeCalendar,
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)
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def summer_solstice(dt: datetime.datetime) -> datetime.datetime:
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"""
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The summer solstice is on June 20th, but in some years it can be on the
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21st.
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"""
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day = 20
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if (dt.year % 4 > 1 and dt.year <= 2046) or (dt.year % 4 > 2 and dt.year <= 2075):
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day = 21
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return dt.replace(month=6, day=day)
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def national_day_of_indigenous_peoples_observed(
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dt: datetime.datetime,
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) -> datetime.datetime | None:
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"""
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Observed on the summer solstice, but in 2021 it was moved to June 21st.
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"""
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if dt.year == 2021:
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dt = dt.replace(month=6, day=21)
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elif dt.year > 2021:
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dt = summer_solstice(dt)
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else:
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dt = None
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return dt
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def nearest_monday(dt: datetime.datetime) -> datetime.datetime:
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"""
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If the holiday falls on a Saturday, Sunday or Monday then the date is
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unchanged (Sat/Sun observances are not made up), otherwise use the closest
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Monday to the date.
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"""
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day = dt.weekday()
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if day in (TUESDAY, WEDNESDAY, THURSDAY):
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return dt - datetime.timedelta(day - MONDAY)
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if day == FRIDAY:
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return dt + datetime.timedelta(3)
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return dt
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def tuesday_and_wednesday_to_friday(dt: datetime.datetime) -> datetime.datetime:
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"""
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If Evangelical Church Day (Halloween) falls on a Tuesday, it is observed
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the preceding Friday. If it falls on a Wednesday, it is observed the next
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Friday. If it falls on Thu, Fri, Sat, Sun, or Mon the date is unchanged.
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"""
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day = dt.weekday()
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if day == TUESDAY:
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return dt - datetime.timedelta(4)
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if day == WEDNESDAY:
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return dt + datetime.timedelta(2)
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return dt
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def not_2010(dt: datetime.datetime) -> datetime.datetime | None:
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"""
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In 2010 Independence Day fell on a Saturday. Normally this would mean that
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Friday is a half day, but instead it is a full day off, so we need to
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exclude it from the usual half day rules.
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"""
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return None if dt.year == 2010 else dt
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NewYearsDay = new_years_day()
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MaundyThursday = maundy_thursday()
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MondayPriorToCorpusChristi = Holiday(
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"Monday Prior to Corpus Christi",
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month=1,
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day=1,
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offset=[Easter(), Day(57)],
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end_date="2008",
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)
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LabourDay = european_labour_day()
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NavyDay = Holiday("Navy Day", month=5, day=21)
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NationalDayOfIndigenousPeoples = Holiday(
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"National Day of Indigenous Peoples",
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month=6,
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day=19,
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observance=national_day_of_indigenous_peoples_observed,
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start_date="2021",
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)
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SaintPeterAndSaintPaulDay = saint_peter_and_saint_paul_day(
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observance=nearest_monday,
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)
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OurLadyOfMountCarmelDay = Holiday(
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"Our Lady of Mount Carmel's Day",
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month=7,
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day=16,
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start_date="2008",
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)
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AssumptionDay = assumption_day()
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PublicHolidayMonday = Holiday(
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"Public Holiday Preceeding a Tuesday Independence Day",
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month=9,
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day=17,
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start_date="2003",
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days_of_week=(MONDAY,),
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)
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DayBeforeIndependenceDay = Holiday(
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"Day Before Independence Day",
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month=9,
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day=17,
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observance=not_2010,
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days_of_week=(TUESDAY, WEDNESDAY, THURSDAY, FRIDAY),
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)
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IndependenceDay = Holiday("Independence Day", month=9, day=18)
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ArmyDay = Holiday("Army Day", month=9, day=19)
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PublicHolidayFriday = Holiday(
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"Public Holiday Following a Thursday Army Day",
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month=9,
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day=20,
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start_date="2003",
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days_of_week=(FRIDAY,),
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)
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DiaDeLaRaza = Holiday(
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"Dia de la Raza",
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month=10,
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day=12,
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observance=nearest_monday,
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)
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EvangelicalChurchDay = Holiday(
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"Evangelical Church Day",
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month=10,
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day=31,
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observance=tuesday_and_wednesday_to_friday,
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start_date="2008",
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)
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AllSaintsDay = all_saints_day()
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ImmaculateConception = immaculate_conception()
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ChristmasEve = christmas_eve(days_of_week=WEEKDAYS)
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Christmas = christmas()
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DayBeforeBankHoliday = Holiday(
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"Day Before Bank Holiday",
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month=12,
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day=30,
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days_of_week=WEEKDAYS,
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)
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BankHoliday = new_years_eve()
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class XSGOExchangeCalendar(ExchangeCalendar):
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"""
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Calendar for the Santiago Stock Exchange (Bolsa de Comercio de Santiago) in
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Chile.
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https://www.bolsadesantiago.com/mercado_horarios_feriados
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Open Time: 9:30 AM, CLT/CLST (Chile Standard Time/Chile Summer Time)
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Close Time: 4:00 PM, CLT (March to October)
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5:00 PM, CLST (November to February)
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Regularly-Observed Holidays:
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- New Year's Day
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- Good Friday
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- Corpus Christi (until 2007, inclusive)
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- Labour Day
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- Navy Day
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- Saint Peter and Saint Paul Day
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- Feast Day of Our Lady of Mount Carmel (starting 2008)
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- Assumption Day
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- Independence Day
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- Army Day
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- Dia de la Raza
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- Evangelical Church Day
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- All Saints' Day
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- Immaculate Conception
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- Christmas Day
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- Bank Holiday
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Holidays No Longer Observed:
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- N/A
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Early Closes:
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- Maundy Thursday
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- Day before Independence Day
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- Christmas Eve
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- Day before Bank Holiday
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"""
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name = "XSGO"
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tz = ZoneInfo("America/Santiago")
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open_times = ((None, datetime.time(9, 30)),)
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early_close_1230 = datetime.time(12, 30)
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early_close_130 = datetime.time(13, 30)
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@property
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def close_times(self):
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# The equity market close time changes twice per year. In March it
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# changes to 4:00PM for winter and in November it changes to 5PM for
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# summer.
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return tuple(self._starting_dates_and_close_times())
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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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GoodFriday,
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MondayPriorToCorpusChristi,
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LabourDay,
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NavyDay,
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NationalDayOfIndigenousPeoples,
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SaintPeterAndSaintPaulDay,
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OurLadyOfMountCarmelDay,
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AssumptionDay,
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PublicHolidayMonday,
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IndependenceDay,
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ArmyDay,
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PublicHolidayFriday,
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DiaDeLaRaza,
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EvangelicalChurchDay,
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AllSaintsDay,
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ImmaculateConception,
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Christmas,
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BankHoliday,
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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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return [
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# Bicentennial Celebration.
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pd.Timestamp("2010-09-17"),
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pd.Timestamp("2010-09-20"),
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# New Year's Day Observed. It is unclear why this happened only for
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# this one year.
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pd.Timestamp("2017-01-02"),
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# Census Day.
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pd.Timestamp("2017-04-19"),
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# Pope Visit.
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pd.Timestamp("2018-01-16"),
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# Day off for National Day
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pd.Timestamp("2022-09-16"),
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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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(
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self.early_close_1230,
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HolidayCalendar([ChristmasEve, DayBeforeBankHoliday]),
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),
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(
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self.early_close_130,
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HolidayCalendar([MaundyThursday, DayBeforeIndependenceDay]),
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),
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]
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def _starting_dates_and_close_times(self):
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yield ((None, datetime.time(17)))
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for year in range(1980, 2050):
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yield (pd.Timestamp(f"{year}-03-01"), datetime.time(16))
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yield (pd.Timestamp(f"{year}-11-01"), datetime.time(17))
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