trading-calendars

trading_calendars

A Python library of exchange calendars, frequently used with Zipline.

Installation

$ pip install trading-calendars

Quick Start

import trading_calendars as tc
import pandas as pd
import pytz

Get all registered calendars with get_calendar_names:

>>> tc.get_calendar_names()[:5]
['XPHS', 'FWB', 'CFE', 'CMES', 'XSGO']

Get a calendar with get_calendar:

>>> xnys = tc.get_calendar("XNYS")

Working with sessions:

>>> xnys.is_session(pd.Timestamp("2020-01-01"))
False

>>> xnys.next_open(pd.Timestamp("2020-01-01"))
Timestamp('2020-01-02 14:31:00+0000', tz='UTC')

>>> pd.Timestamp("2020-01-01", tz=pytz.UTC)+xnys.day
Timestamp('2020-01-02 00:00:00+0000', tz='UTC')

>>> xnys.previous_close(pd.Timestamp("2020-01-01"))
Timestamp('2019-12-31 21:00:00+0000', tz='UTC')

>>> xnys.sessions_in_range(
>>>     pd.Timestamp("2020-01-01", tz=pytz.UTC),
>>>     pd.Timestamp("2020-01-10", tz=pytz.UTC)
>>> )
DatetimeIndex(['2020-01-02 00:00:00+00:00', '2020-01-03 00:00:00+00:00',
                '2020-01-06 00:00:00+00:00', '2020-01-07 00:00:00+00:00',
                '2020-01-08 00:00:00+00:00', '2020-01-09 00:00:00+00:00',
                '2020-01-10 00:00:00+00:00'],
                dtype='datetime64[ns, UTC]', freq='C')

>>> xnys.sessions_window(
>>>     pd.Timestamp("2020-01-02", tz=pytz.UTC),
>>>     7
>>> )
DatetimeIndex(['2020-01-02 00:00:00+00:00', '2020-01-03 00:00:00+00:00',
                '2020-01-06 00:00:00+00:00', '2020-01-07 00:00:00+00:00',
                '2020-01-08 00:00:00+00:00', '2020-01-09 00:00:00+00:00',
                '2020-01-10 00:00:00+00:00', '2020-01-13 00:00:00+00:00'],
                dtype='datetime64[ns, UTC]', freq='C')

NOTE: see the TradingCalendar class for more advanced usage.

Trading calendars also supports command line usage, printing a unix-cal like calendar indicating which days are trading sessions or holidays.

tcal XNYS 2020

                                        2020
        January                        February                        March
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
            [ 1]  2   3 [ 4]                           [ 1]
[ 5]  6   7   8   9  10 [11]   [ 2]  3   4   5   6   7 [ 8]   [ 1]  2   3   4   5   6 [ 7]
[12] 13  14  15  16  17 [18]   [ 9] 10  11  12  13  14 [15]   [ 8]  9  10  11  12  13 [14]
[19][20] 21  22  23  24 [25]   [16][17] 18  19  20  21 [22]   [15] 16  17  18  19  20 [21]
[26] 27  28  29  30  31        [23] 24  25  26  27  28 [29]   [22] 23  24  25  26  27 [28]
                                                            [29] 30  31

        April                           May                            June
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
            1   2   3 [ 4]                         1 [ 2]         1   2   3   4   5 [ 6]
[ 5]  6   7   8   9 [10][11]   [ 3]  4   5   6   7   8 [ 9]   [ 7]  8   9  10  11  12 [13]
[12] 13  14  15  16  17 [18]   [10] 11  12  13  14  15 [16]   [14] 15  16  17  18  19 [20]
[19] 20  21  22  23  24 [25]   [17] 18  19  20  21  22 [23]   [21] 22  23  24  25  26 [27]
[26] 27  28  29  30            [24][25] 26  27  28  29 [30]   [28] 29  30
                               [31]

            July                          August                       September
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
            1   2 [ 3][ 4]                           [ 1]             1   2   3   4 [ 5]
[ 5]  6   7   8   9  10 [11]   [ 2]  3   4   5   6   7 [ 8]   [ 6][ 7]  8   9  10  11 [12]
[12] 13  14  15  16  17 [18]   [ 9] 10  11  12  13  14 [15]   [13] 14  15  16  17  18 [19]
[19] 20  21  22  23  24 [25]   [16] 17  18  19  20  21 [22]   [20] 21  22  23  24  25 [26]
[26] 27  28  29  30  31        [23] 24  25  26  27  28 [29]   [27] 28  29  30
                               [30] 31

        October                        November                       December
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
                1   2 [ 3]                                            1   2   3   4 [ 5]
[ 4]  5   6   7   8   9 [10]   [ 1]  2   3   4   5   6 [ 7]   [ 6]  7   8   9  10  11 [12]
[11] 12  13  14  15  16 [17]   [ 8]  9  10  11  12  13 [14]   [13] 14  15  16  17  18 [19]
[18] 19  20  21  22  23 [24]   [15] 16  17  18  19  20 [21]   [20] 21  22  23  24 [25][26]
[25] 26  27  28  29  30 [31]   [22] 23  24  25 [26] 27 [28]   [27] 28  29  30  31
                               [29] 30

tcal XNYS 1 2020

        January 2020
Su  Mo  Tu  We  Th  Fr  Sa
            [ 1]  2   3 [ 4]
[ 5]  6   7   8   9  10 [11]
[12] 13  14  15  16  17 [18]
[19][20] 21  22  23  24 [25]
[26] 27  28  29  30  31

Frequently Asked Questions

Why are open times one minute late?

Due to its historical use in the Zipline backtesting system, trading_calendars will only indicate a market is open upon the completion of the first minute bar in a day. Zipline uses minute bars labeled with the end of the bar, e.g. 9:31AM for 9:30-9:31AM. As an example, on a regular trading day for NYSE:

• 9:30:00 is treated as closed.
• 9:30:01 is treated as closed.
• 9:31:00 is the first time treated as open.
• 16:00:00 is treated as open
• 16:00:01 is treated as closed

This may change in the future.

Calendar Support

Exchange	ISO Code	Country	Version Added	Exchange Website (English)
New York Stock Exchange	XNYS	USA	1.0	https://www.nyse.com/index
CBOE Futures	XCBF	USA	1.0	https://markets.cboe.com/us/futures/overview/
Chicago Mercantile Exchange	CMES	USA	1.0	https://www.cmegroup.com/
ICE US	IEPA	USA	1.0	https://www.theice.com/index
Toronto Stock Exchange	XTSE	Canada	1.0	https://www.tsx.com/
BMF Bovespa	BVMF	Brazil	1.0	http://www.b3.com.br/en_us/
London Stock Exchange	XLON	England	1.0	https://www.londonstockexchange.com/home/homepage.htm
Euronext Amsterdam	XAMS	Netherlands	1.2	https://www.euronext.com/en/regulation/amsterdam
Euronext Brussels	XBRU	Belgium	1.2	https://www.euronext.com/en/regulation/brussels
Euronext Lisbon	XLIS	Portugal	1.2	https://www.euronext.com/en/regulation/lisbon
Euronext Paris	XPAR	France	1.2	https://www.euronext.com/en/regulation/paris
Frankfurt Stock Exchange	XFRA	Germany	1.2	http://en.boerse-frankfurt.de/
SIX Swiss Exchange	XSWX	Switzerland	1.2	https://www.six-group.com/exchanges/index.html
Tokyo Stock Exchange	XTKS	Japan	1.2	https://www.jpx.co.jp/english/
Austrialian Securities Exchange	XASX	Australia	1.3	https://www.asx.com.au/
Bolsa de Madrid	XMAD	Spain	1.3	http://www.bolsamadrid.es/ing/aspx/Portada/Portada.aspx
Borsa Italiana	XMIL	Italy	1.3	https://www.borsaitaliana.it/homepage/homepage.en.htm
New Zealand Exchange	XNZE	New Zealand	1.3	https://www.nzx.com/
Wiener Borse	XWBO	Austria	1.3	https://www.wienerborse.at/en/
Hong Kong Stock Exchange	XHKG	Hong Kong	1.3	https://www.hkex.com.hk/?sc_lang=en
Copenhagen Stock Exchange	XCSE	Denmark	1.4	http://www.nasdaqomxnordic.com/
Helsinki Stock Exchange	XHEL	Finland	1.4	http://www.nasdaqomxnordic.com/
Stockholm Stock Exchange	XSTO	Sweden	1.4	http://www.nasdaqomxnordic.com/
Oslo Stock Exchange	XOSL	Norway	1.4	https://www.oslobors.no/ob_eng/
Irish Stock Exchange	XDUB	Ireland	1.4	http://www.ise.ie/
Bombay Stock Exchange	XBOM	India	1.5	https://www.bseindia.com
Singapore Exchange	XSES	Singapore	1.5	https://www.sgx.com
Shanghai Stock Exchange	XSHG	China	1.5	http://english.sse.com.cn
Korea Exchange	XKRX	South Korea	1.6	http://global.krx.co.kr
Iceland Stock Exchange	XICE	Iceland	1.7	http://www.nasdaqomxnordic.com/
Poland Stock Exchange	XWAR	Poland	1.9	http://www.gpw.pl
Santiago Stock Exchange	XSGO	Chile	1.9	http://inter.bolsadesantiago.com/sitios/en/Paginas/home.aspx
Colombia Securities Exchange	XBOG	Colombia	1.9	https://www.bvc.com.co/nueva/index_en.html
Mexican Stock Exchange	XMEX	Mexico	1.9	https://www.bmv.com.mx
Lima Stock Exchange	XLIM	Peru	1.9	https://www.bvl.com.pe
Prague Stock Exchange	XPRA	Czech Republic	1.9	https://www.pse.cz/en/
Budapest Stock Exchange	XBUD	Hungary	1.10	https://bse.hu/
Athens Stock Exchange	ASEX	Greece	1.10	http://www.helex.gr/
Istanbul Stock Exchange	XIST	Turkey	1.10	https://www.borsaistanbul.com/en/
Johannesburg Stock Exchange	XJSE	South Africa	1.10	https://www.jse.co.za/z
Malaysia Stock Exchange	XKLS	Malaysia	1.11	http://www.bursamalaysia.com/market/
Moscow Exchange	XMOS	Russia	1.11	https://www.moex.com/en/
Philippine Stock Exchange	XPHS	Philippines	1.11	https://www.pse.com.ph/stockMarket/home.html
Stock Exchange of Thailand	XBKK	Thailand	1.11	https://www.set.or.th/set/mainpage.do?language=en&country=US
Indonesia Stock Exchange	XIDX	Indonesia	1.11	https://www.idx.co.id/
Taiwan Stock Exchange Corp.	XTAI	Taiwan	1.11	https://www.twse.com.tw/en/
Buenos Aires Stock Exchange	XBUE	Argentina	1.11	https://www.bcba.sba.com.ar/
Pakistan Stock Exchange	XKAR	Pakistan	1.11	https://www.psx.com.pk/

Note that exchange calendars are defined by their ISO-10383 market identifier code.