LDA/NYSE_tradingdays.py at master · RayLei/LDA · GitHub

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from dateutil import rrule
import datetime

# Generate ruleset for holiday observances on the NYSE

def NYSE_holidays(a=datetime.date.today(), b=datetime.date.today()+datetime.timedelta(days=365)):
    rs = rrule.rruleset()

    # Include all potential holiday observances
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=31, byweekday=rrule.FR)) # New Years Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, bymonthday= 1))                     # New Years Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, bymonthday= 2, byweekday=rrule.MO)) # New Years Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 1, byweekday= rrule.MO(3)))            # Martin Luther King Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 2, byweekday= rrule.MO(3)))            # Washington's Birthday
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, byeaster= -2))                                  # Good Friday
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 5, byweekday= rrule.MO(-1)))           # Memorial Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 3, byweekday=rrule.FR)) # Independence Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 4))                     # Independence Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 7, bymonthday= 5, byweekday=rrule.MO)) # Independence Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth= 9, byweekday= rrule.MO(1)))            # Labor Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=11, byweekday= rrule.TH(4)))            # Thanksgiving Day
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=24, byweekday=rrule.FR)) # Christmas
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=25))                     # Christmas
    rs.rrule(rrule.rrule(rrule.YEARLY, dtstart=a, until=b, bymonth=12, bymonthday=26, byweekday=rrule.MO)) # Christmas

    # Exclude potential holidays that fall on weekends
    rs.exrule(rrule.rrule(rrule.WEEKLY, dtstart=a, until=b, byweekday=(rrule.SA,rrule.SU)))

    return rs

# Generate ruleset for NYSE trading days

def NYSE_tradingdays(a=datetime.date.today(), b=datetime.date.today()+datetime.timedelta(days=365)):
    rs = rrule.rruleset()
    rs.rrule(rrule.rrule(rrule.DAILY, dtstart=a, until=b))

    # Exclude weekends and holidays
    rs.exrule(rrule.rrule(rrule.WEEKLY, dtstart=a, byweekday=(rrule.SA,rrule.SU)))
    rs.exrule(NYSE_holidays(a,b))

    return rs

# Examples

# List all NYSE holiday observances for the coming year
#print "NYSE Holidays\n"
#for dy in NYSE_holidays():
#    print dy.strftime('%b %d %Y')
#
## Count NYSE trading days in next 5 years
#print "\n\nTrading Days\n"
#for yr in range(2015,2020):
#    tdays = len(list(NYSE_tradingdays(datetime.datetime(yr,1,1),datetime.datetime(yr,12,31))))
#    print "{0}  {1}".format(yr,tdays)