与熊猫创建交易假期日历

Question

我正在尝试使用熊猫创建交易日历。我能够基于USFederalHolidayCalendar创建一个cal实例。USFederalHolidayCalendar与交易日历不一致，因为交易日历不包括哥伦布日和退伍军人节。但是，交易日历包括耶稣受难日（不包括在USFederalHolidayCalendar中）。以下代码中除最后一行外的所有内容均有效：

from pandas.tseries.holiday import get_calendar, HolidayCalendarFactory, GoodFriday
from datetime import datetime

cal = get_calendar('USFederalHolidayCalendar')  # Create calendar instance
cal.rules.pop(7)                                # Remove Veteran's Day rule
cal.rules.pop(6)                                # Remove Columbus Day rule
tradingCal = HolidayCalendarFactory('TradingCalendar', cal, GoodFriday)

tradingCal实例似乎可以正常运行，因为我能够查看“假日”规则。

In[10]: tradingCal.rules
Out[10]: 
[Holiday: Labor Day (month=9, day=1, offset=<DateOffset: kwds={'weekday': MO(+1)}>),
 Holiday: Presidents Day (month=2, day=1, offset=<DateOffset: kwds={'weekday': MO(+3)}>),
 Holiday: Good Friday (month=1, day=1, offset=[<Easter>, <-2 * Days>]),
 Holiday: Dr. Martin Luther King Jr. (month=1, day=1, offset=<DateOffset: kwds={'weekday': MO(+3)}>),
 Holiday: New Years Day (month=1, day=1, observance=<function nearest_workday at 0x000000000A190BA8>),
 Holiday: Thanksgiving (month=11, day=1, offset=<DateOffset: kwds={'weekday': TH(+4)}>),
 Holiday: July 4th (month=7, day=4, observance=<function nearest_workday at 0x000000000A190BA8>),
 Holiday: Christmas (month=12, day=25, observance=<function nearest_workday at 0x000000000A190BA8>),
 Holiday: MemorialDay (month=5, day=31, offset=<DateOffset: kwds={'weekday': MO(-1)}>)]

当我尝试列出日期范围内的假期时，出现以下错误：

In[11]: tradingCal.holidays(datetime(2014, 12, 31), datetime(2016, 12, 31))
Traceback (most recent call last):
  File "C:\Python27\lib\site-packages\IPython\core\interactiveshell.py", line 3035, in run_code
    exec(code_obj, self.user_global_ns, self.user_ns)
  File "<ipython-input-12-2708cd2db7a0>", line 1, in <module>
    tradingCal.holidays(datetime(2014, 12, 31), datetime(2016, 12, 31))
TypeError: unbound method holidays() must be called with TradingCalendar instance as first argument (got datetime instance instead)

有任何想法吗？

Answer 1

从头开始创建交易日历可能更直接，例如：

import datetime as dt

from pandas.tseries.holiday import AbstractHolidayCalendar, Holiday, nearest_workday, \
    USMartinLutherKingJr, USPresidentsDay, GoodFriday, USMemorialDay, \
    USLaborDay, USThanksgivingDay


class USTradingCalendar(AbstractHolidayCalendar):
    rules = [
        Holiday('NewYearsDay', month=1, day=1, observance=nearest_workday),
        USMartinLutherKingJr,
        USPresidentsDay,
        GoodFriday,
        USMemorialDay,
        Holiday('USIndependenceDay', month=7, day=4, observance=nearest_workday),
        USLaborDay,
        USThanksgivingDay,
        Holiday('Christmas', month=12, day=25, observance=nearest_workday)
    ]


def get_trading_close_holidays(year):
    inst = USTradingCalendar()

    return inst.holidays(dt.datetime(year-1, 12, 31), dt.datetime(year, 12, 31))


if __name__ == '__main__':
    print(get_trading_close_holidays(2016))
    #    DatetimeIndex(['2016-01-01', '2016-01-18', '2016-02-15', '2016-03-25',
    #                   '2016-05-30', '2016-07-04', '2016-09-05', '2016-11-24',
    #                   '2016-12-26'],
    #                  dtype='datetime64[ns]', freq=None)