14.3 Trading Calendar

Trading Calendar 可以用于一下几个场景：

• Resample 将日频数据转化为周频数据，并且用每周的最后一个交易日数据作为这周的数据值

• 日内及日频数据重采样的时候，涉及非常规开市、收市的情况，可通过Trading Calendar 进行特殊情况的设定

• 时区对齐

Trading Calendar Interface

class TradingCalendarBase(with_metaclass(MetaParams, object)):
    def _nextday(self, day):
        '''
        Returns the next trading day (datetime/date instance) after ``day``
        (datetime/date instance) and the isocalendar components

        The return value is a tuple with 2 components: (nextday, (y, w, d))
        where (y, w, d)
        '''
        raise NotImplementedError

    def schedule(self, day):
        '''
        Returns a tuple with the opening and closing times (``datetime.time``)
        for the given ``date`` (``datetime/date`` instance)
        '''
        raise NotImplementedError

Implementations

PandasMarketCalendar

class PandasMarketCalendar(TradingCalendarBase):
    '''
    Wrapper of ``pandas_market_calendars`` for a trading calendar. The package
    ``pandas_market_calendar`` must be installed

    Params:

      - ``calendar`` (default ``None``)

        The param ``calendar`` accepts the following:

        - string: the name of one of the calendars supported, for example
          `NYSE`. The wrapper will attempt to get a calendar instance

        - calendar instance: as returned by ``get_calendar('NYSE')``

      - ``cachesize`` (default ``365``)

        Number of days to cache in advance for lookup

    See also:

      -   https://github.com/rsheftel/pandas_market_calendars

      - http://pandas-market-calendars.readthedocs.io/

    '''
    params = (
        ('calendar', None),  # A pandas_market_calendars instance or exch name
        ('cachesize', 365),  # Number of days to cache in advance
    )

TradingCalendar

This implementation allows to construct a calendar using self-gathered information by specifying the holidays, early days, non-trading weekdays and the opening and closing session times:

class TradingCalendar(TradingCalendarBase):
    '''
    Wrapper of   ``pandas_market_calendars`` for a trading calendar. The package
    ``pandas_market_calendar`` must be installed

    Params:

      - ``open`` (default ``time.min``)

        Regular start of the session

      - ``close`` (default ``time.max``)

        Regular end of the session

      - ``holidays`` (default ``[]``)

        List of non-trading days (``datetime.datetime`` instances)

      - ``earlydays`` (default ``[]``)

        List of tuples determining the date and opening/closing times of days
        which do not conform to the regular trading hours where each tuple has
        (``datetime.datetime``, ``datetime.time``, ``datetime.time`` )

      - ``offdays`` (default ``ISOWEEKEND``)

        A list of weekdays in ISO format (Monday: 1 -> Sunday: 7) in which the
        market doesn't trade. This is usually Saturday and Sunday and hence the
        default

    '''
    params = (
        ('open', time.min),
        ('close', _time_max),
        ('holidays', []),  # list of non trading days (date)
        ('earlydays', []),  # list of tuples (date, opentime, closetime)
        ('offdays', ISOWEEKEND),  # list of non trading (isoweekdays)
    )

Usage pattern

Global Trading Calendar

Via Cerebro one can add a global calendar which is the default for all data feeds, unless one is specified for the data feed:

def addcalendar(self, cal):
    '''Adds a global trading calendar to the system. Individual data feeds
    may have separate calendars which override the global one

    ``cal`` can be an instance of ``TradingCalendar`` a string or an
    instance of ``pandas_market_calendars``. A string will be will be
    instantiated as a ``PandasMarketCalendar`` (which needs the module
    ``pandas_market_calendar`` installed in the system.

    If a subclass of `TradingCalendarBase` is passed (not an instance) it
    will be instantiated
    '''

Per data-feed

...
data = bt.feeds.YahooFinanceData(dataname='YHOO', calendar='NYSE', ...)
cerebro.adddata(data)
...

The first datetime, the one belonging to the strategy, is always in a different timezone which is actually UTC. Also with this release 1.9.42.116 this can be synchronized. The following parameter has been added to Cerebro (use either during instantiation or with cerebro.run

• tz (default: None)

  Adds a global timezone for strategies. The argument tz can be

  • None: in this case the datetime displayed by strategies will be
    in UTC, which has been always the standard behavior

  • pytz instance. It will be used as such to convert UTC times to
    the chosen timezone

  • string. Instantiating a pytz instance will be attempted.

  • integer. Use, for the strategy, the same timezone as the
    corresponding data in the self.datas iterable (0 would
    use the timezone from data0)

It is also supported with the cerebro.addtz method:

def addtz(self, tz):
    '''
    This can also be done with the parameter ``tz``

    Adds a global timezone for strategies. The argument ``tz`` can be

      - ``None``: in this case the datetime displayed by strategies will be
        in UTC, which has been always the standard behavior

      - ``pytz`` instance. It will be used as such to convert UTC times to
        the chosen timezone

      - ``string``. Instantiating a ``pytz`` instance will be attempted.

      - ``integer``. Use, for the strategy, the same timezone as the
        corresponding ``data`` in the ``self.datas`` iterable (``0`` would
        use the timezone from ``data0``)

    '''