zipline中TradingCalendar源码分析
1 TradingCalendar 交易日历
交易日历是市场交易日的集合,提供市场交易数据的时间序列,用于交易日的判断、交易数据的时序索引。
zipline提供了NYSE(美国纽交所交易日历)、CME (芝加哥商品交易所交易日历 )、ICE(洲际交易所交易日历)、us_futures (美国期货交易日历)。
我们所作的源码分析主要用于国内证券市场的交易日历的定制开发。
2 依赖项
我们打开utils/tradingcalendar.py文件,跳过头部的授权信息,分析tradingcalendar.py的依赖项。
import pandas as pd # 数据分析包
import pytz # 时区的转换,配合datetime使用
# import warnings
from datetime import datetime # 日期和时间
from dateutil import rrule # 解析和生成时间
from functools import partial # 工具函数
3 canonicalize_datetime 时间进行格式化转换
start = pd.Timestamp('1990-01-01', tz='UTC') # 开始时间
end_base = pd.Timestamp('today', tz='UTC') # 结束的基准
# Give an aggressive buffer for logic that needs to use the next trading
# day or minute.
end = end_base + pd.Timedelta(days=365) # 结束时间:当天的下一年
canonicalize_datetime 对时间进行格式化转换,转换后的格式为:YY:MM:DD UTC
def canonicalize_datetime(dt):
# Strip out any HHMMSS or timezone info in the user's datetime, so that
# all the datetimes we return will be 00:00:00 UTC.
return datetime(dt.year, dt.month, dt.day, tzinfo=pytz.utc)
4 get_non_trading_days 获取非交易日
我们先来了解下dateutil.rrule,这个函数用来计算出两个datetime对象间相差的年月日等时间数量,根据输入的规则来生成datetime,这个关键参数说明如下:
参数 | 说明 |
---|---|
freq | 可以理解为单位。可以是 YEARLY, MONTHLY, WEEKLY,DAILY, HOURLY, MINUTELY, SECONDLY。即年月日周时分秒 |
byxxx | 指定匹配的周期。比如byweekday=(MO,TU)则只有周一周二的匹配。byweekday可以指定MO,TU,WE,TH,FR,SA,SU。即周一到周日 |
dtstart | 开始时间 |
until | 结束时间 |
get_non_trading_days 获取输入的时段(开始日期、结束日期)内的非交易日
def get_non_trading_days(start, end):
non_trading_rules = []
start = canonicalize_datetime(start) # 开始日期
end = canonicalize_datetime(end) # 结束日期
weekends = rrule.rrule( # 找出非交易日:周末
rrule.YEARLY,
byweekday=(rrule.SA, rrule.SU), # 匹配周六、周日
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(weekends)
new_years = rrule.rrule( # 新年
rrule.MONTHLY,
byyearday=1, # 年的第1天
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(new_years)
new_years_sunday = rrule.rrule( # 新年为周日,星期一是非交易日
rrule.MONTHLY,
byyearday=2,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(new_years_sunday)
mlk_day = rrule.rrule( # 马丁·路德·金纪念日,每年一月的第三个星期一
rrule.MONTHLY,
bymonth=1,
byweekday=(rrule.MO(+3)),
cache=True,
dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
until=end
)
non_trading_rules.append(mlk_day)
presidents_day = rrule.rrule( # 总统日,每年二月的第三个星期一
rrule.MONTHLY,
bymonth=2,
byweekday=(rrule.MO(3)),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(presidents_day)
good_friday = rrule.rrule( # 耶稣受难日
rrule.DAILY,
byeaster=-2,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(good_friday)
memorial_day = rrule.rrule( # 阵亡将士纪念日,5月的最后一个星期一
rrule.MONTHLY,
bymonth=5,
byweekday=(rrule.MO(-1)),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(memorial_day)
july_4th = rrule.rrule( # 美国独立日,七月四日
rrule.MONTHLY,
bymonth=7,
bymonthday=4,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_4th)
july_4th_sunday = rrule.rrule( # 美国独立日为周六时,后一天周五为非交易日
rrule.MONTHLY,
bymonth=7,
bymonthday=5,
byweekday=rrule.MO,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_4th_sunday)
july_4th_saturday = rrule.rrule( # 美国独立日为周六时,前一天周五为非交易日
rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=rrule.FR,
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(july_4th_saturday)
labor_day = rrule.rrule( # 劳工节,9月的第一个星期一
rrule.MONTHLY,
bymonth=9,
byweekday=(rrule.MO(1)),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(labor_day)
thanksgiving = rrule.rrule( # 感恩节,11月的第四个星期四
rrule.MONTHLY,
bymonth=11,
byweekday=(rrule.TH(4)),
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(thanksgiving)
christmas = rrule.rrule( # 圣诞节
rrule.MONTHLY,
bymonth=12, # 12月
bymonthday=25, # 25日
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas)
christmas_sunday = rrule.rrule( # 圣诞节是周日时,后一天周一为非交易日
rrule.MONTHLY,
bymonth=12, # 12月
bymonthday=26, # 26日
byweekday=rrule.MO, # 周一
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_sunday)
# If Christmas is a Saturday then 24th, a Friday is observed.
christmas_saturday = rrule.rrule( # 圣诞节是周六时,前一天周五为非交易日
rrule.MONTHLY,
bymonth=12, # 12月
bymonthday=24, # 24日
byweekday=rrule.FR, # 周五
cache=True,
dtstart=start,
until=end
)
non_trading_rules.append(christmas_saturday)
non_trading_ruleset = rrule.rruleset()
for rule in non_trading_rules:
non_trading_ruleset.rrule(rule)
non_trading_days = non_trading_ruleset.between(start, end, inc=True)
# 由于911恐怖袭击,美国股市2001年9月11日没有开盘,直到2001年9月17日才重新开放。
# Add September 11th closings
# http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
# Due to the terrorist attacks, the stock market did not open on 9/11/2001
# It did not open again until 9/17/2001.
#
# September 2001
# 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
for day_num in range(11, 17):
non_trading_days.append(
datetime(2001, 9, day_num, tzinfo=pytz.utc))
# 2012年飓风桑迪造成的关闭,10月29日和10月30日关闭,10月31日重新开放
# Add closings due to Hurricane Sandy in 2012
# http://en.wikipedia.org/wiki/Hurricane_sandy
#
# The stock exchange was closed due to Hurricane Sandy's
# impact on New York.
# It closed on 10/29 and 10/30, reopening on 10/31
# October 2012
# 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
for day_num in range(29, 31):
non_trading_days.append(
datetime(2012, 10, day_num, tzinfo=pytz.utc))
# 美国全国哀悼日
# Misc closings from NYSE listing.
# http://www.nyse.com/pdfs/closings.pdf
#
# National Days of Mourning
# - President Richard Nixon 理查德·尼克松总统
non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
# - President Ronald W. Reagan - June 11, 2004 里根总统
non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
# - President Gerald R. Ford - Jan 2, 2007 杰拉尔德总统
non_trading_days.append(datetime(2007, 1, 2, tzinfo=pytz.utc))
non_trading_days.sort()
return pd.DatetimeIndex(non_trading_days) # 返回非交易日的时序索引
non_trading_days = get_non_trading_days(start, end) # 非交易日
5 get_trading_days 获取交易日
trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days) # 设置交易日的特定假期
get_trading_days 获取输入的时段(开始日期、结束日期)内的交易日
def get_trading_days(start, end, trading_day=trading_day):
return pd.date_range(start=start.date(),
end=end.date(),
freq=trading_day).tz_localize('UTC')
trading_days = get_trading_days(start, end) # 交易日
6 get_early_closes 获取提前收市交易日
get_early_closes 获取输入的时段(开始日期、结束日期)内的提前收市交易日
def get_early_closes(start, end):
# 1:00 PM close rules based on 下午1点收市的规则:
# http://quant.stackexchange.com/questions/4083/nyse-early-close-rules-july-4th-and-dec-25th # noqa
# and verified against http://www.nyse.com/pdfs/closings.pdf
# These rules are valid starting in 1993 这些规则从1993年开始生效
start = canonicalize_datetime(start)
end = canonicalize_datetime(end)
start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc)) # 1993年后
end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
# Not included here are early closes prior to 1993
# or unplanned early closes
early_close_rules = []
day_after_thanksgiving = rrule.rrule(
rrule.MONTHLY,
bymonth=11, # 11日
# 4th Friday isn't correct if month starts on Friday, so restrict to
# day range:
byweekday=(rrule.FR),
bymonthday=range(23, 30),
cache=True,
dtstart=start,
until=end
)
early_close_rules.append(day_after_thanksgiving)
christmas_eve = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=24,
byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH),
cache=True,
dtstart=start,
until=end
)
early_close_rules.append(christmas_eve)
friday_after_christmas = rrule.rrule(
rrule.MONTHLY,
bymonth=12,
bymonthday=26,
byweekday=rrule.FR,
cache=True,
dtstart=start,
# valid 1993-2007
until=min(end, datetime(2007, 12, 31, tzinfo=pytz.utc))
)
early_close_rules.append(friday_after_christmas)
day_before_independence_day = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=(rrule.MO, rrule.TU, rrule.TH),
cache=True,
dtstart=start,
until=end
)
early_close_rules.append(day_before_independence_day)
day_after_independence_day = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=5,
byweekday=rrule.FR,
cache=True,
dtstart=start,
# starting in 2013: wednesday before independence day
until=min(end, datetime(2012, 12, 31, tzinfo=pytz.utc))
)
early_close_rules.append(day_after_independence_day)
wednesday_before_independence_day = rrule.rrule(
rrule.MONTHLY,
bymonth=7,
bymonthday=3,
byweekday=rrule.WE,
cache=True,
# starting in 2013
dtstart=max(start, datetime(2013, 1, 1, tzinfo=pytz.utc)),
until=max(end, datetime(2013, 1, 1, tzinfo=pytz.utc))
)
early_close_rules.append(wednesday_before_independence_day)
early_close_ruleset = rrule.rruleset()
for rule in early_close_rules:
early_close_ruleset.rrule(rule)
early_closes = early_close_ruleset.between(start, end, inc=True)
# Misc early closings from NYSE listing.
# http://www.nyse.com/pdfs/closings.pdf
#
# New Year's Eve
nye_1999 = datetime(1999, 12, 31, tzinfo=pytz.utc)
if start <= nye_1999 and nye_1999 <= end:
early_closes.append(nye_1999)
early_closes.sort()
return pd.DatetimeIndex(early_closes)
early_closes = get_early_closes(start, end)
7 get_open_and_close 获取交易日开盘、收盘时间
get_open_and_close 获取输入交易日的开盘、收盘时间
def get_open_and_close(day, early_closes):
market_open = pd.Timestamp( # 开盘时间9点31分
datetime(
year=day.year,
month=day.month,
day=day.day,
hour=9,
minute=31),
tz='US/Eastern').tz_convert('UTC')
# 1 PM if early close, 4 PM otherwise 收盘时间,提前收市是下午1点,正常收市是下午4点
close_hour = 13 if day in early_closes else 16
market_close = pd.Timestamp(
datetime(
year=day.year,
month=day.month,
day=day.day,
hour=close_hour),
tz='US/Eastern').tz_convert('UTC')
return market_open, market_close
8 get_open_and_closes 获取交易时序开盘和收盘时间
get_open_and_closes 获取输入交易时序对应的开盘和收盘时间
def get_open_and_closes(trading_days, early_closes, get_open_and_close):
open_and_closes = pd.DataFrame(index=trading_days,
columns=('market_open', 'market_close'))
get_o_and_c = partial(get_open_and_close, early_closes=early_closes)
open_and_closes['market_open'], open_and_closes['market_close'] = \
zip(*open_and_closes.index.map(get_o_and_c))
return open_and_closes
open_and_closes = get_open_and_closes(trading_days, early_closes,
get_open_and_close)