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Problems with NYSE calendar - Xmas eve 1945 and 1956 #196

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cactus1549 opened this issue Dec 4, 2020 · 1 comment · May be fixed by #204
Open

Problems with NYSE calendar - Xmas eve 1945 and 1956 #196

cactus1549 opened this issue Dec 4, 2020 · 1 comment · May be fixed by #204
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bug Something isn't working

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@cactus1549
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This is related to #147 .

I am backtesting with data going back to 1900. If I do:

import pandas as pd
from pytz import UTC
from trading_calendars.exchange_calendar_xnys import XNYSExchangeCalendar

start =  pd.Timestamp('1900-01-02', tz=UTC)
tcal = XNYSExchangeCalendar(start=start)

I get the following errors:

(zipline) xxx@yyy:~/qa/trader$  cd /home/xxx/qa/trader ; /usr/bin/env /home/xxx/anaconda3/envs/zipline/bin/python /home/xxx/.vscode/extensions/ms-python.python-2020.11.371526539/pythonFiles/lib/python/debugpy/launcher 33469 -- /home/xxx/qa/zipline-test/test_trading_calendar.py 
Traceback (most recent call last):
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/runpy.py", line 193, in _run_module_as_main
    "__main__", mod_spec)
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/runpy.py", line 85, in _run_code
    exec(code, run_globals)
  File "/home/xxx/.vscode/extensions/ms-python.python-2020.11.371526539/pythonFiles/lib/python/debugpy/__main__.py", line 45, in <module>
    cli.main()
  File "/home/xxx/.vscode/extensions/ms-python.python-2020.11.371526539/pythonFiles/lib/python/debugpy/../debugpy/server/cli.py", line 430, in main
    run()
  File "/home/xxx/.vscode/extensions/ms-python.python-2020.11.371526539/pythonFiles/lib/python/debugpy/../debugpy/server/cli.py", line 267, in run_file
    runpy.run_path(options.target, run_name=compat.force_str("__main__"))
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/runpy.py", line 263, in run_path
    pkg_name=pkg_name, script_name=fname)
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/runpy.py", line 96, in _run_module_code
    mod_name, mod_spec, pkg_name, script_name)
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/runpy.py", line 85, in _run_code
    exec(code, run_globals)
  File "/home/xxx/qa/zipline-test/test_trading_calendar.py", line 8, in <module>
    tcal = XNYSExchangeCalendar(start=start)
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/site-packages/trading_calendars/trading_calendar.py", line 143, in __init__
    _overwrite_special_dates(_all_days, self._closes, _special_closes)
  File "/home/xxx/anaconda3/envs/zipline/lib/python3.6/site-packages/trading_calendars/trading_calendar.py", line 1199, in _overwrite_special_dates
    raise ValueError("Special dates %s are not trading days." % bad_dates)
ValueError: Special dates [Timestamp('1945-12-24 19:00:00+0000', tz='UTC'), Timestamp('1956-12-24 19:00:00+0000', tz='UTC')] are not trading days.
@gerrymanoim
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Ah interesting. So this is an interaction between

ChristmasEvesAdhoc = [
    Timestamp("1945-12-24", tz="UTC"),
    Timestamp("1956-12-24", tz="UTC"),
]

and

# NYSE closed at 2:00 PM on Christmas Eve until 1993.
ChristmasEveBefore1993 = Holiday(
    "Christmas Eve",
    month=12,
    day=24,
    end_date=Timestamp("1993-01-01"),
    # When Christmas is a Saturday, the 24th is a full holiday.
    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY),
)

So I think ChristmasEveBefore1993 just needs to be split apart to cover these cases.

@gerrymanoim gerrymanoim added the bug Something isn't working label Dec 23, 2020
@gerrymanoim gerrymanoim linked a pull request Dec 23, 2020 that will close this issue
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@maread99 maread99 mentioned this issue Jun 22, 2021
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