Create Holiday Calendar for NYSE Stock Market

[cancan101]

Using new code in #6719

See: http://www.nyx.com/holidays-and-hours/nyse
and with some guidlines: http://www.investmentcontrarians.com/nyse-2013-stock-market-holidays/

[rockg]

I believe @jreback was inclined to not have any calendars specified in pandas. I would see a benefit to having widely used calendars in pandas so work isn't reproduced and the community can use a blessed calendar definition. Now, the trick is to determine what is 'widely used.'

[jreback]

I suppose something like: https://github.com/pydata/pandas/blob/master/pandas/io/date_converters.py

would be ok, sort of a community contributed 'list' of holiday calendars; would not be imported into any pandas namespace (but would need some minimal tests).

[rockg]

@cancan101, as we discussed awhile back when we were creating the calendars how should the half-day holidays be represented? Should there be hourly granularity or simply knowing the day? Or should there be two calendars...one with the holidays as full days and one with half. How would you use this in practice which I guess will make the choice obvious?

[cancan101]

To start with I think the most useful calendar is full market holidays (ie
when the market is closed for the entire day).

Half days can be deferred.
On May 9, 2014 8:35 AM, "rockg" notifications@github.com wrote:

@cancan101 https://github.com/cancan101, as we discussed awhile back
when we were creating the calendars how should the half-day holidays be
represented? Should there be hourly granularity or simply knowing the day?
Or should there be two calendars...one with the holidays as full days and
one with half. How would you use this in practice which I guess will make
the choice obvious?

—
Reply to this email directly or view it on GitHubhttps://github.com//issues/7070#issuecomment-42660918
.

[MichaelWS]

I am not sure if this should be implemented in pandas. There will be constant pull requests for changes and zipline has it already

[cancan101]

Why do you think that there will be constant PRs for changes?
Is the Zipline implementation usable as a Pandas Custom BDay offset?

[MichaelWS]

Well, there would be a PR request for every new holiday or exchange closing that was not scheduled.
I am not sure where this should be. If anyone wants to work with me, I would open source a trading calendar. Where would we put it?
Here's zipline's implementation
https://github.com/quantopian/zipline/blob/master/zipline/utils/tradingcalendar.py

[MichaelWS]

I think half days should be separate, i.e. list of half days and list of holidays

[cancan101]

I actually have my reservation about combining the lists of scheduled and unscheduled holidays: quantopian/zipline#334.

I think adding rules for scheduled holidays (which change infrequently) is reasonable.

[jreback]

You have to remember, that a user can always sub-class the Holiday Calenders and add/modify as needed.

[rockg]

I find the current holiday implementation in pandas to be very concise and effective (instead of >400 lines, it can probably be done in about 20 as all the rrule stuff is abstracted away and the scheduled holidays would be 9 lines, equal to the number of holidays). @MichaelWS, are you suggesting making a Holiday package? I think that would be fine, but I would strongly suggest we use HolidayCalendar in pandas as the basis.