Merge pull request #73 from quantopian/peru

Peru Calendar
quantopian · Sep 23, 2019 · 341668f · 341668f
2 parents 08e1b57 + 233c219
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diff --git a/README.md b/README.md
@@ -37,6 +37,7 @@ A Python library of exchange calendars meant to be used with [Zipline](https://g
 | Santiago Stock Exchange         | XSGO     | Chile       | *             | http://inter.bolsadesantiago.com/sitios/en/Paginas/home.aspx |
 | Colombia Securities Exchange    | XBOG     | Colombia    | *             | https://www.bvc.com.co/nueva/index_en.html                   |
 | Mexican Stock Exchange          | XMEX     | Mexico      | *             | https://www.bmv.com.mx                                       |
+| Lima Stock Exchange             | XLIM     | Peru        | *             | https://www.bvl.com.pe                                       |
 
 Calendars marked with an asterisk (*) have not yet been released.
 

diff --git a/tests/resources/xlim.csv b/tests/resources/xlim.csv
diff --git a/tests/test_xlim_calendar.py b/tests/test_xlim_calendar.py
@@ -0,0 +1,117 @@
+from unittest import TestCase
+
+import pandas as pd
+from pytz import UTC
+
+from trading_calendars.exchange_calendar_xlim import XLIMExchangeCalendar
+
+from .test_trading_calendar import NoDSTExchangeCalendarTestBase
+
+
+class XLIMCalendarTestCase(NoDSTExchangeCalendarTestBase, TestCase):
+
+    answer_key_filename = 'xlim'
+    calendar_class = XLIMExchangeCalendar
+
+    # The XLIM is open from 9:00AM to 4:00PM.
+    MAX_SESSION_HOURS = 7
+
+    HAVE_EARLY_CLOSES = False
+
+    def test_regular_holidays(self):
+        all_sessions = self.calendar.all_sessions
+
+        expected_holidays = [
+            pd.Timestamp('2019-01-01', tz=UTC),  # New Year's Day
+            pd.Timestamp('2019-04-18', tz=UTC),  # Maundy Thursday
+            pd.Timestamp('2019-04-19', tz=UTC),  # Good Friday
+            pd.Timestamp('2019-05-01', tz=UTC),  # Labour Day
+            pd.Timestamp('2018-06-29', tz=UTC),  # St. Peter and St. Paul Day
+            pd.Timestamp('2016-07-28', tz=UTC),  # Independence Day 1
+            pd.Timestamp('2016-07-29', tz=UTC),  # Independence Day 2
+            pd.Timestamp('2019-08-30', tz=UTC),  # Santa Rosa
+            pd.Timestamp('2019-10-08', tz=UTC),  # Battle of Angamos
+            pd.Timestamp('2019-11-01', tz=UTC),  # All Saints' Day
+            pd.Timestamp('2017-12-08', tz=UTC),  # Immaculate Conception
+            pd.Timestamp('2019-12-25', tz=UTC),  # Christmas Day
+        ]
+
+        for holiday_label in expected_holidays:
+            self.assertNotIn(holiday_label, all_sessions)
+
+    def test_holidays_fall_on_weekend(self):
+        all_sessions = self.calendar.all_sessions
+
+        # All holidays falling on a weekend should not be made up, so verify
+        # that the surrounding Fridays/Mondays are trading days.
+        expected_sessions = [
+            # New Year's Day on a Sunday.
+            pd.Timestamp('2016-12-30', tz=UTC),
+            pd.Timestamp('2017-01-02', tz=UTC),
+            # Labour Day (May 1st) on a Sunday.
+            pd.Timestamp('2016-04-29', tz=UTC),
+            pd.Timestamp('2016-05-02', tz=UTC),
+            # Saint Peter and Saint Paul Day (June 29th) on a Saturday.
+            pd.Timestamp('2019-06-28', tz=UTC),
+            pd.Timestamp('2019-07-01', tz=UTC),
+            # Independence Days (July 28th and 29th) on a Saturday and Sunday.
+            pd.Timestamp('2018-07-27', tz=UTC),
+            pd.Timestamp('2018-07-30', tz=UTC),
+            # Santa Rosa (August 30th) on a Sunday.
+            pd.Timestamp('2015-08-28', tz=UTC),
+            pd.Timestamp('2015-08-31', tz=UTC),
+            # Battle of Angamos (October 8th) on a Sunday.
+            pd.Timestamp('2017-10-06', tz=UTC),
+            pd.Timestamp('2017-10-09', tz=UTC),
+            # All Saints' Day (November 1st) on a Sunday.
+            pd.Timestamp('2015-10-30', tz=UTC),
+            pd.Timestamp('2015-11-02', tz=UTC),
+            # Immaculate Conception (December 8th) on a Sunday.
+            pd.Timestamp('2019-12-06', tz=UTC),
+            pd.Timestamp('2019-12-09', tz=UTC),
+            # Christmas on a Sunday.
+            pd.Timestamp('2016-12-23', tz=UTC),
+            pd.Timestamp('2016-12-26', tz=UTC),
+        ]
+
+        for session_label in expected_sessions:
+            self.assertIn(session_label, all_sessions)
+
+    def test_new_years_eve(self):
+        """
+        New Year's Eve ceased being a holiday after 2007.
+        """
+        all_sessions = self.calendar.all_sessions
+
+        for year in range(2000, 2008):
+            self.assertNotIn(
+                pd.Timestamp('{}-12-31'.format(year), tz=UTC),
+                all_sessions,
+            )
+
+        self.assertIn(pd.Timestamp('2008-12-31', tz=UTC), all_sessions)
+        self.assertIn(pd.Timestamp('2009-12-31', tz=UTC), all_sessions)
+        self.assertIn(pd.Timestamp('2010-12-31', tz=UTC), all_sessions)
+
+    def test_adhoc_holidays(self):
+        all_sessions = self.calendar.all_sessions
+
+        expected_holidays = [
+            # Exchange holidays.
+            pd.Timestamp('2009-01-02', tz=UTC),
+            pd.Timestamp('2009-07-27', tz=UTC),
+            pd.Timestamp('2015-01-02', tz=UTC),
+            pd.Timestamp('2015-07-27', tz=UTC),
+            pd.Timestamp('2015-10-09', tz=UTC),
+            # ASPA Summit.
+            pd.Timestamp('2012-10-01', tz=UTC),
+            pd.Timestamp('2012-10-02', tz=UTC),
+            # APEC Summit.
+            pd.Timestamp('2016-11-17', tz=UTC),
+            pd.Timestamp('2016-11-18', tz=UTC),
+            # 8th Summit of the Americas.
+            pd.Timestamp('2018-04-13', tz=UTC),
+        ]
+
+        for holiday_label in expected_holidays:
+            self.assertNotIn(holiday_label, all_sessions)
diff --git a/trading_calendars/calendar_utils.py b/trading_calendars/calendar_utils.py
@@ -20,6 +20,7 @@
 from .exchange_calendar_xhkg import XHKGExchangeCalendar
 from .exchange_calendar_xice import XICEExchangeCalendar
 from .exchange_calendar_xkrx import XKRXExchangeCalendar
+from .exchange_calendar_xlim import XLIMExchangeCalendar
 from .exchange_calendar_xlis import XLISExchangeCalendar
 from .exchange_calendar_xlon import XLONExchangeCalendar
 from .exchange_calendar_xmad import XMADExchangeCalendar
@@ -59,6 +60,7 @@
     'XHKG': XHKGExchangeCalendar,
     'XICE': XICEExchangeCalendar,
     'XKRX': XKRXExchangeCalendar,
+    'XLIM': XLIMExchangeCalendar,
     'XLIS': XLISExchangeCalendar,
     'XLON': XLONExchangeCalendar,
     'XMAD': XMADExchangeCalendar,

diff --git a/trading_calendars/common_holidays.py b/trading_calendars/common_holidays.py
@@ -152,6 +152,21 @@ def midsummer_eve(start_date=None, end_date=None):
     )
 
 
+def saint_peter_and_saint_paul_day(start_date=None,
+                                   end_date=None,
+                                   observance=None,
+                                   days_of_week=None):
+    return Holiday(
+        'Saint Peter and Saint Paul Day',
+        month=6,
+        day=29,
+        start_date=start_date,
+        end_date=end_date,
+        observance=observance,
+        days_of_week=days_of_week,
+    )
+
+
 def assumption_day(start_date=None,
                    end_date=None,
                    observance=None,

diff --git a/trading_calendars/exchange_calendar_xlim.py b/trading_calendars/exchange_calendar_xlim.py
@@ -0,0 +1,154 @@
+#
+# Copyright 2019 Quantopian, Inc.
+#
+# Licensed under the Apache License, Version 2.0 (the "License");
+# you may not use this file except in compliance with the License.
+# You may obtain a copy of the License at
+#
+#     http://www.apache.org/licenses/LICENSE-2.0
+#
+# Unless required by applicable law or agreed to in writing, software
+# distributed under the License is distributed on an "AS IS" BASIS,
+# WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+# See the License for the specific language governing permissions and
+# limitations under the License.
+
+from datetime import time
+from itertools import chain
+
+import pandas as pd
+from pandas.tseries.holiday import GoodFriday, Holiday
+from pytz import timezone, UTC
+
+from .common_holidays import (
+    new_years_day,
+    maundy_thursday,
+    european_labour_day,
+    saint_peter_and_saint_paul_day,
+    all_saints_day,
+    immaculate_conception,
+    christmas,
+    new_years_eve,
+)
+from .trading_calendar import HolidayCalendar, TradingCalendar
+
+
+####################
+# Regular Holidays #
+####################
+NewYearsDay = new_years_day()
+
+MaundyThursday = maundy_thursday()
+
+LabourDay = european_labour_day()
+
+SaintPeterAndSaintPaulDay = saint_peter_and_saint_paul_day()
+
+IndependenceDay1 = Holiday('Independence Day', month=7, day=28)
+IndependenceDay2 = Holiday('Independence Day', month=7, day=29)
+
+SantaRosa = Holiday('Santa Rosa', month=8, day=30)
+
+BattleOfAngamos = Holiday('Battle of Angamos', month=10, day=8)
+
+AllSaintsDay = all_saints_day()
+
+ImmaculateConception = immaculate_conception()
+
+Christmas = christmas()
+
+NewYearsEve = new_years_eve(end_date='2008')
+
+
+##################
+# Adhoc Holidays #
+##################
+ExchangeHolidays = [
+    pd.Timestamp('2009-01-02', tz=UTC),
+    pd.Timestamp('2009-07-27', tz=UTC),
+    pd.Timestamp('2015-07-27', tz=UTC),
+    pd.Timestamp('2015-10-09', tz=UTC),
+]
+
+NationalHolidays = [
+    pd.Timestamp('2015-01-02', tz=UTC),
+]
+
+ASPASummit = [
+    pd.Timestamp('2012-10-01', tz=UTC),
+    pd.Timestamp('2012-10-02', tz=UTC),
+]
+
+APECSummit = [
+    pd.Timestamp('2016-11-17', tz=UTC),
+    pd.Timestamp('2016-11-18', tz=UTC),
+]
+
+EighthSummitOfTheAmericas = [pd.Timestamp('2018-04-13', tz=UTC)]
+
+
+class XLIMExchangeCalendar(TradingCalendar):
+    """
+    Calendar for the Lima Stock Exchange (Bolsa de Valores de Lima) in Peru.
+
+    Open Time: 9:00 AM, Peruvian Time
+    Close Time: 4:00 PM, Peruvian Time
+
+    Regularly-Observed Holidays:
+      - New Year's Day
+      - Maundy Thursday
+      - Good Friday
+      - Labour Day
+      - Saint Paul and Saint Peter Day
+      - Independence Day
+      - Santa Rosa
+      - Battle of Angamos
+      - All Saints' Day
+      - Immaculate Conception
+      - Christmas Day
+
+    Holidays No Longer Observed:
+      - New Year's Eve
+
+    Early Closes:
+      - None
+    """
+    name = 'XLIM'
+    tz = timezone('America/Lima')
+
+    open_times = (
+        (None, time(9)),
+    )
+    close_times = (
+        (None, time(16)),
+    )
+
+    @property
+    def regular_holidays(self):
+        return HolidayCalendar([
+            NewYearsDay,
+            MaundyThursday,
+            GoodFriday,
+            LabourDay,
+            SaintPeterAndSaintPaulDay,
+            IndependenceDay1,
+            IndependenceDay2,
+            SantaRosa,
+            BattleOfAngamos,
+            AllSaintsDay,
+            ImmaculateConception,
+            Christmas,
+            NewYearsEve,
+        ])
+
+    @property
+    def adhoc_holidays(self):
+        return list(
+            chain(
+                ExchangeHolidays,
+                NationalHolidays,
+                ASPASummit,
+                APECSummit,
+                EighthSummitOfTheAmericas,
+            )
+        )
diff --git a/trading_calendars/exchange_calendar_xsgo.py b/trading_calendars/exchange_calendar_xsgo.py
@@ -24,6 +24,7 @@
     new_years_day,
     maundy_thursday,
     european_labour_day,
+    saint_peter_and_saint_paul_day,
     assumption_day,
     all_saints_day,
     immaculate_conception,
@@ -97,10 +98,7 @@ def not_2010(datetime_index):
 
 NavyDay = Holiday('Navy Day', month=5, day=21)
 
-SaintPeterAndSaintPaulDay = Holiday(
-    'Saint Peter and Saint Paul Day',
-    month=6,
-    day=29,
+SaintPeterAndSaintPaulDay = saint_peter_and_saint_paul_day(
     observance=nearest_monday,
 )