exchange_calendars

A Python library for defining and querying calendars for security exchanges.

Calendars for more than 50 exchanges available out-the-box! If you still can't find the calendar you're looking for, create a new one!

Notice: market_prices - the new library for prices data!

Much of the recent development of exchange_calendars has been driven by the new market_prices library. Check it out if you like the idea of using exchange_calendars to create meaningful OHLCV datasets. Works out-the-box with freely available data!

Notice: v4 released (June 2022)

The earliest stable version of v4 is 4.0.1 (not 4.0).

What's changed?

Version 4.0.1 completes the transition to a more consistent interface across the package. The most significant changes are:

Sessions are now timezone-naive (previously UTC).
Schedule columns now have timezone set as UTC (whilst the times have always been defined in terms of UTC, previously the dtype was timezone-naive).
The following schedule columns were renamed:
- 'market_open' renamed as 'open'.
- 'market_close' renamed as 'close'.
Default calendar 'side' for all calendars is now "left" (previously "right" for 24-hour calendars and "both" for all others). This changes the minutes that are considered trading minutes by default (see minutes tutorial for an explanation of trading minutes).
The 'count' parameter of sessions_window and minutes_window methods now reflects the window length (previously window length + 1).
New is_open_at_time calendar method to evaluate if an exchange is open as at a specific instance (as opposed to over an evaluated minute).
The minimum Python version supported is now 3.8 (previously 3.7).
Parameters have been renamed for some methods (list here)
The following methods have been deprecated:
- sessions_opens (use .opens[start:end])
- sessions_closes (use .closes[start:end])
Methods deprecated in 3.4 have been removed (lists here and here)

See the 4.0 release todo for a full list of changes and corresponding PRs.

Please offer any feedback at the v4 discussion.

Installation

$ pip install exchange_calendars

Quick Start

import exchange_calendars as xcals

Get a list of available calendars:

>>> xcals.get_calendar_names(include_aliases=False)[5:10]
['CMES', 'IEPA', 'XAMS', 'XASX', 'XBKK']

Get a calendar:

>>> xnys = xcals.get_calendar("XNYS")  # New York Stock Exchange
>>> xhkg = xcals.get_calendar("XHKG")  # Hong Kong Stock Exchange

Query the schedule:

>>> xhkg.schedule.loc["2021-12-29":"2022-01-04"]

	open	break_start	break_end	close
2021-12-29	2021-12-29 01:30:00+00:00	2021-12-29 04:00:00+00:00	2021-12-29 05:00:00+00:00	2021-12-29 08:00:00+00:00
2021-12-30	2021-12-30 01:30:00+00:00	2021-12-30 04:00:00+00:00	2021-12-30 05:00:00+00:00	2021-12-30 08:00:00+00:00
2021-12-31	2021-12-31 01:30:00+00:00	NaT	NaT	2021-12-31 04:00:00+00:00
2022-01-03	2022-01-03 01:30:00+00:00	2022-01-03 04:00:00+00:00	2022-01-03 05:00:00+00:00	2022-01-03 08:00:00+00:00
2022-01-04	2022-01-04 01:30:00+00:00	2022-01-04 04:00:00+00:00	2022-01-04 05:00:00+00:00	2022-01-04 08:00:00+00:00

Working with sessions

>>> xnys.is_session("2022-01-01")
False

>>> xnys.sessions_in_range("2022-01-01", "2022-01-11")
DatetimeIndex(['2022-01-03', '2022-01-04', '2022-01-05', '2022-01-06',
               '2022-01-07', '2022-01-10', '2022-01-11'],
              dtype='datetime64[ns]', freq='C')

>>> xnys.sessions_window("2022-01-03", 7)
DatetimeIndex(['2022-01-03', '2022-01-04', '2022-01-05', '2022-01-06',
               '2022-01-07', '2022-01-10', '2022-01-11'],
              dtype='datetime64[ns]', freq='C')

>>> xnys.date_to_session("2022-01-01", direction="next")
Timestamp('2022-01-03 00:00:00', freq='C')

>>> xnys.previous_session("2022-01-11")
Timestamp('2022-01-10 00:00:00', freq='C')

>>> xhkg.trading_index(
...     "2021-12-30", "2021-12-31", period="90T", force=True
... )
IntervalIndex([[2021-12-30 01:30:00, 2021-12-30 03:00:00), [2021-12-30 03:00:00, 2021-12-30 04:00:00), [2021-12-30 05:00:00, 2021-12-30 06:30:00), [2021-12-30 06:30:00, 2021-12-30 08:00:00), [2021-12-31 01:30:00, 2021-12-31 03:00:00), [2021-12-31 03:00:00, 2021-12-31 04:00:00)], dtype='interval[datetime64[ns, UTC], left]')

See the sessions tutorial for a deeper dive into sessions.

Working with minutes

>>> xhkg.session_minutes("2022-01-03")
DatetimeIndex(['2022-01-03 01:30:00+00:00', '2022-01-03 01:31:00+00:00',
               '2022-01-03 01:32:00+00:00', '2022-01-03 01:33:00+00:00',
               '2022-01-03 01:34:00+00:00', '2022-01-03 01:35:00+00:00',
               '2022-01-03 01:36:00+00:00', '2022-01-03 01:37:00+00:00',
               '2022-01-03 01:38:00+00:00', '2022-01-03 01:39:00+00:00',
               ...
               '2022-01-03 07:50:00+00:00', '2022-01-03 07:51:00+00:00',
               '2022-01-03 07:52:00+00:00', '2022-01-03 07:53:00+00:00',
               '2022-01-03 07:54:00+00:00', '2022-01-03 07:55:00+00:00',
               '2022-01-03 07:56:00+00:00', '2022-01-03 07:57:00+00:00',
               '2022-01-03 07:58:00+00:00', '2022-01-03 07:59:00+00:00'],
              dtype='datetime64[ns, UTC]', length=330, freq=None)

>>> mins = [ "2022-01-03 " + tm for tm in ["01:29", "01:30", "04:20", "07:59", "08:00"] ]
>>> [ xhkg.is_trading_minute(minute) for minute in mins ]
[False, True, False, True, False]  # by default minutes are closed on the left side

>>> xhkg.is_break_minute("2022-01-03 04:20")
True

>>> xhkg.previous_close("2022-01-03 08:10")
Timestamp('2022-01-03 08:00:00+0000', tz='UTC')

>>> xhkg.previous_minute("2022-01-03 08:10")
Timestamp('2022-01-03 07:59:00+0000', tz='UTC')

Check out the minutes tutorial for a deeper dive that includes an explanation of the concept of 'minutes' and how the "side" option determines which minutes are treated as trading minutes.

Tutorials

sessions.ipynb - all things sessions.
minutes.ipynb - all things minutes. Don't miss this one!
calendar_properties.ipynb - calendar constrution and a walk through the schedule and all other calendar properties.
calendar_methods.ipynb - a walk through all the methods available to interrogate a calendar.
trading_index.ipynb - a method that warrants a tutorial all of its own.

Hopefully you'll find that exchange_calendars has the method you need to get the information you want. If it doesn't, either PR it or raise an issue and let us know!

Command Line Usage

Print a unix-cal like calendar straight from the command line (holidays are indicated by brackets)...

ecal XNYS 2020

                                        2020
        January                        February                        March
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
            [ 1]  2   3 [ 4]                           [ 1]
[ 5]  6   7   8   9  10 [11]   [ 2]  3   4   5   6   7 [ 8]   [ 1]  2   3   4   5   6 [ 7]
[12] 13  14  15  16  17 [18]   [ 9] 10  11  12  13  14 [15]   [ 8]  9  10  11  12  13 [14]
[19][20] 21  22  23  24 [25]   [16][17] 18  19  20  21 [22]   [15] 16  17  18  19  20 [21]
[26] 27  28  29  30  31        [23] 24  25  26  27  28 [29]   [22] 23  24  25  26  27 [28]
                                                              [29] 30  31

        April                           May                            June
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
              1   2   3 [ 4]                         1 [ 2]         1   2   3   4   5 [ 6]
[ 5]  6   7   8   9 [10][11]   [ 3]  4   5   6   7   8 [ 9]   [ 7]  8   9  10  11  12 [13]
[12] 13  14  15  16  17 [18]   [10] 11  12  13  14  15 [16]   [14] 15  16  17  18  19 [20]
[19] 20  21  22  23  24 [25]   [17] 18  19  20  21  22 [23]   [21] 22  23  24  25  26 [27]
[26] 27  28  29  30            [24][25] 26  27  28  29 [30]   [28] 29  30
                               [31]

            July                          August                       September
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
              1   2 [ 3][ 4]                           [ 1]             1   2   3   4 [ 5]
[ 5]  6   7   8   9  10 [11]   [ 2]  3   4   5   6   7 [ 8]   [ 6][ 7]  8   9  10  11 [12]
[12] 13  14  15  16  17 [18]   [ 9] 10  11  12  13  14 [15]   [13] 14  15  16  17  18 [19]
[19] 20  21  22  23  24 [25]   [16] 17  18  19  20  21 [22]   [20] 21  22  23  24  25 [26]
[26] 27  28  29  30  31        [23] 24  25  26  27  28 [29]   [27] 28  29  30
                               [30] 31

        October                        November                       December
Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa     Su  Mo  Tu  We  Th  Fr  Sa
                  1   2 [ 3]                                            1   2   3   4 [ 5]
[ 4]  5   6   7   8   9 [10]   [ 1]  2   3   4   5   6 [ 7]   [ 6]  7   8   9  10  11 [12]
[11] 12  13  14  15  16 [17]   [ 8]  9  10  11  12  13 [14]   [13] 14  15  16  17  18 [19]
[18] 19  20  21  22  23 [24]   [15] 16  17  18  19  20 [21]   [20] 21  22  23  24 [25][26]
[25] 26  27  28  29  30 [31]   [22] 23  24  25 [26] 27 [28]   [27] 28  29  30  31
                               [29] 30

ecal XNYS 1 2020

        January 2020
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

Frequently Asked Questions

How can I create a new calendar?

First off, make sure the calendar you're after hasn't already been defined; exchange calendars comes with over 50 pre-defined calendars, including major security exchanges.

If you can't find what you're after, a custom calendar can be created as a subclass of ExchangeCalendar. This workflow describes the process to add a new calendar to exchange_calendars. Just follow the relevant parts.

To access the new calendar via get_calendar call either xcals.register_calendar or xcals.register_calendar_type to register, respectively, a specific calendar instance or a calendar factory (i.e. the subclass).

Can I contribute a new calendar to exchange calendars?

Yes please! The workflow can be found here.

`<calendar>` is missing a holiday, has a wrong time, should have a break etc...

All of the exchange calendars are maintained by user contributions. If a calendar you care about needs revising, please open a PR - that's how this thing works! (Never contributed to a project before and it all seems a bit daunting? Check this out and don't look back!)

You'll find the workflow to modify an existing calendar here.

What times are considered open and closed?

exchange_calendars attempts to be broadly useful by considering an exchange to be open only during periods of regular trading. During any pre-trading, post-trading or auction period the exchange is treated as closed. An exchange is also treated as closed during any observed lunch break.

See the minutes tutorial for a detailed explanation of which minutes an exchange is considered open over. If you previously used trading_calendars, or exchange_calendars prior to release 3.4, then this is the place to look for answers to questions of how the definition of trading minutes has changed over time (and is now stable and flexible!).

Calendars

Exchange	ISO Code	Country	Version Added	Exchange Website (English)
New York Stock Exchange	XNYS	USA	1.0	https://www.nyse.com/index
CBOE Futures	XCBF	USA	1.0	https://markets.cboe.com/us/futures/overview/
Chicago Mercantile Exchange	CMES	USA	1.0	https://www.cmegroup.com/
ICE US	IEPA	USA	1.0	https://www.theice.com/index
Toronto Stock Exchange	XTSE	Canada	1.0	https://www.tsx.com/
BMF Bovespa	BVMF	Brazil	1.0	http://www.b3.com.br/en_us/
London Stock Exchange	XLON	England	1.0	https://www.londonstockexchange.com/
Euronext Amsterdam	XAMS	Netherlands	1.2	https://www.euronext.com/en/regulation/amsterdam
Euronext Brussels	XBRU	Belgium	1.2	https://www.euronext.com/en/regulation/brussels
Euronext Lisbon	XLIS	Portugal	1.2	https://www.euronext.com/en/regulation/lisbon
Euronext Paris	XPAR	France	1.2	https://www.euronext.com/en/regulation/paris
Frankfurt Stock Exchange	XFRA	Germany	1.2	http://en.boerse-frankfurt.de/
SIX Swiss Exchange	XSWX	Switzerland	1.2	https://www.six-group.com/en/home.html
Tokyo Stock Exchange	XTKS	Japan	1.2	https://www.jpx.co.jp/english/
Austrialian Securities Exchange	XASX	Australia	1.3	https://www.asx.com.au/
Bolsa de Madrid	XMAD	Spain	1.3	https://www.bolsamadrid.es
Borsa Italiana	XMIL	Italy	1.3	https://www.borsaitaliana.it
New Zealand Exchange	XNZE	New Zealand	1.3	https://www.nzx.com/
Wiener Borse	XWBO	Austria	1.3	https://www.wienerborse.at/en/
Hong Kong Stock Exchange	XHKG	Hong Kong	1.3	https://www.hkex.com.hk/?sc_lang=en
Copenhagen Stock Exchange	XCSE	Denmark	1.4	http://www.nasdaqomxnordic.com/
Helsinki Stock Exchange	XHEL	Finland	1.4	http://www.nasdaqomxnordic.com/
Stockholm Stock Exchange	XSTO	Sweden	1.4	http://www.nasdaqomxnordic.com/
Oslo Stock Exchange	XOSL	Norway	1.4	https://www.oslobors.no/ob_eng/
Irish Stock Exchange	XDUB	Ireland	1.4	http://www.ise.ie/
Bombay Stock Exchange	XBOM	India	1.5	https://www.bseindia.com
Singapore Exchange	XSES	Singapore	1.5	https://www.sgx.com
Shanghai Stock Exchange	XSHG	China	1.5	http://english.sse.com.cn
Korea Exchange	XKRX	South Korea	1.6	http://global.krx.co.kr
Iceland Stock Exchange	XICE	Iceland	1.7	http://www.nasdaqomxnordic.com/
Poland Stock Exchange	XWAR	Poland	1.9	http://www.gpw.pl
Santiago Stock Exchange	XSGO	Chile	1.9	https://www.bolsadesantiago.com/
Colombia Securities Exchange	XBOG	Colombia	1.9	https://www.bvc.com.co/nueva/https://www.bvc.com.co/nueva/
Mexican Stock Exchange	XMEX	Mexico	1.9	https://www.bmv.com.mx
Lima Stock Exchange	XLIM	Peru	1.9	https://www.bvl.com.pe
Prague Stock Exchange	XPRA	Czech Republic	1.9	https://www.pse.cz/en/
Budapest Stock Exchange	XBUD	Hungary	1.10	https://bse.hu/
Athens Stock Exchange	ASEX	Greece	1.10	http://www.helex.gr/
Istanbul Stock Exchange	XIST	Turkey	1.10	https://www.borsaistanbul.com/en/
Johannesburg Stock Exchange	XJSE	South Africa	1.10	https://www.jse.co.za/z
Malaysia Stock Exchange	XKLS	Malaysia	1.11	http://www.bursamalaysia.com/market/
Moscow Exchange	XMOS	Russia	1.11	https://www.moex.com/en/
Philippine Stock Exchange	XPHS	Philippines	1.11	https://www.pse.com.ph/
Stock Exchange of Thailand	XBKK	Thailand	1.11	https://www.set.or.th/set/mainpage.do?language=en&country=US
Indonesia Stock Exchange	XIDX	Indonesia	1.11	https://www.idx.co.id/
Taiwan Stock Exchange Corp.	XTAI	Taiwan	1.11	https://www.twse.com.tw/en/
Buenos Aires Stock Exchange	XBUE	Argentina	1.11	https://www.bcba.sba.com.ar/
Pakistan Stock Exchange	XKAR	Pakistan	1.11	https://www.psx.com.pk/
Xetra	XETR	Germany	2.1	https://www.xetra.com/
Tel Aviv Stock Exchange	XTAE	Israel	2.1	https://www.tase.co.il/
Astana International Exchange	AIXK	Kazakhstan	3.2	https://www.aix.kz/
Bucharest Stock Exchange	XBSE	Romania	3.2	https://www.bvb.ro/

Note that exchange calendars are defined by their ISO-10383 market identifier code.

Deprecations and Renaming

Methods deprecated in 4.0

Deprecated method	Reason
sessions_closes	use `.closes[start:end]`
sessions_opens	use `.opens[start:end]`

Methods with a parameter renamed in 4.0

Method
is_session
is_open_on_minute
minutes_in_range
minutes_window
next_close
next_minute
next_open
previous_close
previous_minute
previous_open
session_break_end
session_break_start
session_close
session_open
sessions_in_range
sessions_window

Methods renamed in version 3.4 and removed in 4.0

Previous name	New name
all_minutes	minutes
all_minutes_nanos	minutes_nanos
all_sessions	sessions
break_start_and_end_for_session	session_break_start_end
date_to_session_label	date_to_session
first_trading_minute	first_minute
first_trading_session	first_session
has_breaks	sessions_has_break
last_trading_minute	last_minute
last_trading_session	last_session
next_session_label	next_session
open_and_close_for_session	session_open_close
previous_session_label	previous_session
market_break_ends_nanos	break_ends_nanos
market_break_starts_nanos	break_starts_nanos
market_closes_nanos	closes_nanos
market_opens_nanos	opens_nanos
minute_index_to_session_labels	minutes_to_sessions
minute_to_session_label	minute_to_session
minutes_count_for_sessions_in_range	sessions_minutes_count
minutes_for_session	session_minutes
minutes_for_sessions_in_range	sessions_minutes
session_closes_in_range	sessions_closes
session_distance	sessions_distance
session_opens_in_range	sessions_opens

Other methods deprecated in 3.4 and removed in 4.0

Removed Method
execution_minute_for_session
execution_minute_for_sessions_in_range
execution_time_from_close
execution_time_from_open

Name		Name	Last commit message	Last commit date
Latest commit History 906 Commits
.devcontainer		.devcontainer
.github		.github
docs		docs
etc		etc
exchange_calendars		exchange_calendars
tests		tests
.gitattributes		.gitattributes
.gitignore		.gitignore
.pre-commit-config.yaml		.pre-commit-config.yaml
LICENSE		LICENSE
MANIFEST.in		MANIFEST.in
README.md		README.md
pyproject.toml		pyproject.toml
setup.cfg		setup.cfg
setup.py		setup.py

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exchange_calendars

Notice: market_prices - the new library for prices data!

Notice: v4 released (June 2022)

What's changed?

Installation

Quick Start

Working with sessions

Working with minutes

Tutorials

Command Line Usage

Frequently Asked Questions

How can I create a new calendar?

Can I contribute a new calendar to exchange calendars?

`<calendar>` is missing a holiday, has a wrong time, should have a break etc...

What times are considered open and closed?

Calendars

Deprecations and Renaming

Methods deprecated in 4.0

Methods with a parameter renamed in 4.0

Methods renamed in version 3.4 and removed in 4.0

Other methods deprecated in 3.4 and removed in 4.0

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exchange_calendars

Notice: market_prices - the new library for prices data!

Notice: v4 released (June 2022)

What's changed?

Installation

Quick Start

Working with sessions

Working with minutes

Tutorials

Command Line Usage

Frequently Asked Questions

How can I create a new calendar?

Can I contribute a new calendar to exchange calendars?

<calendar> is missing a holiday, has a wrong time, should have a break etc...

What times are considered open and closed?

Calendars

Deprecations and Renaming

Methods deprecated in 4.0

Methods with a parameter renamed in 4.0

Methods renamed in version 3.4 and removed in 4.0

Other methods deprecated in 3.4 and removed in 4.0

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`<calendar>` is missing a holiday, has a wrong time, should have a break etc...

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