BUG: Fix christmas early closes to work around 1945/1956 Christmas cl…

…osings
quantopian · Dec 23, 2020 · 6f06484 · 6f06484 · github-actions · Dec 23, 2020
1 parent 875de03
commit 6f06484
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Showing 3 changed files with 36 additions and 7 deletions.
diff --git a/trading_calendars/exchange_calendar_cmes.py b/trading_calendars/exchange_calendar_cmes.py
@@ -30,7 +30,9 @@
 from .us_holidays import (
     USNewYearsDay,
     Christmas,
-    ChristmasEveBefore1993,
+    ChristmasEveBefore1945,
+    ChristmasEveBefore1946To1955,
+    ChristmasEveAfter1957Before1993,
     ChristmasEveInOrAfter1993,
     USBlackFridayInOrAfter1993,
     USNationalDaysofMourning,
@@ -102,7 +104,9 @@ def special_closes(self):
                 USIndependenceDay,
                 USThanksgivingDay,
                 USBlackFridayInOrAfter1993,
-                ChristmasEveBefore1993,
+                ChristmasEveBefore1945,
+                ChristmasEveBefore1946To1955,
+                ChristmasEveAfter1957Before1993,
                 ChristmasEveInOrAfter1993,
             ])
         )]
diff --git a/trading_calendars/exchange_calendar_xnys.py b/trading_calendars/exchange_calendar_xnys.py
@@ -29,7 +29,9 @@
     August45VictoryOverJapan,
     Christmas,
     ChristmasBefore1954,
-    ChristmasEveBefore1993,
+    ChristmasEveBefore1945,
+    ChristmasEveBefore1946To1955,
+    ChristmasEveAfter1957Before1993,
     ChristmasEveInOrAfter1993,
     ChristmasEvesAdhoc,
     DayAfterChristmasAdhoc,
@@ -235,7 +237,12 @@ def special_closes(self):
             (
                 time(14),
                 HolidayCalendar(
-                    [ChristmasEveBefore1993, USBlackFridayBefore1993, ]
+                    [
+                        ChristmasEveBefore1945,
+                        ChristmasEveBefore1946To1955,
+                        ChristmasEveAfter1957Before1993,
+                        USBlackFridayBefore1993,
+                    ]
                 ),
             ),
         ]
@@ -246,7 +253,7 @@ def special_closes_adhoc(self):
             (
                 self.regular_early_close,
                 DatetimeIndex(
-                    ["1997-12-26", "1999-12-31", "2003-12-26", ], tz=UTC,
+                    ["1997-12-26", "1999-12-31", "2003-12-26"], tz=UTC,
                 ),
             )
         ]
diff --git a/trading_calendars/us_holidays.py b/trading_calendars/us_holidays.py
@@ -46,11 +46,29 @@ def following_tuesday_every_four_years_observance(dt):
 
 # These have the same definition, but are used in different places because the
 # NYSE closed at 2:00 PM on Christmas Eve until 1993.
-ChristmasEveBefore1993 = Holiday(
+ChristmasEveBefore1945 = Holiday(
     "Christmas Eve",
     month=12,
     day=24,
-    end_date=Timestamp("1993-01-01"),
+    end_date=Timestamp("1945-12-01"),
+    # When Christmas is a Saturday, the 24th is a full holiday.
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY),
+)
+ChristmasEveBefore1946To1955 = Holiday(
+    "Christmas Eve",
+    month=12,
+    day=24,
+    start_date=Timestamp("1946-01-01"),
+    end_date=Timestamp("1956-01-01"),
+    # When Christmas is a Saturday, the 24th is a full holiday.
+    days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY),
+)
+ChristmasEveAfter1957Before1993 = Holiday(
+    "Christmas Eve",
+    month=12,
+    day=24,
+    start_date=Timestamp("1957-01-01"),
+    end_date=Timestamp("1992-12-31"),
     # When Christmas is a Saturday, the 24th is a full holiday.
     days_of_week=(MONDAY, TUESDAY, WEDNESDAY, THURSDAY),
 )
Benchmark suite	Current: `6f06484`	Previous: `b25c4f9`	Ratio
`etc/bench.py::test_calendar_construction`	`0.04599716412285718` iter/sec (`stddev: 0.09672810454311268`)	`0.0571218580856847` iter/sec (`stddev: 0.026720020782416438`)	`1.24`
`etc/bench.py::test_is_open_on_minute`	`23020.083960545846` iter/sec (`stddev: 0.00006283216277322443`)	`26713.671115999237` iter/sec (`stddev: 0.0000030959317537669576`)	`1.16`