content: #
  # Copyright 2014 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.
  
  
  import pandas as pd
  import pytz
  
  from datetime import datetime
  from dateutil import rrule
  from zipline.utils.tradingcalendar import end, canonicalize_datetime
  
  start = pd.Timestamp('1994-01-01', tz='UTC')
  
  
  def get_non_trading_days(start, end):
      non_trading_rules = []
  
      start = canonicalize_datetime(start)
      end = canonicalize_datetime(end)
  
      weekends = rrule.rrule(
          rrule.YEARLY,
          byweekday=(rrule.SA, rrule.SU),
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(weekends)
  
      new_years = rrule.rrule(
          rrule.MONTHLY,
          byyearday=1,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(new_years)
  
      new_years_sunday = rrule.rrule(
          rrule.MONTHLY,
          byyearday=2,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(new_years_sunday)
  
      new_years_saturday = rrule.rrule(
          rrule.MONTHLY,
          byyearday=3,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(new_years_saturday)
  
      # Family day in Ontario, starting in 2008, third monday of February
      family_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=2,
          byweekday=(rrule.MO(3)),
          cache=True,
          dtstart=datetime(2008, 1, 1, tzinfo=pytz.utc),
          until=end
      )
      non_trading_rules.append(family_day)
  
      good_friday = rrule.rrule(
          rrule.DAILY,
          byeaster=-2,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(good_friday)
  
      # Monday prior to May 25th.
      victoria_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=5,
          byweekday=rrule.MO,
          bymonthday=[24, 23, 22, 21, 20, 19, 18],
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(victoria_day)
  
      july_1st = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=1,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(july_1st)
  
      july_1st_sunday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=2,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(july_1st_sunday)
  
      july_1st_saturday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=3,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(july_1st_saturday)
  
      civic_holiday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=8,
          byweekday=rrule.MO(1),
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(civic_holiday)
  
      labor_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=9,
          byweekday=(rrule.MO(1)),
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(labor_day)
  
      thanksgiving = rrule.rrule(
          rrule.MONTHLY,
          bymonth=10,
          byweekday=(rrule.MO(2)),
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(thanksgiving)
  
      christmas = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=25,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(christmas)
  
      # If Christmas is a Sunday then the 26th, a Monday is observed.
      # (but that would be boxing day), so the 27th is also observed.
      christmas_sunday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=27,
          byweekday=rrule.TU,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(christmas_sunday)
  
      # If Christmas is a Saturday then the 27th, a monday is observed.
      christmas_saturday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=27,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(christmas_saturday)
  
      boxing_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=26,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(boxing_day)
  
      # if boxing day is a sunday, the Christmas was saturday.
      # Christmas is observed on the 27th, a month and boxing day is observed
      # on the 28th, a tuesday.
      boxing_day_sunday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=28,
          byweekday=rrule.TU,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(boxing_day_sunday)
  
      # If boxing day is a Saturday then the 28th, a monday is observed.
      boxing_day_saturday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=28,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(boxing_day_saturday)
  
      non_trading_ruleset = rrule.rruleset()
  
      for rule in non_trading_rules:
          non_trading_ruleset.rrule(rule)
  
      non_trading_days = non_trading_ruleset.between(start, end, inc=True)
  
      # Add September 11th closings
      # The TSX was open for 71 minutes on September 11, 2011.
      # It was closed on the 12th and reopened on the 13th.
      # http://www.cbc.ca/news2/interactives/map-tsx/
      #
      #    September 2001
      # 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
  
      non_trading_days.append(
          datetime(2001, 9, 12, tzinfo=pytz.utc))
  
      non_trading_days.sort()
      return pd.DatetimeIndex(non_trading_days)
  
  non_trading_days = get_non_trading_days(start, end)
  trading_day = pd.tseries.offsets.CDay(holidays=non_trading_days)
  
  
  def get_trading_days(start, end, trading_day=trading_day):
      return pd.date_range(start=start.date(),
                           end=end.date(),
                           freq=trading_day).tz_localize('UTC')
  
  trading_days = get_trading_days(start, end)
  
  # Days in Environment but not in Calendar (using ^GSPTSE as bm_symbol):
  # --------------------------------------------------------------------
  # Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
  # to check whether exchange was open on these days.
  # 1994-07-01     - July 1st, Yahoo Finance has Volume = 0
  # 1996-07-01     - July 1st, Yahoo Finance has Volume = 0
  # 1996-08-05     - Civic Holiday, Yahoo Finance has Volume = 0
  # 1997-07-01     - July 1st, Yahoo Finance has Volume = 0
  # 1997-08-04     - Civic Holiday, Yahoo Finance has Volume = 0
  # 2001-05-21     - Victoria day, Yahoo Finance has Volume = 0
  # 2004-10-11     - Closed, Thanksgiving - Confirmed closed
  # 2004-12-28     - Closed, Boxing Day - Confirmed closed
  # 2012-10-08     - Closed, Thanksgiving - Confirmed closed
  
  # Days in Calendar but not in Environment using ^GSPTSE as bm_symbol:
  # --------------------------------------------------------------------
  # Used http://web.tmxmoney.com/pricehistory.php?qm_page=61468&qm_symbol=^TSX
  # to check whether exchange was open on these days.
  # 2000-06-28     - No data this far back, can't confirm
  # 2000-08-28     - No data this far back, can't confirm
  # 2000-08-29     - No data this far back, can't confirm
  # 2001-09-11     - TSE Open for 71 min.
  # 2002-02-01     - Confirm TSE Open
  # 2002-06-14     - Confirm TSE Open
  # 2002-07-02     - Confirm TSE Open
  # 2002-11-11     - TSX website has no data for 2 weeks in 2002
  # 2003-07-07     - Confirm TSE Open
  # 2003-12-16     - Confirm TSE Open
  
  
  def get_early_closes(start, end):
      # TSX closed at 1:00 PM on december 24th.
  
      start = canonicalize_datetime(start)
      end = canonicalize_datetime(end)
  
      start = max(start, datetime(1993, 1, 1, tzinfo=pytz.utc))
      end = max(end, datetime(1993, 1, 1, tzinfo=pytz.utc))
  
      # Not included here are early closes prior to 1993
      # or unplanned early closes
  
      early_close_rules = []
  
      christmas_eve = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=24,
          byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH, rrule.FR),
          cache=True,
          dtstart=start,
          until=end
      )
      early_close_rules.append(christmas_eve)
  
      early_close_ruleset = rrule.rruleset()
  
      for rule in early_close_rules:
          early_close_ruleset.rrule(rule)
      early_closes = early_close_ruleset.between(start, end, inc=True)
  
      early_closes.sort()
      return pd.DatetimeIndex(early_closes)
  
  early_closes = get_early_closes(start, end)
  
  
  def get_open_and_closes(trading_days, early_closes, tz='US/Eastern'):
      open_and_closes = pd.DataFrame(index=trading_days,
                                     columns=('market_open', 'market_close'))
      for day in trading_days:
          market_open = pd.Timestamp(
              datetime(
                  year=day.year,
                  month=day.month,
                  day=day.day,
                  hour=9,
                  minute=31),
              tz='US/Eastern').tz_convert('UTC')
          # 1 PM if early close, 4 PM otherwise
          close_hour = 13 if day in early_closes else 16
          market_close = pd.Timestamp(
              datetime(
                  year=day.year,
                  month=day.month,
                  day=day.day,
                  hour=close_hour),
              tz='US/Eastern').tz_convert('UTC')
  
          open_and_closes.loc[day, 'market_open'] = market_open
          open_and_closes.loc[day, 'market_close'] = market_close
  
      return open_and_closes
  
  
  open_and_closes = get_open_and_closes(trading_days, early_closes)
  