content: #
  # Copyright 2013 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 functools import partial
  
  start = pd.Timestamp('1990-01-01', tz='UTC')
  end_base = pd.Timestamp('today', tz='UTC')
  # Give an aggressive buffer for logic that needs to use the next trading
  # day or minute.
  end = end_base + pd.Timedelta(days=365)
  
  
  def canonicalize_datetime(dt):
      # Strip out any HHMMSS or timezone info in the user's datetime, so that
      # all the datetimes we return will be 00:00:00 UTC.
      return datetime(dt.year, dt.month, dt.day, tzinfo=pytz.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)
  
      mlk_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=1,
          byweekday=(rrule.MO(+3)),
          cache=True,
          dtstart=datetime(1998, 1, 1, tzinfo=pytz.utc),
          until=end
      )
      non_trading_rules.append(mlk_day)
  
      presidents_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=2,
          byweekday=(rrule.MO(3)),
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(presidents_day)
  
      good_friday = rrule.rrule(
          rrule.DAILY,
          byeaster=-2,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(good_friday)
  
      memorial_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=5,
          byweekday=(rrule.MO(-1)),
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(memorial_day)
  
      july_4th = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=4,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(july_4th)
  
      july_4th_sunday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=5,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(july_4th_sunday)
  
      july_4th_saturday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=3,
          byweekday=rrule.FR,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(july_4th_saturday)
  
      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=11,
          byweekday=(rrule.TH(4)),
          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)
  
      christmas_sunday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=26,
          byweekday=rrule.MO,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(christmas_sunday)
  
      # If Christmas is a Saturday then 24th, a Friday is observed.
      christmas_saturday = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=24,
          byweekday=rrule.FR,
          cache=True,
          dtstart=start,
          until=end
      )
      non_trading_rules.append(christmas_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
      # http://en.wikipedia.org/wiki/Aftermath_of_the_September_11_attacks
      # Due to the terrorist attacks, the stock market did not open on 9/11/2001
      # It did not open again until 9/17/2001.
      #
      #    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
  
      for day_num in range(11, 17):
          non_trading_days.append(
              datetime(2001, 9, day_num, tzinfo=pytz.utc))
  
      # Add closings due to Hurricane Sandy in 2012
      # http://en.wikipedia.org/wiki/Hurricane_sandy
      #
      # The stock exchange was closed due to Hurricane Sandy's
      # impact on New York.
      # It closed on 10/29 and 10/30, reopening on 10/31
      #     October 2012
      # 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
  
      for day_num in range(29, 31):
          non_trading_days.append(
              datetime(2012, 10, day_num, tzinfo=pytz.utc))
  
      # Misc closings from NYSE listing.
      # http://www.nyse.com/pdfs/closings.pdf
      #
      # National Days of Mourning
      # - President Richard Nixon
      non_trading_days.append(datetime(1994, 4, 27, tzinfo=pytz.utc))
      # - President Ronald W. Reagan - June 11, 2004
      non_trading_days.append(datetime(2004, 6, 11, tzinfo=pytz.utc))
      # - President Gerald R. Ford - Jan 2, 2007
      non_trading_days.append(datetime(2007, 1, 2, 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)
  
  
  def get_early_closes(start, end):
      # 1:00 PM close rules based on
      # http://quant.stackexchange.com/questions/4083/nyse-early-close-rules-july-4th-and-dec-25th # noqa
      # and verified against http://www.nyse.com/pdfs/closings.pdf
  
      # These rules are valid starting in 1993
  
      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 = []
  
      day_after_thanksgiving = rrule.rrule(
          rrule.MONTHLY,
          bymonth=11,
          # 4th Friday isn't correct if month starts on Friday, so restrict to
          # day range:
          byweekday=(rrule.FR),
          bymonthday=range(23, 30),
          cache=True,
          dtstart=start,
          until=end
      )
      early_close_rules.append(day_after_thanksgiving)
  
      christmas_eve = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=24,
          byweekday=(rrule.MO, rrule.TU, rrule.WE, rrule.TH),
          cache=True,
          dtstart=start,
          until=end
      )
      early_close_rules.append(christmas_eve)
  
      friday_after_christmas = rrule.rrule(
          rrule.MONTHLY,
          bymonth=12,
          bymonthday=26,
          byweekday=rrule.FR,
          cache=True,
          dtstart=start,
          # valid 1993-2007
          until=min(end, datetime(2007, 12, 31, tzinfo=pytz.utc))
      )
      early_close_rules.append(friday_after_christmas)
  
      day_before_independence_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=3,
          byweekday=(rrule.MO, rrule.TU, rrule.TH),
          cache=True,
          dtstart=start,
          until=end
      )
      early_close_rules.append(day_before_independence_day)
  
      day_after_independence_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=5,
          byweekday=rrule.FR,
          cache=True,
          dtstart=start,
          # starting in 2013: wednesday before independence day
          until=min(end, datetime(2012, 12, 31, tzinfo=pytz.utc))
      )
      early_close_rules.append(day_after_independence_day)
  
      wednesday_before_independence_day = rrule.rrule(
          rrule.MONTHLY,
          bymonth=7,
          bymonthday=3,
          byweekday=rrule.WE,
          cache=True,
          # starting in 2013
          dtstart=max(start, datetime(2013, 1, 1, tzinfo=pytz.utc)),
          until=max(end, datetime(2013, 1, 1, tzinfo=pytz.utc))
      )
      early_close_rules.append(wednesday_before_independence_day)
  
      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)
  
      # Misc early closings from NYSE listing.
      # http://www.nyse.com/pdfs/closings.pdf
      #
      # New Year's Eve
      nye_1999 = datetime(1999, 12, 31, tzinfo=pytz.utc)
      if start <= nye_1999 and nye_1999 <= end:
          early_closes.append(nye_1999)
  
      early_closes.sort()
      return pd.DatetimeIndex(early_closes)
  
  early_closes = get_early_closes(start, end)
  
  
  def get_open_and_close(day, early_closes):
      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')
  
      return market_open, market_close
  
  
  def get_open_and_closes(trading_days, early_closes, get_open_and_close):
      open_and_closes = pd.DataFrame(index=trading_days,
                                     columns=('market_open', 'market_close'))
  
      get_o_and_c = partial(get_open_and_close, early_closes=early_closes)
  
      open_and_closes['market_open'], open_and_closes['market_close'] = \
          zip(*open_and_closes.index.map(get_o_and_c))
  
      return open_and_closes
  
  open_and_closes = get_open_and_closes(trading_days, early_closes,
                                        get_open_and_close)
  