Merge pull request quantopian#85 from quantopian/russia

Russia Calendar

README.md

@@ -44,6 +44,7 @@ A Python library of exchange calendars meant to be used with [Zipline](https://g
 | 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       | *             | http://www.bursamalaysia.com/market/                         |
+| Moscow Exchange                 | XMOS     | Russia         | *             | https://www.moex.com/en/                                     |
 
 Calendars marked with an asterisk (*) have not yet been released.
 

tests/test_trading_calendar.py

@@ -202,6 +202,8 @@ class ExchangeCalendarTestBase(object):
 
     # Affects test_start_end. Change these if your calendar start/end
     # dates between 2010-01-03 and 2010-01-10 don't match the defaults.
+    TEST_START_END_FIRST = pd.Timestamp('2010-01-03', tz=UTC)
+    TEST_START_END_LAST = pd.Timestamp('2010-01-10', tz=UTC)
     TEST_START_END_EXPECTED_FIRST = pd.Timestamp('2010-01-04', tz=UTC)
     TEST_START_END_EXPECTED_LAST = pd.Timestamp('2010-01-08', tz=UTC)
 
@@ -820,10 +822,10 @@ def test_start_end(self):
         """
         Check TradingCalendar with defined start/end dates.
         """
-        start = pd.Timestamp('2010-1-3', tz=UTC)
-        end = pd.Timestamp('2010-1-10', tz=UTC)
-
-        calendar = self.calendar_class(start=start, end=end)
+        calendar = self.calendar_class(
+            start=self.TEST_START_END_FIRST,
+            end=self.TEST_START_END_LAST,
+        )
 
         self.assertEqual(
             calendar.first_trading_session,

tests/test_xmos_calendar.py

@@ -0,0 +1,130 @@
+from unittest import TestCase
+
+import pandas as pd
+from pytz import UTC
+
+from trading_calendars.exchange_calendar_xmos import XMOSExchangeCalendar
+
+from .test_trading_calendar import ExchangeCalendarTestBase
+
+
+class XMOSCalendarTestCase(ExchangeCalendarTestBase, TestCase):
+
+    answer_key_filename = 'xmos'
+    calendar_class = XMOSExchangeCalendar
+
+    # The XMOS is open from 10:00AM to 6:45PM.
+    MAX_SESSION_HOURS = 8.75
+
+    # In 2009 in Russia, daylight savings began on March 29th and ended on
+    # October 25th.
+    DAYLIGHT_SAVINGS_DATES = ['2009-03-30', '2009-10-26']
+
+    HAVE_EARLY_CLOSES = False
+
+    # The default `MINUTE_INDEX_TO_SESSION_LABELS_START` is not a session in
+    # the XMOS calendar so overwrite that date here.
+    MINUTE_INDEX_TO_SESSION_LABELS_START = pd.Timestamp('2019-01-04', tz=UTC)
+    MINUTE_INDEX_TO_SESSION_LABELS_END = pd.Timestamp('2019-04-04', tz=UTC)
+
+    # None of the dates in the default range for these are trading days in the
+    # XMOS, so overwrite them here.
+    TEST_START_END_FIRST = pd.Timestamp('2019-01-13', tz=UTC)
+    TEST_START_END_LAST = pd.Timestamp('2019-01-20', tz=UTC)
+    TEST_START_END_EXPECTED_FIRST = pd.Timestamp('2019-01-14', tz=UTC)
+    TEST_START_END_EXPECTED_LAST = pd.Timestamp('2019-01-18', tz=UTC)
+
+    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('2019-01-02', tz=UTC),  # New Year's Holiday
+            pd.Timestamp('2019-01-07', tz=UTC),  # Orthodox Christmas
+            pd.Timestamp('2018-02-23', tz=UTC),  # Defender of the Fatherland
+            pd.Timestamp('2019-03-08', tz=UTC),  # Women's Day
+            pd.Timestamp('2019-05-01', tz=UTC),  # Labour Day
+            pd.Timestamp('2019-05-09', tz=UTC),  # Victory Day
+            pd.Timestamp('2019-06-12', tz=UTC),  # Day of Russia
+            pd.Timestamp('2019-11-04', tz=UTC),  # Unity Day
+            pd.Timestamp('2019-12-31', tz=UTC),  # New Year's Eve
+        ]
+
+        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
+
+        # Most holidays falling on a weekend should be observed the following
+        # Monday.
+        expected_holidays = [
+            # New Year's Day on a Saturday and New Year's Holiday on a Sunday.
+            pd.Timestamp('2011-01-03', tz=UTC),
+            # Orthodox Christmas (January 7th) on a Sunday.
+            pd.Timestamp('2018-01-08', tz=UTC),
+            # Defender of the Fatherland Day (February 23rd) on a Saturday.
+            pd.Timestamp('2008-02-25', tz=UTC),
+            # Women's Day (March 8th) on a Sunday.
+            pd.Timestamp('2015-03-09', tz=UTC),
+            # Labour Day (May 1st) on a Sunday.
+            pd.Timestamp('2016-05-02', tz=UTC),
+            # Victory Day (May 9th) on a Saturday.
+            pd.Timestamp('2015-05-11', tz=UTC),
+            # Day of Russia (June 12th) on a Sunday.
+            pd.Timestamp('2016-06-13', tz=UTC),
+            # Unity Day (November 4th) on a Sunday.
+            pd.Timestamp('2018-11-05', tz=UTC),
+        ]
+
+        for holiday_label in expected_holidays:
+            self.assertNotIn(holiday_label, all_sessions)
+
+        # Some holidays have exceptions to the observe-on-monday rule.
+        expected_sessions = [
+            # New Year's Holiday on a Saturday, but the following Monday is a
+            # trading day.
+            pd.Timestamp('2016-01-04', tz=UTC),
+            # Orthodox Christmas on a Saturday, but the following Monday is a
+            # trading day.
+            pd.Timestamp('2017-01-09', tz=UTC),
+            # Defender of the Fatherland Day (February 23rd) on a Saturday, but
+            # the following Monday is a trading day.
+            pd.Timestamp('2019-02-25', tz=UTC),
+        ]
+
+        for session_label in expected_sessions:
+            self.assertIn(session_label, all_sessions)
+
+    def test_bridge_days(self):
+        all_sessions = self.calendar.all_sessions
+
+        # A "bridge day" is either a Monday or Friday that is made into a
+        # holiday to fill in the gap between a Tuesday or Thursday holiday,
+        # respectively.
+        expected_holidays = [
+            # In 2016, Orthodox Christmas fell on a Thursday so the Friday
+            # after it is a holiday.
+            pd.Timestamp('2016-01-08', tz=UTC),
+            # In 2010, Defender of the Fatherland Day fell on a Tuesday, so the
+            # Monday before it is a holiday.
+            pd.Timestamp('2010-02-22', tz=UTC),
+            # In 2012, Women's Day fell on a Thursday, so the Friday after it
+            # is a holiday.
+            pd.Timestamp('2012-03-09', tz=UTC),
+            # In 2012, Labour Day fell on a Tuesday, so the Monday before it is
+            # a holiday.
+            pd.Timestamp('2012-04-30', tz=UTC),
+            # In 2017, Victory Day fell on a Tuesday, so the Monday before it
+            # is a holiday.
+            pd.Timestamp('2017-05-08', tz=UTC),
+            # In 2014, Day of Russia fell on a Thursday, so the Friday after it
+            # is a holiday.
+            pd.Timestamp('2014-06-13', tz=UTC),
+            # in 2010, Unity Day fell on a Thursday, so the Friday after it is
+            # a holiday.
+            pd.Timestamp('2010-11-05', tz=UTC),
+        ]
+
+        for holiday_label in expected_holidays:
+            self.assertNotIn(holiday_label, all_sessions)

trading_calendars/calendar_utils.py

@@ -31,6 +31,7 @@
 from .exchange_calendar_xmad import XMADExchangeCalendar
 from .exchange_calendar_xmex import XMEXExchangeCalendar
 from .exchange_calendar_xmil import XMILExchangeCalendar
+from .exchange_calendar_xmos import XMOSExchangeCalendar
 from .exchange_calendar_xnys import XNYSExchangeCalendar
 from .exchange_calendar_xnze import XNZEExchangeCalendar
 from .exchange_calendar_xosl import XOSLExchangeCalendar
@@ -77,6 +78,7 @@
     'XMAD': XMADExchangeCalendar,
     'XMEX': XMEXExchangeCalendar,
     'XMIL': XMILExchangeCalendar,
+    'XMOS': XMOSExchangeCalendar,
     'XNYS': XNYSExchangeCalendar,
     'XNZE': XNZEExchangeCalendar,
     'XOSL': XOSLExchangeCalendar,