A Python Library for Security Exchange Calendars

Exploring exchange_calendars: A Python Library for Security Exchange Calendars

Are you a software engineer or solution architect working with security exchanges and trading schedules? If so, the exchange_calendars Python library could be a valuable tool in your toolkit. In this article, we will explore the features, capabilities, and use cases of exchange_calendars, a powerful library for defining and querying calendars for security exchanges.

What is exchange_calendars?

exchange_calendars is a Python library that provides a comprehensive set of tools for working with security exchange calendars. With exchange_calendars, you can access calendars for over 50 exchanges out of the box, including major security exchanges like the New York Stock Exchange, London Stock Exchange, and Tokyo Stock Exchange. Additionally, you have the ability to create custom calendars for specific exchanges not included in the library.

Getting Started with exchange_calendars

To get started with exchange_calendars, you can install the library using pip:

bash
$ pip install exchange_calendars

Once installed, you can import and use the library in your Python projects:

python
import exchange_calendars as xcals

Working with Calendars

exchange_calendars provides a wide range of methods for working with calendars. You can get a list of available calendars using the get_calendar_names method:

“`python

xcals.get_calendar_names(include_aliases=False)[5:10]
[‘CMES’, ‘IEPA’, ‘XAMS’, ‘XASX’, ‘XBKK’]
“`

You can also retrieve specific calendars by their ISO code:

“`python

xnys = xcals.get_calendar(“XNYS”) # New York Stock Exchange
xhkg = xcals.get_calendar(“XHKG”) # Hong Kong Stock Exchange
“`

Querying the Schedule

Once you have a calendar, you can query the trading schedule using the schedule attribute:

“`python

xhkg.schedule.loc[“2021-12-29″:”2022-01-04”]
“`

This will return a DataFrame with the open, break start, break end, and close times for the specified date range.

Working with Sessions and Minutes

exchange_calendars also provides methods for working with sessions and minutes. You can check if a specific date is a trading session using the is_session method:

“`python

xnys.is_session(“2022-01-01”)
False
“`

You can also retrieve the sessions within a specified date range:

“`python

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’)
“`

For more granular control, you can work with minutes within a session:

“`python

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)
“`

Tutorials and More

exchange_calendars provides a range of tutorials and documentation to help you make the most of the library. You can access these tutorials and documentation in the docs/tutorials directory of the library’s GitHub repository. Some of the available tutorials include:

• sessions.ipynb: A tutorial on working with sessions
• minutes.ipynb: A deep dive into working with minutes
• calendar_properties.ipynb: A walkthrough of calendar construction and properties
• calendar_methods.ipynb: A comprehensive guide to all methods available for interrogating a calendar
• trading_index.ipynb: A tutorial on using the trading_index method

Contributing and Support

exchange_calendars is an open-source library maintained by the community. If you find a bug, have a feature request, or would like to contribute a new calendar, you can do so by opening a Pull Request on the library’s GitHub repository. Contributions are greatly appreciated and help improve the library for all users.

Conclusion

exchange_calendars is a powerful Python library for working with security exchange calendars. With its extensive collection of pre-defined calendars and the ability to create custom calendars, it provides a comprehensive toolkit for software engineers and solution architects working with security exchanges. Whether you need to query trading schedules, work with sessions and minutes, or create meaningful datasets, exchange_calendars has you covered. Explore the library’s documentation, try out the tutorials, and leverage its powerful capabilities to enhance your financial applications.

References:
– exchange_calendars GitHub Repository
– exchange_calendars Documentation

Tags: Python, libraries, security exchanges, calendars, trading schedule, sessions, minutes