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Additional properties

Extended exchange calendars expose additional properties beyond those available in exchange-calendars.

Property reference

holidays_all

Regular and ad-hoc holidays in a single calendar.

special_opens_all

Regular and ad-hoc special open days in a single calendar.

special_closes_all

Regular and ad-hoc special close days in a single calendar.

weekend_days

Weekend days, as defined by the underlying weekmask, in a single calendar.

week_days

Week days (the complement of weekend days) in a single calendar.

quarterly_expiries

Quarterly expiry days (quadruple witching). Typically observed on the third Friday of March, June, September, and December, though some exchanges observe them on Thursday. Collisions with holidays or special open/close days are usually resolved by rolling backward to the previous regular business day.

monthly_expiries

Monthly expiry days for all remaining months that do not have a quarterly expiry day. Provided in a separate calendar as they typically result in less extreme trading patterns.

last_session_of_months

The last trading session for each month of the year.

last_regular_session_of_months

The last regular trading session for each month of the year, i.e. not a special open/close or otherwise irregular day.

tags

Method to query day ranges for given tags. See Tags for details.

Aggregate calendars

The aggregate calendars holidays_all, special_opens_all, special_closes_all merge regular and ad-hoc entries into a single calendar so you don't have to query multiple calendars on the underlying exchange calendar.

Note

Aggregate calendars for special open/close days may combine days with different session times. The individual open/close time cannot be recovered from the aggregate calendars alone.

import exchange_calendars as ec
import exchange_calendars_extensions as ecx

ecx.apply_extensions()

calendar = ec.get_calendar("XLON")
print(
    calendar.holidays_all.holidays(
        start="2020-01-01", end="2020-12-31", return_name=True
    )
)


2020-01-01         New Year's Day
2020-04-10            Good Friday
2020-04-13          Easter Monday
2020-05-08                    NaN
2020-05-25    Spring Bank Holiday
2020-08-31    Summer Bank Holiday
2020-12-25              Christmas
2020-12-26             Boxing Day
2020-12-28     Weekend Boxing Day
dtype: object

NumPy's NaN indicates holidays without a specific name in the exchange-calendars model such as ad-hoc holidays. E.g. 2020-05-08 is an ad-hoc holiday for XLON, the early May bank holiday was moved in honor of the 75th VE Day anniversary; see announcement.

Week and weekend days

The calendars week_days and weekend_days reflect the underlying weekmask of the exchange calendar. A week day is usually a business day, but can also be a holiday. Weekend days are never business days, but can be holidays as well.

import exchange_calendars as ec
import exchange_calendars_extensions as ecx

ecx.apply_extensions()

calendar = ec.get_calendar("XLON")
print(
    calendar.week_days.holidays(
        start="2020-01-01", end="2020-12-31"
    )
)
print(
    calendar.weekend_days.holidays(
        start="2020-01-01", end="2020-12-31"
    )
)

Note

Calendars for week and weekend days, and some other additional calendars, do not provide names. Using return_name=True only makes sense if you specifically need a Pandas Series instead of a DatetimeIndex.

DatetimeIndex(['2020-01-01', '2020-01-02', '2020-01-03', '2020-01-06',
               '2020-01-07', '2020-01-08', '2020-01-09', '2020-01-10',
               '2020-01-13', '2020-01-14',
               ...
               '2020-12-18', '2020-12-21', '2020-12-22', '2020-12-23',
               '2020-12-24', '2020-12-25', '2020-12-28', '2020-12-29',
               '2020-12-30', '2020-12-31'],
              dtype='datetime64[us]', length=262, freq=None)
DatetimeIndex(['2020-01-04', '2020-01-05', '2020-01-11', '2020-01-12',
               '2020-01-18', '2020-01-19', '2020-01-25', '2020-01-26',
               '2020-02-01', '2020-02-02',
               ...
               '2020-11-28', '2020-11-29', '2020-12-05', '2020-12-06',
               '2020-12-12', '2020-12-13', '2020-12-19', '2020-12-20',
               '2020-12-26', '2020-12-27'],
              dtype='datetime64[us]', length=104, freq=None)

Quarterly/monthly expiry days

Quarterly and monthly expiry calendars are available for select exchanges.

import exchange_calendars as ec
import exchange_calendars_extensions as ecx

ecx.apply_extensions()

calendar = ec.get_calendar("XLON")
print(calendar.quarterly_expiries.holidays(start="2023-01-01", end="2023-12-31"))
print(calendar.monthly_expiries.holidays(start="2023-01-01", end="2023-12-31"))


DatetimeIndex(['2023-03-17', '2023-06-16', '2023-09-15', '2023-12-15'], dtype='datetime64[us]', freq=None)
DatetimeIndex(['2023-01-20', '2023-02-17', '2023-04-21', '2023-05-19',
               '2023-07-21', '2023-08-18', '2023-10-20', '2023-11-17'],
              dtype='datetime64[us]', freq=None)

Expiry days do not provide names.

Last trading days of months

Like the expiry day calendars, the last (regular) trading day of a month calendars do not provide names.

import exchange_calendars as ec
import exchange_calendars_extensions as ecx

ecx.apply_extensions()

calendar = ec.get_calendar("XLON")
print(
    calendar.last_trading_days_of_months.holidays(start="2023-01-01", end="2023-12-31")
)
print(
    calendar.last_regular_trading_days_of_months.holidays(
        start="2023-01-01", end="2023-12-31"
    )
)


DatetimeIndex(['2023-01-31', '2023-02-28', '2023-03-31', '2023-04-28',
               '2023-05-31', '2023-06-30', '2023-07-31', '2023-08-31',
               '2023-09-29', '2023-10-31', '2023-11-30', '2023-12-29'],
              dtype='datetime64[us]', freq=None)
DatetimeIndex(['2023-01-31', '2023-02-28', '2023-03-31', '2023-04-28',
               '2023-05-31', '2023-06-30', '2023-07-31', '2023-08-31',
               '2023-09-29', '2023-10-31', '2023-11-30', '2023-12-28'],
              dtype='datetime64[us]', freq=None)

Notice the difference in December: 2023-12-29 is a special close day on XLON, so 2023-12-28 is the last regular trading day in that month.

These calendars also do not provide names.

Tags

Tags are a completely new feature that let you attach arbitrary labels to days. As a consequence, no tags are present on any calendar or days by default. They first need to be added through the changes API; see Calendar changes.

Once added, tags can be retrieved using the tags method.

import exchange_calendars as ec
import exchange_calendars_extensions as ecx
from exchange_calendars_extensions.changes import (
    DayChange,
)

ecx.apply_extensions()

changeset = {
    "2022-12-27": DayChange(tags={"foo", "bar"}),
    "2022-12-28": DayChange(tags={"foo", "foobar"}),
}

ecx.change_calendar("XLON", changeset)

calendar = ec.get_calendar("XLON")

print(calendar.tags(return_tags=True))


2022-12-27       {foo, bar}
2022-12-28    {foo, foobar}
dtype: object

See the Tags section for details.