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gerrymanoim / exchange_calendars

Calendars for various securities exchanges.
Apache License 2.0
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Suggestion: use 'holidays' module to manage holiday dates #242

Closed ValueRaider closed 1 year ago

ValueRaider commented 1 year ago

'holidays' module is simple and self-descriptive so I won't elaborate: https://github.com/dr-prodigy/python-holidays

Main reason I suggest it is to avoid duplicating work, and also that module gets new holidays merged in faster than this repo. Eg. the new QEII holiday got merged into their Aussie calendar 4 days faster, and New Zealand Matariki day 1 year faster.

maread99 commented 1 year ago

Seems like a great resource, although I would be very wary of assuming that a country or region's holidays exactly match the days that local exchanges are closed. In my experience they very often are not the same.

Having said that, perhaps it would be useful to have a script that identifies differences between holidays from https://github.com/dr-prodigy/python-holidays with the holidays defined for an ExchangeCalendar. Anyone interested in a particular calendar could use it to identify potential errors to be investigated.

ValueRaider commented 1 year ago

They do cover financial holidays - holidays.financial_holidays('<exchange>) - but I assumed this was comprehensive. Actually it only provides NYSE.

But the big problem I discover is they don't use pandas, so this would probably kill fabrication performance. So best to limit to testing/debugging as you suggest.

I'll close issue