Deprecate the CMEExchangeCalendar and make the CMEEquityExchangeCalen…

…dar no longer inherit from the NYSE calendar.

docs/change_log.rst

@@ -3,8 +3,18 @@ Change Log
 
 Updates
 -------
-1.6.2 (11/3/20)
-~~~~~~~~~~~~~~~
+1.7 (5/6/20)
+~~~~~~~~~~~~
+This version eliminated the generic CMEExchangeCalendar. This calendar did not represent a specific market and thus
+was not appropriate for any use. With the addition of the specific calendars for product types this is no longer
+needed and is removed. To see the product specific calendars here: https://pandas-market-calendars.readthedocs.io/en/latest/calendars.html#futures-calendars
+
+For the CMEEquityExchangeCalendar, this no longer is a mirror of the NYSE calendar as some of the holidays for the NYSE
+are an open day with early close for CME. This calendar now has its own set of holiday assumptions. This may cause
+some holidays missing until this calendar is fully tested and vetted.
+
+1.6.2 (5/6/20)
+~~~~~~~~~~~~~~
 - Fix UK Holidays for #130
 - Fix CME Bond calendar for Good Friday #132
 

pandas_market_calendars/calendar_registry.py

@@ -3,7 +3,6 @@
 from .exchange_calendar_bmf import BMFExchangeCalendar
 from .exchange_calendar_cfe import CFEExchangeCalendar
 from .exchange_calendar_cme import \
-    CMEExchangeCalendar, \
     CMEAgricultureExchangeCalendar, \
     CMEEquityExchangeCalendar, \
     CMEBondExchangeCalendar

pandas_market_calendars/exchange_calendar_cme.py

@@ -27,56 +27,54 @@
 from .market_calendar import MarketCalendar
 
 
-# Useful resources for making changes to this file:
-# http://www.cmegroup.com/tools-information/holiday-calendar.html
+# Useful resources for making changes to this file: http://www.cmegroup.com/tools-information/holiday-calendar.html
+# The CME has different holiday rules depending on the type of instrument.
+# For example, http://www.cmegroup.com/tools-information/holiday-calendar/files/2016-4th-of-july-holiday-schedule.pdf # noqa
+# shows that Equity, Interest Rate, FX, Energy, Metals & DME Products close at 1200 CT on July 4, 2016, while Grain,
+# Oilseed & MGEX Products and Livestock, Dairy & Lumber products are completely closed.
 
 
-class CMEExchangeCalendar(MarketCalendar):
+class CMEEquityExchangeCalendar(MarketCalendar):
     """
-    Exchange calendar for CME
-
-    Open Time: 5:00 PM, America/Chicago
-    Close Time: 5:00 PM, America/Chicago
+    Exchange calendar for CME for Equity products
 
-    Regularly-Observed Holidays:
-    - New Years Day
-    - Good Friday
-    - Christmas
+    Open Time: 6:00 PM, America/New_York / 5:00 PM Chicago
+    Close Time: 5:00 PM, America/New_York / 4:00 PM Chicago
+    Break: 4:15 - 4:30pm America/New_York / 3:15 - 3:30 PM Chicago
     """
-    aliases = ['CME', 'CBOT', 'COMEX', 'NYMEX']
+    aliases = ['CME_Equity', 'CBOT_Equity']
 
     @property
     def name(self):
-        return "CME"
+        return "CME_Equity"
 
     @property
     def tz(self):
         return timezone('America/Chicago')
 
     @property
     def open_time_default(self):
-        return time(17, 1, tzinfo=self.tz)
+        return time(17, 0, tzinfo=self.tz)
 
     @property
     def close_time_default(self):
-        return time(17, tzinfo=self.tz)
+        return time(16, 0, tzinfo=self.tz)
 
     @property
     def open_offset(self):
         return -1
 
     @property
-    def regular_holidays(self):
-        # The CME has different holiday rules depending on the type of
-        # instrument. For example, http://www.cmegroup.com/tools-information/holiday-calendar/files/2016-4th-of-july-holiday-schedule.pdf # noqa
-        # shows that Equity, Interest Rate, FX, Energy, Metals & DME Products
-        # close at 1200 CT on July 4, 2016, while Grain, Oilseed & MGEX
-        # Products and Livestock, Dairy & Lumber products are completely
-        # closed.
+    def break_start(self):
+        return time(15, 15)
+
+    @property
+    def break_end(self):
+        return time(15, 30)
 
-        # For now, we will treat the CME as having a single calendar, and just
-        # go with the most conservative hours - and treat July 4 as an early
-        # close at noon.
+    @property
+    def regular_holidays(self):
+        # Many days that are holidays for the NYSE are an early close day for CME
         return AbstractHolidayCalendar(rules=[
             USNewYearsDay,
             GoodFriday,
@@ -105,46 +103,6 @@ def special_closes(self):
         )]
 
 
-class CMEEquityExchangeCalendar(NYSEExchangeCalendar):
-    """
-    Exchange calendar for CME for Equity products
-
-    Open Time: 6:00 PM, America/New_York
-    Close Time: 5:00 PM, America/New_York
-    Break: 4:15 - 4:30pm America/New_York
-
-    Regularly-Observed Holidays same as NYSE equity markets
-    """
-    aliases = ['CME_Equity', 'CBOT_Equity']
-
-    @property
-    def name(self):
-        return "CME_Equity"
-
-    @property
-    def tz(self):
-        return timezone('America/New_York')
-
-    @property
-    def open_time_default(self):
-        return time(18, 0, tzinfo=self.tz)
-
-    @property
-    def close_time_default(self):
-        return time(17, 0, tzinfo=self.tz)
-
-    @property
-    def open_offset(self):
-        return -1
-
-    @property
-    def break_start(self):
-        return time(16, 15)
-
-    @property
-    def break_end(self):
-        return time(16, 30)
-
 
 class CMEAgricultureExchangeCalendar(MarketCalendar):
     """

setup.py

@@ -9,7 +9,7 @@
 from setuptools import find_packages, setup
 
 # version
-VERSION = '1.6.2'
+VERSION = '1.7'
 
 # requirements
 REQUIRED_PYTHON = '>=3.5.0'

tests/test_cme_equity_calendar.py

@@ -5,11 +5,50 @@
 
 
 def test_time_zone():
-    assert CMEEquityExchangeCalendar().tz == pytz.timezone('America/New_York')
+    assert CMEEquityExchangeCalendar().tz == pytz.timezone('America/Chicago')
     assert CMEEquityExchangeCalendar().name == 'CME_Equity'
 
 
 def test_sunday_opens():
     cme = CMEEquityExchangeCalendar()
     schedule = cme.schedule('2020-01-01', '2020-01-31', tz='America/New_York')
     assert pd.Timestamp('2020-01-12 18:00:00', tz='America/New_York') == schedule.at['2020-01-13', 'market_open']
+
+
+def test_2016_holidays():
+    # good friday: 2016-03-25
+    # christmas (observed): 2016-12-26
+    # new years (observed): 2016-01-02
+    cme = CMEEquityExchangeCalendar()
+    good_dates = cme.valid_days('2016-01-01', '2016-12-31')
+    for date in ["2016-03-25", "2016-12-26", "2016-01-02"]:
+        assert pd.Timestamp(date, tz='UTC') not in good_dates
+
+
+def test_2016_early_closes():
+    # mlk day: 2016-01-18
+    # presidents: 2016-02-15
+    # mem day: 2016-05-30
+    # july 4: 2016-07-04
+    # labor day: 2016-09-05
+    # thanksgiving: 2016-11-24
+
+    cme = CMEEquityExchangeCalendar()
+    schedule = cme.schedule('2016-01-01', '2016-12-31')
+    early_closes = cme.early_closes(schedule).index
+
+    for date in ["2016-01-18", "2016-02-15", "2016-05-30", "2016-07-04",
+                 "2016-09-05", "2016-11-24"]:
+        dt = pd.Timestamp(date, tz='UTC')
+        assert dt in early_closes
+
+        market_close = schedule.loc[dt].market_close
+        assert market_close.tz_convert(cme.tz).hour == 12
+
+
+def test_dec_jan():
+    cme = CMEEquityExchangeCalendar()
+    schedule = cme.schedule('2016-12-30', '2017-01-10')
+
+    assert schedule['market_open'].iloc[0] == pd.Timestamp('2016-12-29 23:00:00', tz='UTC')
+    assert schedule['market_close'].iloc[6] == pd.Timestamp('2017-01-10 22:00:00', tz='UTC')

tests/test_utils.py

@@ -17,7 +17,7 @@ def test_get_calendar():
     assert cal.close_time == datetime.time(14, 30)
 
     # confirm that import works properly
-    _ = mcal.get_calendar('CME')
+    _ = mcal.get_calendar('CME_Equity')
 
 
 def test_get_calendar_names():