Use holidays for trading centres

Author: lsbardel

.gitignore

@@ -3,6 +3,7 @@
 
 #IDE
 .idea
+.vscode
 
 #python
 *.pyc

.vscode/settings.json

@@ -31,7 +31,7 @@ def act_act_years(dt: date) -> float:
     a = 0.0
     if r > 0:
         a = 1.0
-    dd = (dt - date(y, 1, 1)).days
+    dd = (dt - date(y, 1, 1)).total_seconds() / 86400
     return y + dd / (365.0 + a)
 
 
@@ -49,8 +49,9 @@ def __new__(cls, name: str, bases: Any, attrs: Any) -> DayCounterMeta:
 class DayCounter(metaclass=DayCounterMeta):
     name: str = ""
 
-    def count(self, start: date, end: date) -> int:
-        return (end - start).days
+    def count(self, start: date, end: date) -> float:
+        """Count the number of days between 2 dates"""
+        return (end - start).total_seconds() / 86400
 
     def dcf(self, start: date, end: date) -> float:
         return self.count(start, end) / 360.0

ccy/core/daycounter.py

@@ -1,13 +1,96 @@
-from .centres import TradingCentre, centres
+from __future__ import annotations
 
-__all__ = ["centres", "TradingCentre", "prevbizday", "nextbizday"]
+from dataclasses import dataclass, field
+from datetime import date, timedelta
+import holidays
+import holidays.countries
+import holidays.financial
 
+isoweekend = frozenset((6, 7))
+oneday = timedelta(days=1)
 
-def prevbizday(dte=None, nd=1, tcs=None):
-    tcs = centres(tcs)
-    return tcs.prevbizday(dte, nd)
+_tcs: dict[str, TradingCentre] = {}
 
 
-def nextbizday(dte=None, nd=1, tcs=None):
-    tcs = centres(tcs)
-    return tcs.nextbizday(dte, nd)
+def prevbizday(dte: date, nd: int = 1, tcs: str | None = None) -> date:
+    return centres(tcs).prevbizday(dte, nd)
+
+
+def nextbizday(dte: date, nd: int = 1, tcs: str | None = None) -> date:
+    return centres(tcs).nextbizday(dte, nd)
+
+
+def centres(codes: str | None = None) -> TradingCentres:
+    tcs = TradingCentres()
+    if codes:
+        lcs = codes.upper().replace(" ", "").split(",")
+        for code in lcs:
+            tc = _tcs.get(code)
+            if tc:
+                tcs.centres[tc.code] = tc
+    return tcs
+
+
+@dataclass
+class TradingCentre:
+    code: str
+    calendar: holidays.HolidayBase
+
+    def isholiday(self, dte: date) -> bool:
+        return dte not in self.calendar
+
+
+@dataclass
+class TradingCentres:
+    centres: dict[str, TradingCentre] = field(default_factory=dict)
+
+    def isbizday(self, dte: date) -> bool:
+        if dte.isoweekday() in isoweekend:
+            return False
+        for c in self.centres.values():
+            if c.isholiday(dte):
+                return False
+        return True
+
+    def nextbizday(self, dte: date, nd: int = 1) -> date:
+        n = 0
+        while not self.isbizday(dte):
+            dte += oneday
+        while n < nd:
+            dte += oneday
+            if self.isbizday(dte):
+                n += 1
+        return dte
+
+    def prevbizday(self, dte: date, nd: int = 1) -> date:
+        n = 0
+        if nd < 0:
+            return self.nextbizday(dte, -nd)
+        else:
+            while not self.isbizday(dte):
+                dte -= oneday
+            n = 0
+            while n < nd:
+                dte -= oneday
+                if self.isbizday(dte):
+                    n += 1
+        return dte
+
+
+_tcs.update(
+    (tc.code, tc)
+    for tc in (
+        TradingCentre(
+            code="TGT",
+            calendar=holidays.financial.european_central_bank.EuropeanCentralBank(),  # type: ignore [no-untyped-call]
+        ),
+        TradingCentre(
+            code="LON",
+            calendar=holidays.countries.united_kingdom.UnitedKingdom(),  # type: ignore [no-untyped-call]
+        ),
+        TradingCentre(
+            code="NY",
+            calendar=holidays.countries.united_states.UnitedStates(),  # type: ignore [no-untyped-call]
+        ),
+    )
+)