Calendars

What is it?

A calendar is a set of available trading dates for a certain method of trading. For example, one calendar may include only weekdays from 9:00AM to 4:00PM excluding holidays (stocks). They allow for the database to retrieve any necessary data that isn't already in the storage, effectively limiting the amount of historical API calls made.

See calendar reference

NYSE Calendar

The NYSE calendar includes all weekdays from 9:00AM to 4:00PM, excluding holidays. This is commonly used for trading stocks.

See NYSE calendar reference

Creating a Calendar

To create your own calendar, subclass the Calendar abstract class and implement the get_expected_timestamps method:

class MyCalendar(Calendar):
    def get_expected_timestamps(
        self,
        start_timestamp: int,
        end_timestamp: int,
        interval: Interval,
    ) -> tuple[datetime, ...]:
        """
        Returns the expected available timestamps in a calendar for a specified period.

        Args:
            start_timestamp: The start time in unix ms.
            end_timestamp: The end time in unix ms.
            interval: The bar interval type.

        Returns:
            tuple[datetime]: The dates & times of the available trading bars for the designated period.
        """
        # Your implementation here
        ...

One recommended resource for implementing your own calendars is the exchange_calendars library, which is used for the NYSE calendar and is a dependency for the project.