BUG: Trading calendar with end date treats last business day as regular even if it is a special close/open day.

[jenskeiner]

While working on #4, I discovered what is likely a bug in the TradingCalendar base class.

When a calendar, e.g. for XETR or XWBO, is created with end date, say, 2020-12-30, then that day itself always seems to be treated as a regular business day if the exchange is open at all that day.

However, XETR and XWBO have rules in that make the last trading day of a year a special close day. This seems to be ignored in this case. If the end date is chosen to be after the special close day in question, then the special close is again reflected accurately.

The bug seems to manifest itself only in the edge case where the end date is a special open/close day.

@gerrymanoim Can you have look? You're probably quicker at finding the root cause. Let me know if I can help.

[maread99]

I just came across this as well. Example for reference:

from exchange_calendars.exchange_calendar_xlon import XLONExchangeCalendar

start =pd.Timestamp("2020-12-30", tz="UTC")
end = pd.Timestamp("2021-01-04", tz="UTC")
XLONExchangeCalendar(start, end).closes

returns...

2020-12-30 00:00:00+00:00   2020-12-30 16:30:00
2020-12-31 00:00:00+00:00   2020-12-31 12:30:00
2021-01-04 00:00:00+00:00   2021-01-04 16:30:00
Freq: C, Name: market_close, dtype: datetime64[ns]

i.e. close on 2020-12-31 is correct (12.30)

although...

end = pd.Timestamp("2020-12-31", tz="UTC")
XLONExchangeCalendar(start, end).closes

returns...

2020-12-30 00:00:00+00:00   2020-12-30 16:30:00
2020-12-31 00:00:00+00:00   2020-12-31 16:30:00
Freq: C, Name: market_close, dtype: datetime64[ns]

Worth noting that cases when this bug appears include whenever the end date is the last day of a year (I imagine not uncommon usage) and that last day of the year (i.e. new year's eve) is a special close (certainly not uncommon!).

[maread99]

The bug's here:

result = result.loc[(result >= start_date) & (result <= end_date)]

Using the XLON example above, what's happening is end_date is "2020-12-31 00:00" whilst the value in result being subjected to the query is "2020-12-31 12:30", i.e. it fails the query because if falls after end_date.

Fix:

end_rng = end_date + pd.Timedelta(1, "D")
result = result.loc[(result >= start_date) & (result < end_rng)]

Fix in PR #88.