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[vincentwyshan]

Workflow to add a new Exchange Calendar

It's recommended that whilst working through the process reference be made to existing calendar and test classes.

• Add calendar module exchange_calendars/exchange_calendar_{Exchange MIC}.py. Module should contain a subclass of the abstract base class ExchangeCalendar (in exchange_calendars/exchange_calendar.py).
  • Name subclass {Exchange MIC}ExchangeCalendar.
  • Override methods and properties as required, being guided by ExchangeCalendar documentation and in-code comments. All abstract properties must be overriden.
  • Include references / links for holidays and timings (either to class documentation or as comments).
• Import calendar class to exchange_calendars/calendar_utils.py and add class to _default_calendar_factories.
• Add calendar test module tests/test_{Exchange MIC}_calendar.py Module should contain a subclass of the test base class ExchangeCalendarTestBase (in tests/test_exchange_calendars.py).
  • Name subclass Test{Exchange MIC}Calendar.
  • Override fixtures as required, being guided by ExchangeCalendarTestBase documentation and in-code comments. The calendar_cls and max_session_hours fixtures must be overriden.
• Add a .csv file containing expected timings to tests/resources/{Exchange MIC}.csv. This file be generated by executing python etc/make_exchange_calendar_test_csv.py {Exchange MIC}. See script's documentation.
• Add new exchange to Calendars table of README.md.
• PR it!

Workflow to modify an existing Exchange Calendar

• Modify calendar class as required.
• Modify the test resources file (e.g tests/resources/{Exchange MIC}.csv), either manually or by executing python etc/make_exchange_calendar_test_csv.py {Exchange MIC}.
• Check if any of the fixtures in tests/test_{Exchange MIC}_calendar.py need updating to reflect your changes.
• Add references to any new/modified holidays in exchange_calendars/exchange_calendar_{Exchange MIC}.py.