NYSE Calendar differences prior to 1990

[rsheftel]

I see that the earliest starting date for the NYSE (XNYS) calendar is 1990-01-01 and from that date onwards the trading_calendars and pandas_market_calendars implementation are the same. But prior to that date there are many changes in the holiday calendar that pcal has that trading_calendars does not. If you are OK, I would suggest bringing over the pre-1990 holidays.

These holidays were added by @pldrouin in rsheftel/pandas_market_calendars#30. He was nice enough to upload a csv of all the holidays in the /tests/data/nyse_all_full_day_holidays_since_1928.csv and the results can be verified here: http://s3.amazonaws.com/armstrongeconomics-wp/2013/07/NYSE-Closings.pdf

Example:

trading_calendars:

from .us_holidays import (
    USNewYearsDay,
    USMartinLutherKingJrAfter1998,
    USMemorialDay,
    USIndependenceDay,
    Christmas,
    MonTuesThursBeforeIndependenceDay,
    FridayAfterIndependenceDayExcept2013and2019,
    USBlackFridayBefore1993,
    USBlackFridayInOrAfter1993,
    September11Closings,
    HurricaneSandyClosings,
    HurricaneGloriaClosing,
    NewYorkBlackout,
    PresidentialElectionDays,
    USNationalDaysofMourning,
    ChristmasEveBefore1993,
    ChristmasEveInOrAfter1993,
)

pandas_market_calendars

def regular_holidays(self):
       return AbstractHolidayCalendar(rules=[
           USNewYearsDay,
           USMartinLutherKingJrAfter1998,
           USLincolnsBirthDayBefore1954,
           USWashingtonsBirthDayBefore1964,
           USWashingtonsBirthDay1964to1970,
           USPresidentsDay,
           GoodFriday,
           USMemorialDayBefore1964,
           USMemorialDay1964to1969,
           USMemorialDay,
           USIndependenceDayBefore1954,
           USIndependenceDay,
           USLaborDay,
           USThanksgivingDayBefore1939,
           USThanksgivingDay1939to1941,
           USThanksgivingDay,
           USElectionDay1848to1967,
           USElectionDay1968to1980,
           USVeteransDay1934to1953,
           USColumbusDayBefore1954,
           ChristmasBefore1954,
           Christmas,
       ])

[gerrymanoim]

@jmccorriston - this makes sense to me. Thoughts?

[jmccorriston]

Yeah, I have not done the Research pre-1990, and we don't depend on that for Q, so let's pull it in!