On Thu, Jun 2, 2011 at 7:25 AM, Marc Shivers <marc.shiv...@gmail.com> wrote:
> Regarding business days, for financial data, trading days are > determined by each exchange, so, in particular, there is no such thing > as a US Trading Calendar, only a NYSE Calendar, NYMEX Calendar, etc, > etc... . I think it would be useful to have functionality where you > could start with a weekday calendar with specified normal trading > hours and easily remove a list of non-trading days that the user > specifies as well as modify the days where the trading hours are > shorter (e.g. the day after thanksgiving). > What kind of functions/data would be needed for days with shorter trading hours? The design I've sketched out supports everything you're describing except things related to trading hours. > > I think anything more specific should probably be relegated to a > specific package for financial calendars, as this entire topic gets > very messy very fast. > I definitely agree, NumPy would have no knowledge of specifics, just a mechanism to tell it when holidays are, etc, and do reasonable calculations on them. -Mark > > -Marc > > On Wed, Jun 1, 2011 at 7:47 PM, Wes McKinney <wesmck...@gmail.com> wrote: > > On Wed, Jun 1, 2011 at 10:29 PM, Charles R Harris > > <charlesr.har...@gmail.com> wrote: > >> > >> > >> On Wed, Jun 1, 2011 at 3:16 PM, Mark Wiebe <mwwi...@gmail.com> wrote: > >>> > >>> On Wed, Jun 1, 2011 at 3:52 PM, Charles R Harris > >>> <charlesr.har...@gmail.com> wrote: > >>>> > >>>> <snip> > >>>> Just a quick comment, as this really needs more thought, but time is a > >>>> bag of worms. > >>> > >>> Certainly a bag of worms, I agree. > > +1 > > >>> > >>>> > >>>> Trying to represent some standard -- say seconds at the solar system > >>>> barycenter to account for general relativity -- is something that I > think is > >>>> too complicated and specialized to put into numpy. > >>>> > >>>> > >>>> > >>>> Good support for units and delta times is very useful, > >>> > >>> This part works fairly well now, except for some questions like what > >>> should datetime("2011-01-30", "D") + timedelta(1, "M") produce. Maybe > >>> "2011-02-28", or "2011-03-02"? > >>> > >>>> > >>>> but parsing dates and times > >>> > >>> I've implemented an almost-ISO 8601 date-time parser. I had to deviate > a > >>> bit to support years outside the little 10000-year window we use. I > think > >>> supporting more formats could be handled by writing a function which > takes > >>> its date format and outputs ISO 8601 format to feed numpy. > >> > >> Heh, 10000 years is way outside the window in which the Gregorian > calender > >> is useful anyway. Now, strict Julian days start at the creation of the > world > >> so that's a real standard, sort of like degrees Kelvins ;) > >> > >>>> > >>>> and handling timezones, daylight savings, > >>> > >>> The only timezone to handle is "local", which it looks like standard C > has > >>> a rich enough API for this to be ok. > >>> > >>>> > >>>> leap seconds, > >>> > >>> This one can be mitigated by referencing TAI or GPS time, I think. > POSIX > >>> time looks like a can of worms though. > >>> > >>>> > >>>> business days, > >>> > >>> I think Enthought has some interest in a decent business day > >>> functionality. Some feedback from people doing time series and > financial > >>> modeling would help clarify this though. This link may provide some > context: > >>> http://www.financialcalendar.com/Data/Holidays/Formats > >> > >> Well, that can change. Likewise, who wants to track ERS for the leap > >> seconds? > >> > >> I think the important thing is that the low level support needed to > >> implement such things is available. A package for common use cases that > >> serves as an example and that can be extended/modified by others would > also > >> be helpful. > >> > >> Chuck > >> > >> _______________________________________________ > >> NumPy-Discussion mailing list > >> NumPy-Discussion@scipy.org > >> http://mail.scipy.org/mailman/listinfo/numpy-discussion > >> > >> > > > > Being involved in financial data analysis (e.g. via pandas) this stuff > > will affect me very directly. I'll get back to you soon with some > > comments. > > > > - Wes > > _______________________________________________ > > NumPy-Discussion mailing list > > NumPy-Discussion@scipy.org > > http://mail.scipy.org/mailman/listinfo/numpy-discussion > > > _______________________________________________ > NumPy-Discussion mailing list > NumPy-Discussion@scipy.org > http://mail.scipy.org/mailman/listinfo/numpy-discussion >
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