Calculate the last trading day given a contract_month

crude_futures_lasttradingday.py

import datetime
from dateutil.relativedelta import relativedelta
import pandas as pd
from pandas.tseries.offsets import BDay

def crude_futures_lasttradingday(contract_month):
    """Trading in the current delivery month shall cease on the third business
   day prior to the twenty-fifth calendar day of the month preceding the
   delivery month. If the twenty-fifth calendar day of the month is a
   non-business day, trading shall cease on the third business day prior to the
   last business day preceding the twenty-fifth calendar day. In the event that
   the official Exchange holiday schedule changes subsequent to the listing of
   a Crude Oil futures, the originally listed expiration date shall remain in
   effect. In the event that the originally listed expiration day is declared a
   holiday, expiration will move to the business day immediately prior.

    Translation:
    - subtract 3 working days from the 25th if is a business day (take note of holidays)
    - subtract 4 working days if 25th is a non-business day (take note of holidays)

    contract_month is in YYYYMM format, to match IB API"""


    # TODO: Store holidays in db table instead of hardcoding
    # http://www.cmegroup.com/tools-information/holiday-calendar.html#cmeClearport
    holidays = [
                datetime.datetime(2017,1,16),
                datetime.datetime(2017,2,20),
                datetime.datetime(2017,4,14),
                datetime.datetime(2017,5,29),
                datetime.datetime(2017,7,4),
                datetime.datetime(2017,9,4),
                datetime.datetime(2017,10,9),
                datetime.datetime(2017,11,23),
                datetime.datetime(2017,12,25),
                datetime.datetime(2018,1,1),
               ]
    contract_month_dt = datetime.datetime.strptime(contract_month, "%Y%m")
    expiration_month_dt = contract_month_dt - relativedelta(months=1)
    logger.debug("contract_month_dt is {} & expiration_month_dt is {}".format(contract_month_dt, expiration_month_dt))

    # http://www.cmegroup.com/trading/energy/crude-oil/light-sweet-crude_contract_specifications.html
    # subtract 3 working days from the 25th
    # subtract 4 working days if 25th is a non-business day
    # if the 25th is a business day
    if expiration_month_dt.replace(day=25).weekday() < 5:
        last_trading_day_dt = expiration_month_dt.replace(day=25) - BDay(3)
    # if the 25th is NOT a business day
    else:
        last_trading_day_dt = expiration_month_dt.replace(day=25) - BDay(4)

    # Find holiday in expiration month and take note of the ones that land on weekdays and between the calc date and 25th
    holiday_months = [(dt.month, dt) for dt in holidays]
    holidays_in_expiration_month_on_weekdays = [dt for current_month, dt in holiday_months
                                                if current_month == expiration_month_dt.month
                                                and dt.weekday() < 5
                                                and dt.day <= 25
                                                and dt.day > last_trading_day_dt.day]

    # if a holiday is between this last trading day and lands on a weekday, take another Bday off
    last_trading_day_dt = last_trading_day_dt - BDay(len(holidays_in_expiration_month_on_weekdays))

    return last_trading_day_dt