Half day in Brazilian Stock Exchange

[willianpaixao]

In the Brazilian calendar, Ash Wednesday is a half day, starting trading at 1pm. [1]

I noticed it's already implemented, but with it's currently commented and have a TODO tag. [2]

Judging by the same feature being implemented here, I guess the code can now be commented out, right?

[gerrymanoim]

Hey @willianpaixao - thank you for reporting this.

I believe Ash Wednesday should be handled in https://github.com/quantopian/trading_calendars/blame/master/trading_calendars/exchange_calendar_bvmf.py#L61.

I agree that the commented code with the TODO tag should just be removed

trading_calendars/trading_calendars/exchange_calendar_bvmf.py

Line 219 in bedf16d

# TODO: Add this late open back in later, once we have better

[willianpaixao]

Hi @gerrymanoim,

Isn't clear, in

I believe Ash Wednesday should be handled in https://github.com/quantopian/trading_calendars/blame/master/trading_calendars/exchange_calendar_bvmf.py#L61

The short day is already implemented? Cause I don't see a reference to special opening time.

[gerrymanoim]

Apologies @willianpaixao - I think I misread this originally. You're right - the short day doesn't seem to be implemented. We'll get that sorted.

[willianpaixao]

No worries @gerrymanoim, if you comment a file where the feature is already implemented, I would gladly send a Pull Request fixing the Brazilian SE.

[jmccorriston]

I believe this is the only instance of a late open (at least, it's the only instance we've encountered in any of the supported calendars so far). If I recall correctly, the reason we left this commented out initially was because we weren't sure how it would interact with Pipelines in https://github.com/quantopian/zipline. I'll bring this up with some folks who are more knowledgeable about zipline and share what I learn.

In the meantime, I'm labeling this issue as a 'bug', since we believe that the half-day should be included in the Brazilian SE calendar.

[willianpaixao]

I just found an exiting (but commented) unit test for this feature.

trading_calendars/tests/test_bvmf_calendar.py

Lines 55 to 68 in e7a64fc

	# FIXME: add back in later.
	# def test_late_opens(self):
	# # Ash Wednesday, 46 days before Easter Sunday
	# late_opens = [
	# pd.Timestamp("2016-02-10", tz=UTC),
	# pd.Timestamp("2017-03-01", tz=UTC),
	# pd.Timestamp("2018-02-14", tz=UTC),
	# ]
	# for late_open_session_label in late_opens:
	# self.assertIn(
	# late_open_session_label,
	# self.calendar.late_opens,
	# )

[willianpaixao]

Friendly ping @jmccorriston

[willianpaixao]

Hi @richafrank, would you mind commenting your thoughts on the issue?