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Make daily Holiday and Weekend date sequences

Source: R/make-tk_make_holiday_sequences.R
tk_make_holiday_sequence.Rd

Make daily Holiday and Weekend date sequences

Usage

tk_make_holiday_sequence(
  start_date,
  end_date,
  calendar = c("NYSE", "LONDON", "NERC", "TSX", "ZURICH"),
  skip_values = NULL,
  insert_values = NULL
)

tk_make_weekend_sequence(start_date, end_date)

tk_make_weekday_sequence(
  start_date,
  end_date,
  remove_weekends = TRUE,
  remove_holidays = FALSE,
  calendar = c("NYSE", "LONDON", "NERC", "TSX", "ZURICH"),
  skip_values = NULL,
  insert_values = NULL
)

Arguments

start_date

Used to define the starting date for date sequence generation. Provide in "YYYY-MM-DD" format.

end_date

Used to define the ending date for date sequence generation. Provide in "YYYY-MM-DD" format.

calendar

The calendar to be used in Date Sequence calculations for Holidays from the timeDate package. Acceptable values are: "NYSE", "LONDON", "NERC", "TSX", "ZURICH".

skip_values

A daily date sequence to skip

insert_values

A daily date sequence to insert

remove_weekends

A logical value indicating whether or not to remove weekends (Saturday and Sunday) from the date sequence

remove_holidays

A logical value indicating whether or not to remove common holidays from the date sequence

Value

A vector containing future dates

Details

Start and End Date Specification

  • Accept shorthand notation (i.e. tk_make_timeseries() specifications apply)

  • Only available in Daily Periods.

Holiday Sequences

tk_make_holiday_sequence() is a wrapper for various holiday calendars from the timeDate package, making it easy to generate holiday sequences for common business calendars:

  • New York Stock Exchange: calendar = "NYSE"

  • Londo Stock Exchange: "LONDON"

  • North American Reliability Council: "NERC"

  • Toronto Stock Exchange: "TSX"

  • Zurich Stock Exchange: "ZURICH"

Weekend and Weekday Sequences

These simply populate

See also

  • Intelligent date or date-time sequence creation: tk_make_timeseries()

  • Holidays and weekends: tk_make_holiday_sequence(), tk_make_weekend_sequence(), tk_make_weekday_sequence()

  • Make future index from existing: tk_make_future_timeseries()

Examples

library(dplyr)

# Set max.print to 50
options_old <- options()$max.print
options(max.print = 50)


# ---- HOLIDAYS & WEEKENDS ----

# Business Holiday Sequence
tk_make_holiday_sequence("2017-01-01", "2017-12-31", calendar = "NYSE")
#> [1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-04-14" "2017-05-29"
#> [6] "2017-07-04" "2017-09-04" "2017-11-23" "2017-12-25"

tk_make_holiday_sequence("2017", calendar = "NYSE") # Same thing as above (just shorter)
#> [1] "2017-01-02" "2017-01-16" "2017-02-20" "2017-04-14" "2017-05-29"
#> [6] "2017-07-04" "2017-09-04" "2017-11-23" "2017-12-25"

# Weekday Sequence
tk_make_weekday_sequence("2017", "2018", remove_holidays = TRUE)
#>  [1] "2017-01-03" "2017-01-04" "2017-01-05" "2017-01-06" "2017-01-09"
#>  [6] "2017-01-10" "2017-01-11" "2017-01-12" "2017-01-13" "2017-01-17"
#> [11] "2017-01-18" "2017-01-19" "2017-01-20" "2017-01-23" "2017-01-24"
#> [16] "2017-01-25" "2017-01-26" "2017-01-27" "2017-01-30" "2017-01-31"
#> [21] "2017-02-01" "2017-02-02" "2017-02-03" "2017-02-06" "2017-02-07"
#> [26] "2017-02-08" "2017-02-09" "2017-02-10" "2017-02-13" "2017-02-14"
#> [31] "2017-02-15" "2017-02-16" "2017-02-17" "2017-02-21" "2017-02-22"
#> [36] "2017-02-23" "2017-02-24" "2017-02-27" "2017-02-28" "2017-03-01"
#> [41] "2017-03-02" "2017-03-03" "2017-03-06" "2017-03-07" "2017-03-08"
#> [46] "2017-03-09" "2017-03-10" "2017-03-13" "2017-03-14" "2017-03-15"
#>  [ reached 'max' / getOption("max.print") -- omitted 453 entries ]

# Weekday Sequence + Removing Business Holidays
tk_make_weekday_sequence("2017", "2018", remove_holidays = TRUE)
#>  [1] "2017-01-03" "2017-01-04" "2017-01-05" "2017-01-06" "2017-01-09"
#>  [6] "2017-01-10" "2017-01-11" "2017-01-12" "2017-01-13" "2017-01-17"
#> [11] "2017-01-18" "2017-01-19" "2017-01-20" "2017-01-23" "2017-01-24"
#> [16] "2017-01-25" "2017-01-26" "2017-01-27" "2017-01-30" "2017-01-31"
#> [21] "2017-02-01" "2017-02-02" "2017-02-03" "2017-02-06" "2017-02-07"
#> [26] "2017-02-08" "2017-02-09" "2017-02-10" "2017-02-13" "2017-02-14"
#> [31] "2017-02-15" "2017-02-16" "2017-02-17" "2017-02-21" "2017-02-22"
#> [36] "2017-02-23" "2017-02-24" "2017-02-27" "2017-02-28" "2017-03-01"
#> [41] "2017-03-02" "2017-03-03" "2017-03-06" "2017-03-07" "2017-03-08"
#> [46] "2017-03-09" "2017-03-10" "2017-03-13" "2017-03-14" "2017-03-15"
#>  [ reached 'max' / getOption("max.print") -- omitted 453 entries ]


# ---- COMBINE HOLIDAYS WITH MAKE FUTURE TIMESERIES FROM EXISTING ----
# - A common machine learning application is creating a future time series data set
#   from an existing

# Create index of days that FB stock will be traded in 2017 based on 2016 + holidays
FB_tbl <- FANG %>% dplyr::filter(symbol == "FB")

holidays <- tk_make_holiday_sequence(
    start_date = "2016",
    end_date   = "2017",
    calendar   = "NYSE")

weekends <- tk_make_weekend_sequence(
    start_date = "2016",
    end_date   = "2017")

# Remove holidays and weekends with skip_values
# We could also remove weekends with inspect_weekdays = TRUE
FB_tbl %>%
    tk_index() %>%
    tk_make_future_timeseries(length_out       = 366,
                              skip_values      = c(holidays, weekends))
#> The following `skip_values` were not in the future date sequence: 2016-01-01, 2016-01-18, 2016-02-15, 2016-03-25, 2016-05-30, 2016-07-04, 2016-09-05, 2016-11-24, 2016-12-26, 2016-01-02, 2016-01-03, 2016-01-09, 2016-01-10, 2016-01-16, 2016-01-17, 2016-01-23, 2016-01-24, 2016-01-30, 2016-01-31, 2016-02-06, 2016-02-07, 2016-02-13, 2016-02-14, 2016-02-20, 2016-02-21, 2016-02-27, 2016-02-28, 2016-03-05, 2016-03-06, 2016-03-12, 2016-03-13, 2016-03-19, 2016-03-20, 2016-03-26, 2016-03-27, 2016-04-02, 2016-04-03, 2016-04-09, 2016-04-10, 2016-04-16, 2016-04-17, 2016-04-23, 2016-04-24, 2016-04-30, 2016-05-01, 2016-05-07, 2016-05-08, 2016-05-14, 2016-05-15, 2016-05-21, 2016-05-22, 2016-05-28, 2016-05-29, 2016-06-04, 2016-06-05, 2016-06-11, 2016-06-12, 2016-06-18, 2016-06-19, 2016-06-25, 2016-06-26, 2016-07-02, 2016-07-03, 2016-07-09, 2016-07-10, 2016-07-16, 2016-07-17, 2016-07-23, 2016-07-24, 2016-07-30, 2016-07-31, 2016-08-06, 2016-08-07, 2016-08-13, 2016-08-14, 2016-08-20, 2016-08-21, 2016-08-27, 2016-08-28, 2016-09-03, 2016-09-04, 2016-09-10, 2016-09-11, 2016-09-17, 2016-09-18, 2016-09-24, 2016-09-25, 2016-10-01, 2016-10-02, 2016-10-08, 2016-10-09, 2016-10-15, 2016-10-16, 2016-10-22, 2016-10-23, 2016-10-29, 2016-10-30, 2016-11-05, 2016-11-06, 2016-11-12, 2016-11-13, 2016-11-19, 2016-11-20, 2016-11-26, 2016-11-27, 2016-12-03, 2016-12-04, 2016-12-10, 2016-12-11, 2016-12-17, 2016-12-18, 2016-12-24, 2016-12-25
#>  [1] "2017-01-03" "2017-01-04" "2017-01-05" "2017-01-06" "2017-01-09"
#>  [6] "2017-01-10" "2017-01-11" "2017-01-12" "2017-01-13" "2017-01-17"
#> [11] "2017-01-18" "2017-01-19" "2017-01-20" "2017-01-23" "2017-01-24"
#> [16] "2017-01-25" "2017-01-26" "2017-01-27" "2017-01-30" "2017-01-31"
#> [21] "2017-02-01" "2017-02-02" "2017-02-03" "2017-02-06" "2017-02-07"
#> [26] "2017-02-08" "2017-02-09" "2017-02-10" "2017-02-13" "2017-02-14"
#> [31] "2017-02-15" "2017-02-16" "2017-02-17" "2017-02-21" "2017-02-22"
#> [36] "2017-02-23" "2017-02-24" "2017-02-27" "2017-02-28" "2017-03-01"
#> [41] "2017-03-02" "2017-03-03" "2017-03-06" "2017-03-07" "2017-03-08"
#> [46] "2017-03-09" "2017-03-10" "2017-03-13" "2017-03-14" "2017-03-15"
#>  [ reached 'max' / getOption("max.print") -- omitted 316 entries ]


options(max.print = options_old)