How to add custom trading calendar in zipline?

@jabari_okon 

To add a custom trading calendar in Zipline, you need to create a new calendar file and register it with Zipline. Here are the steps:

1. Create a new Python file for your custom calendar, e.g., my_calendar.py.
2. Import the required libraries:

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from pandas.tseries.offsets import CustomBusinessDay
from pandas.tseries.holiday import GoodFriday, Holiday, EasterMonday
from trading_calendars import register_calendar, TradingCalendar

1. Define your custom calendar class by inheriting from TradingCalendar:

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class MyCustomCalendar(TradingCalendar):
    # Define your calendar metadata
    # ...

    # Define your calendar rules
    # ...

    # Define your calendar schedule
    # ...

1. Implement the __init__() method to set the name and tz attributes of your calendar, as well as the custom holiday rules:

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def __init__(self):
    self.name = 'MY_CALENDAR'
    self.tz = 'UTC'

    # Define your custom holiday rules
    # ...

1. Implement the all_sessions property to specify the trading days in your calendar:

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@property
def all_sessions(self):
    # Define your calendar's trading schedule
    # ...

1. Implement any additional methods or properties as needed for your custom calendar.
2. Register your custom calendar with Zipline by calling the register_calendar() function and passing in the name of the calendar class and the name you wish to use to refer to it:

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register_calendar('my_custom_calendar', MyCustomCalendar)

1. In your main trading algorithm code, import your custom calendar and set it as the trading_calendar in run_algorithm():

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from zipline.api import run_algorithm
from my_calendar import MyCustomCalendar

if __name__ == '__main__':
    # ...

    run_algorithm(
        trading_calendar=MyCustomCalendar(),
        # ...
    )

That's it! Your custom trading calendar is now available for use in Zipline. You can define your own calendar metadata, rules, and schedule based on your specific trading needs.

@jabari_okon 

Additionally, when defining your custom trading calendar in Zipline, you can utilize the trading_calendars package for more advanced functionality and customization. This package provides access to pre-built calendar classes and useful functions for managing trading calendars. Below are some additional tips on using the trading_calendars package:

1. Define Trading Hours: Set the trading hours for each session in your custom calendar using the trading_hours property. You can specify the opening and closing times for trading sessions.
2. Custom Holiday Rules: Implement custom holiday rules using the holiday_rules property. This allows you to define specific holidays or trading rules unique to your market.
3. Inherited Functionality: Your custom calendar class can inherit methods and attributes from the TradingCalendar class provided by the trading_calendars package. This allows you to leverage existing functionality and make use of common trading calendar features.
4. Market Rules: Define market rules such as early closes, late opens, or special trading events in your custom calendar. You can implement these rules in the calendar class based on your market requirements.

By following these guidelines and leveraging the features of the trading_calendars package, you can create a robust and flexible custom trading calendar in Zipline tailored to your specific trading needs.