Add a trading day timedelta

metrik/trading_days.py

@@ -0,0 +1,21 @@
+from pandas.tseries.holiday import AbstractHolidayCalendar, Holiday, \
+    nearest_workday, USMartinLutherKingJr, USPresidentsDay, GoodFriday,\
+    USMemorialDay, USLaborDay, USThanksgivingDay
+from pandas.tseries.offsets import CustomBusinessDay
+
+
+class USTradingCalendar(AbstractHolidayCalendar):
+    rules = [
+        Holiday('NewYearsDay', month=1, day=1, observance=nearest_workday),
+        USMartinLutherKingJr,
+        USPresidentsDay,
+        GoodFriday,
+        USMemorialDay,
+        Holiday('USIndependenceDay', month=7, day=4, observance=nearest_workday),
+        USLaborDay,
+        USThanksgivingDay,
+        Holiday('Christmas', month=12, day=25, observance=nearest_workday)
+    ]
+
+def TradingDay(n):
+    return CustomBusinessDay(n, calendar=USTradingCalendar())

test/test_trading_days.py

@@ -0,0 +1,17 @@
+from unittest import TestCase
+from datetime import datetime
+
+from metrik.trading_days import TradingDay
+
+
+class TradingDayTest(TestCase):
+
+    def test_skip_july4(self):
+        start = datetime(2016, 7, 1)  # Friday
+        end = start + TradingDay(1)
+        assert end == datetime(2016, 7, 5)
+
+    def test_skip_july4_backwards(self):
+        end = datetime(2016, 7, 5)
+        start = end - TradingDay(1)
+        assert start == datetime(2016, 7, 1)