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WIP. DO NOT MERGE!
To be merged only after all calendars moved to new test suite (as described on #86) and TODO noted further below have been completed.
Adds
trading_index
function to allow for creating a trading index over a given range of sessions at a given period. Similar topandas_market_calendars.date_range
with additional functionality:force_break_close
andforce_close
optionsexchange_calendar
s use of nanos for speed improvement (evaluates trading index for XHKG (a calendar with breaks) over a year at 30 minute periods in <2ms).Credit to @Stryder-Git at
pandas_market_calendars
for showing the way with a vectorised implementation.TODO post resolution of #71:
trading_index
function to method of ExchangeCalendar (leave underlying_TradingIndex
oncalendar_helpers
).side
option to define minute bounds / test suite overhaul #71).