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2023-04-07 is a holiday for NYSE but not for CME futures, same thing happens fairly consistently around Good Friday; it's a unique futures session that doesn't correspond to main index being open.
The text was updated successfully, but these errors were encountered:
https://www.cmegroup.com/trading-hours.html#foi=F&tradeDate=2023-04-07&pageNumber=1&search=es
import pandas as pd
cme only has their calendar a year in advance so can only confirm through 2024-02-14
bdate_range = pd.bdate_range("2023-01-01", "2024-02-14")
from pandas_market_calendars import get_calendar
cme_equity = get_calendar("CME_Equity")
cme_schedule = cme_equity.schedule(start_date="2023-01-01", end_date="2024-02-14")
cme_equity_holidays_df = pd.DataFrame(cme_equity.holidays().holidays, columns=["holidays"])
cme_schedule_set = set(cme_schedule.index.to_list())
print(cme_schedule_set - bdate_range_set)
need to remove 2023-04-07
print(bdate_range_set - cme_schedule_set)
2023-04-07 is a holiday for NYSE but not for CME futures, same thing happens fairly consistently around Good Friday; it's a unique futures session that doesn't correspond to main index being open.
The text was updated successfully, but these errors were encountered: