Identify Trading Days

Download the  script

import datetime as dt

import pandas_market_calendars as mcal

def get_latest_trading_day(date, excg='NYSE'):

    '''Return the nearest trading day before a given date (if it is not a trading day)'''

    # Exchange trading calendar

    nyse = mcal.get_calendar(excg)

    start_date = date - dt.timedelta(days=15)

    end_date = date + dt.timedelta(days=15)

    valid_days = nyse.schedule(start_date=start_date, end_date=end_date).index

    # Find the nearest trading day

    while date not in valid_days:

        date = date - dt.timedelta(days=1)

    return date