How to retrieve previous NYSE trading day in Pandas?

Question

I'm trying to get the previous trading day in relation to a given trading day. To start I am simply trying to make a function which returns the previous business day when given a date, like so:

import datetime

def get_previous_trading_day(day):
    day = pd.to_datetime(day)
    previous_trading_day = day - datetime.timedelta(days=1)

    return previous_trading_day

But when I call my function and print the current vs previous date, the previous date is not the previous day:

2021-05-01 curr
1885-02-22 00:00:00 prev

How do I make this work?

Answer 1

If you change the calculation to use pd.tseries.offsets.BDay instead, you will get the previous business day (instead of the day before). I realise this will not work for bank holidays where no trading occurs. Your function works well when I try it for returning the previous day's date.

def get_previous_trading_day(day):
    day = pd.to_datetime(day)
    previous_trading_day = day - pd.tseries.offsets.BDay(1)

    return previous_trading_day

Calling the function for tomorrow's date will return Friday's date:

get_previous_trading_day("2022-05-16")
#Out: Timestamp('2022-05-13 00:00:00')

For your returned date, you may have put a date format that was not read correctly by the pd.to_datetime. If you require a specific format, add the kwarg format= to this.