
The following link explains the rules for closing the exchange either for a full day or early. Also detailed are early closes and the reason going back historically.
 
http://www.nyse.com/pdfs/closings.pdf
 
The NYSE holiday schedule for 2012, 2013, 2014 is here:
 
http://www.nyx.com/en/holidays-and-hours/nyse
 
>From this you can see that 4/6/2012 was Good Friday and that NYSE will close for Good Friday on 3/29/2013 and 4/18/2014.
 
I have some of these in a file. If I'm in error on any dates, let me know and I will fix. I'm not sure if I'm allowed to post a file to this list. Following are the dates I have for from 12/31/1999(serial date, reason, date):
 
36525,New_Year's_Eve,12/31/1999
36710,Day_before_Independence_Day,7/3/2000
36854,Day_after_Thanksgiving_Day,11/24/2000
37050,Computer_malfunction,6/8/2001
37075,Day_before_Independence_Day,7/3/2001
37145,Closed_WTC_attack,9/11/2001
37146,Closed_WTC_attack,9/12/2001
37147,Closed_WTC_attack,9/13/2001
37148,Closed_WTC_attack,9/14/2001
37218,Day_after_Thanksgiving_Day,11/23/2001
37249,Christmas_Eve,12/24/2001
37442,Day_after_Independence_Day,7/5/2002
37510,Delayed_opening_WTC_anniversary,9/11/2002
37589,Day_after_Thanksgiving_Day,11/29/2002
37614,Christmas_Eve,12/24/2002
37805,Day_before_Independence_Day,7/3/2003
37953,Day_after_Thanksgiving_Day,11/28/2003
37979,Christmas_Eve,12/24/2003
37981,Friday_after_Christmas,12/26/2003
38149,National_Day_of_Mourning_President_Reagan,6/11/2004
38317,Day_after_Thanksgiving_Day,11/26/2004
38681,Day_after_Thanksgiving_Day,11/25/2005
38901,Day_before_Independence_Day,7/3/2006
39045,Day_after_Thanksgiving_Day,11/24/2006
39084,National_Day_of_Mourning_President_Ford,1/2/2007
39266,Day_before_Independence_Day,7/3/2007
39409,Day_after_Thanksgiving_Day,11/23/2007
39440,Christmas_Eve,12/24/2007
39632,Day_before_Independence_Day,7/3/2008
39780,Day_after_Thanksgiving_Day,11/28/2008
39806,Christmas_Eve,12/24/2008
40144,Day_after_Thanksgiving_Day,11/27/2009
40171,Christmas_Eve,12/24/2009
40508,Day_after_Thanksgiving_Day,11/26/2010
40535,Christmas_Eve,12/23/2010
40872,Day_after_Thanksgiving_Day,11/25/2011
41093,Day_before_Independence_Day,7/3/2012
41236,Day_after_Thanksgiving_Day,11/23/2012
41267,Christmas_Eve,12/24/2012
41458,Day_before_Independence_Day,7/3/2013
41607,Day_after_Thanksgiving_Day,11/29/2013
41632,Christmas_Eve,12/24/2013
41823,Day_before_Independence_Day,7/3/2014
41971,Day_after_Thanksgiving_Day,11/28/2014
41997,Christmas_Eve,12/24/2014


 

> Date: Sat, 30 Jun 2012 14:21:03 -0400
> From: eric.thungstrom@gmail.com
> To: r-sig-finance@r-project.org
> Subject: [R-SIG-Finance] aligning dates from different sources
> 
> I've downloaded some FRED data (ICSA) using quantmod and I'm trying to
> align it with weekly GSPC data. I'm running into trouble because the ICSA
> data seems to come out on Saturdays and weekly closes of GSPC are usually
> on Friday. I tried a simple fix of subtracting 1 from the ICSA dates but I
> still run into problems around holidays. For example, the market was
> closed on April 6, 2012 so I can't align the data for that week.
> 
> Any suggestions how I get the dates lined up so I can do some further
> analysis ? I know I could use a brute force method of doing a simple cbind
> (combined <-cbind(sp,ICSA[,1])) instead of merge but wondering if there's
> a better way that takes holidays into account.
> 
> require(quantmod)
> getSymbols('ICSA', src='FRED')
> getSymbols('^GSPC', from='1967-01-01', to=Sys.Date())
> index(ICSA) <-index(ICSA)-1
> sp <-to.weekly(GSPC)[,6]
> names(sp) <-'GSPC'
> combined <-merge(ICSA,sp)
> tail(combined, 15)
> 
> 
> ICSA GSPC
> 2012-03-30 362000 1408.47
> 2012-04-05 NA 1398.08
> 2012-04-06 388000 NA
> 2012-04-13 389000 1370.26
> 2012-04-20 392000 1378.53
> 2012-04-27 368000 1403.36
> 2012-05-04 370000 1369.10
> 2012-05-11 372000 1353.39
> 2012-05-18 373000 1295.22
> 2012-05-25 389000 1317.82
> 2012-06-01 380000 1278.04
> 2012-06-08 389000 1325.66
> 2012-06-15 392000 1342.84
> 2012-06-22 386000 1335.02
> 
> [[alternative HTML version deleted]]
> 
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