options-automation/slippage_analysis.py

import datetime

from database.trades import trades

def average_slippage(date: datetime.date):
    trade_records = trades(date)

    entry_slippages = []
    exit_slippages = []
    for spreads in trade_records['Spreads']:
        for spread in spreads:
            if 'Entry Slippage' in spread:
                entry_slippages.append(spread['Entry Slippage'])
            if 'Exit Slippage' in spread:
                exit_slippages.append(spread['Exit Slippage'])

    average_entry_slippage = sum(entry_slippages) / len(entry_slippages) if entry_slippages else None
    average_exit_slippage = sum(exit_slippages) / len(exit_slippages) if exit_slippages else None

    return average_entry_slippage, average_exit_slippage

if __name__ == '__main__':
    target_date = datetime.date(2024, 2, 27)

    entry_slippage, exit_slippage = average_slippage(target_date)

    if entry_slippage is not None:
        print(f'Average Entry Slippage: {entry_slippage}')

        if exit_slippage is not None:
            print(f'Average Exit Slippage: {exit_slippage}')
    else:
        print(f'No trades found for {target_date}.')