moshferatu/options-automation
1
0
Fork 0
Code Issues Pull Requests Packages Projects Releases Wiki Activity

Update slippage analysis with exit slippage if any trades were stopped out on the specified date

Browse Source
This commit is contained in:
moshferatu 2024-02-27 19:39:37 -08:00
parent da58e44dda
commit 57b446924e
1 changed files with 17 additions and 12 deletions
Show Stats Download Patch File Download Diff File Expand all files Collapse all files

29
slippage_analysis.py
View File

@ -2,27 +2,32 @@ import datetime
from database.trades import trades from database.trades import trades
def average_slippage(date: datetime): def average_slippage(date: datetime.date):
trade_records = trades(date) trade_records = trades(date)
slippages = [] entry_slippages = []
exit_slippages = []
for spreads in trade_records['Spreads']: for spreads in trade_records['Spreads']:
for spread in spreads: for spread in spreads:
if 'Entry Slippage' in spread: if 'Entry Slippage' in spread:
slippages.append(spread['Entry Slippage']) entry_slippages.append(spread['Entry Slippage'])
if 'Exit Slippage' in spread:
exit_slippages.append(spread['Exit Slippage'])
if slippages: average_entry_slippage = sum(entry_slippages) / len(entry_slippages) if entry_slippages else None
average_slippage = sum(slippages) / len(slippages) average_exit_slippage = sum(exit_slippages) / len(exit_slippages) if exit_slippages else None
return average_slippage
else: return average_entry_slippage, average_exit_slippage
return None
if __name__ == '__main__': if __name__ == '__main__':
target_date = datetime.date(2024, 2, 23) target_date = datetime.date(2024, 2, 27)
average_slippage = average_slippage(target_date) entry_slippage, exit_slippage = average_slippage(target_date)
if average_slippage is not None: if entry_slippage is not None:
print(f'{target_date} Average Entry Slippage: {average_slippage}') print(f'Average Entry Slippage: {entry_slippage}')
if exit_slippage is not None:
print(f'Average Exit Slippage: {exit_slippage}')
else: else:
print(f'No trades found for {target_date}.') print(f'No trades found for {target_date}.')