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

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moshferatu 2024-02-27 19:39:37 -08:00
parent da58e44dda
commit 57b446924e
1 changed files with 17 additions and 12 deletions
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29
slippage_analysis.py
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@ -2,27 +2,32 @@ import datetime
from database.trades import trades
def average_slippage(date: datetime):
def average_slippage(date: datetime.date):
trade_records = trades(date)
slippages = []
entry_slippages = []
exit_slippages = []
for spreads in trade_records['Spreads']:
for spread in spreads:
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_slippage = sum(slippages) / len(slippages)
return average_slippage
else:
return None
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, 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:
print(f'{target_date} Average Entry Slippage: {average_slippage}')
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}.')