calc_profits.py

def calculate_profits(trades, ticker, base_dir):
    # iterate buy/sell lists
    sell_idx = 0
    buy_idx = 0
    avg_price = 0
    total_profit = 0 
    ret = 0
    buy_count = 0
    trade_count = 0
    with open(base_dir + "trades/{}.trades".format(ticker.upper()), 'w') as f:
        while buy_idx < len(trades["buy_indices"]):
            # get average price of all buys before a sell
            avg_price += trades["buy_prices"][buy_idx]
            buy_count += 1  # in case we buy more than once before a sell

            # is the next sell before the next buy? what's our next trade
            if (buy_idx + 1) < (len(trades["buy_indices"]))  and \
                sell_idx < (len(trades["sell_indices"])) and \
                trades["sell_indices"][sell_idx] < trades["buy_indices"][buy_idx + 1]:    
                # sell all shares at sell point
                price = avg_price / buy_count
                profit = (trades["sell_prices"][sell_idx] - price) * buy_count
                ret += profit / price # % return
                total_profit += profit
                trade_count += 1

                f.write("Selling {} shares at {} with an avg price of {} for a return of {} and profit of {}. (indicies buy/sell: {}/{})".format(
                    buy_count, trades["sell_prices"][sell_idx], price, profit/price, profit, trades["buy_indices"][buy_idx], trades["sell_indices"][sell_idx]))
                f.write("\n")

                # reset variables
                buy_count = 0
                avg_price = 0
                sell_idx += 1

            buy_idx += 1
            
        if sell_idx < len(trades["sell_indices"]) and buy_count > 0:
            # sell any remaining shares 
            price = avg_price / buy_count
            profit = (trades["sell_prices"][sell_idx] - price) * buy_count
            ret += profit / price # % return
            total_profit += profit
            trade_count += 1
            f.write("Selling {} shares at {} with an avg price of {} for a return of {} and profit of {}. (indicies buy/sell: {}/{})".format(
                    buy_count, trades["sell_prices"][sell_idx], price, profit/price, profit, trades["buy_indices"][buy_idx-1], trades["sell_indices"][sell_idx]))
            f.write("\n")


    if trade_count > 0:
        ret /= trade_count
    return ret, total_profit