Demo 07: Child Algorithms

This article needs to be rewritten for the v2 engine. In the meantime, check the out the demo code below and the previous article for the v1 engine.

using System;
using System.Collections.Generic;
using System.IO;
using System.Linq;
using System.Text;
using System.Threading.Tasks;
using TuringTrader.SimulatorV2;
using TuringTrader.SimulatorV2.Indicators;
using TuringTrader.SimulatorV2.Assets;

namespace Demos
{
    // child algorithm implementing 60/40 portfolio
    // note that this algorithm is not public. if it was,
    // we would not be able to run this demo directly from
    // its C# source code
    class ChildSixtyFourty : Algorithm
    {
        public override void Run()
        {
            //---------- initialization

            // set the simulation period
            // note how we keep StartDate and EndDate intact, 
            // if they are alreay set. both values come pre-populated
            // when the parent algorithm calls us
            StartDate = StartDate ?? DateTime.Parse("2007-01-01T16:00-05:00");
            EndDate = EndDate ?? DateTime.Parse("2022-12-31T16:00-05:00");
            WarmupPeriod = TimeSpan.FromDays(5);

            //---------- simulation

            SimLoop(() =>
            {
                // rebalance monthly
                if (IsFirstBar || SimDate.Month != NextSimDate.Month)
                {
                    Asset(ETF.SPY).Allocate(0.6, OrderType.openNextBar);
                    Asset(ETF.AGG).Allocate(0.4, OrderType.openNextBar);

                    // as a default, the parent algorithm receives
                    // bars with the child strategy's NAV
                    // alternatively, we could also return OHLCV bars here
                }
            });
        }
    }

    public class Demo07_ChildAlgos : Algorithm
    {
        public override void Run()
        {
            //---------- initialization

            // set the simulation period
            StartDate = DateTime.Parse("2007-01-01T16:00-05:00");
            EndDate = DateTime.Parse("2022-12-31T16:00-05:00");

            // instantiate our child algo
            // both variants work
#if true
            // caution: we must make sure to use the same
            // instance for all calls. Therefore, we need
            // to instantiate the algo outside of SimLoop
            var childAlgo = new ChildSixtyFourty();
#else
            // when using the string variant, there are
            // no such restrictions
            var childAlgo = "algorithm:ChildSixtyFourty"
#endif

            //---------- simulation
                
            SimLoop(() =>
            {
                // we put all our capital into the child algo
                // note that on this level, a child algo is
                // indistinguishable from any other asset
                if (IsFirstBar)
                    Asset(childAlgo).Allocate(1.0, OrderType.openNextBar);

                Plotter.SelectChart("child algorithms", "date");
                Plotter.SetX(SimDate);
                Plotter.Plot("nav", NetAssetValue);
                Plotter.Plot("spy", Asset(ETF.SPY).Close[0]);
                Plotter.Plot("agg", Asset(ETF.AGG).Close[0]);
            });

            //---------- post-processing

            // the target allocation and the historical allocation
            // will show the assets held by the child strategy
            Plotter.AddTargetAllocation();
            Plotter.AddHistoricalAllocations();

            // in contrast to that, the trade log will only
            // show the single trade made by the parent algorithm
            Plotter.AddTradeLog();
        }
    }
}