Creating a running 2nd strategy from another one

March 4th, 2018, 12:04 PM

I would like to know how to create a strategy inside another strategy (for whatever reason) and making both run properly at the same time.

The issue is that parent strategy receive all events as expected, but the 2nd strategy do not receive events such OnBarUpdate().

I also check that the value of Instrument is not set for 2nd strategy.

Code

namespace NinjaTrader.NinjaScript.Strategies  {
    
    // 2nd Strategy
    public class AggregateStrategy : Strategy {
        
        protected override void OnStateChange() {
            Print(">> AggregateStrategy.OnStateChange: | " + State + " | " + Category);

            if (State == State.SetDefaults) {
                Description = @"Aggregate Strategy";
                Name = "AggregateStrategy";
            }
            else if (State == State.Configure) {
            }
        }

        protected override void OnBarUpdate() {
            Print(">> AggregateStrategy.OnBarUpdate()");

        }
    }

    // main Strategy 
    public class ParentStrategy : Strategy {
        
        protected AggregateStrategy st;

        protected override void OnStateChange() {
            Print(">> ParentStrategy.OnStateChange: | " + State + " | " + Category);

            if (State == State.SetDefaults) {
                Description = @"The ParentStrategy";
                Name = "ParentStrategy";
            }
            else if (State == State.Configure) {
                ClearOutputWindow();
                st = new AggregateStrategy();
                Print("Create another strategy");
            }
        }

        protected override void OnBarUpdate() {
            Print(">> ParentStrategy.OnBarUpdate()");
        }
    }
}

As the 2nd strategy really receive OnStateChange() events I guess I missing to add the underlying instrument or something similar.

Can anyone give a light on this please?

Thanks in advance
--
Aster

Creating a running 2nd strategy from another one

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Creating a running 2nd strategy from another one