fix issue w/ incorrect prices for child strategies of v2 algorithms

fbertram · Apr 12, 2024 · b0d5310 · b0d5310
1 parent 544bd05
commit b0d5310
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Showing 2 changed files with 12 additions and 9 deletions.
diff --git a/TuringTrader.Simulator/Simulator/v2/Core/Plotter.cs b/TuringTrader.Simulator/Simulator/v2/Core/Plotter.cs
@@ -86,6 +86,9 @@ public void AddTargetAllocation()
             var names = new Dictionary<string, string>();
             var prices = new Dictionary<string, double>();
 
+            // NOTE: the v2 wrapper for v1 child algorithms doesn't advance SimDate.
+            //       As a workaround, we get lastSimDate from the top-level v2 algorithm.
+            var lastSimDate = Algorithm.SimDate;
             var lastRebalanceDate = Algorithm.Account.TradeLog.Last().OrderTicket.SubmitDate;
 
             void addAssetAllocation(Algorithm algo, double scale = 1.0)
@@ -112,7 +115,7 @@ void addAssetAllocation(Algorithm algo, double scale = 1.0)
                         {
                             holdings[ticker] = 0.0;
                             names[ticker] = asset.Description;
-                            prices[ticker] = asset.Close[0];
+                            prices[ticker] = asset.Close[lastSimDate];
                         }
 
                         holdings[ticker] += kv.Value * scale;

diff --git a/TuringTrader.Tests/v2/T208_Algorithm.cs b/TuringTrader.Tests/v2/T208_Algorithm.cs
@@ -160,11 +160,6 @@ public override void Run()
                 var algo1 = new SwitchHalfTime_v1 { HoldFirst = true, };
                 var algo2 = new SwitchHalfTime_v1 { HoldFirst = false, };
 
-                // NOTE: we can access the v2 wrapper via the
-                //       asset's meta information
-                var algo1v2 = Asset(algo1).Meta.Generator;
-                var algo2v2 = Asset(algo2).Meta.Generator;
-
                 SimLoop(() =>
                 {
                     if (IsFirstBar)
@@ -174,11 +169,15 @@ public override void Run()
                     }
                 });
 
-                NumChildTrades = algo1v2.Account.TradeLog.Count + algo2v2.Account.TradeLog.Count;
-
                 Plotter.AddTargetAllocation();
                 Plotter.AddTradeLog();
                 Plotter.AddHistoricalAllocations();
+
+                // NOTE: we can access the v2 wrapper via the
+                //       asset's meta information
+                var algo1v2 = Asset(algo1).Meta.Generator;
+                var algo2v2 = Asset(algo2).Meta.Generator;
+                NumChildTrades = algo1v2.Account.TradeLog.Count + algo2v2.Account.TradeLog.Count;
             }
         }
 
@@ -195,7 +194,8 @@ public void Test_v1()
             var alloc = algo.Plotter.AllData[Simulator.Plotter.SheetNames.HOLDINGS];
             Assert.AreEqual(alloc.Count, 1);
             Assert.AreEqual((string)alloc[0]["Symbol"], "$SPX");
-            Assert.AreEqual(double.Parse(((string)alloc[0]["Allocation"]).TrimEnd('%')), 125.00, 1e-5); // v2 test: 125.35
+            Assert.AreEqual(125.00, double.Parse(((string)alloc[0]["Allocation"]).TrimEnd('%')), 1e-5); // v2 test: 125.35
+            Assert.AreEqual(3839.50, double.Parse(((string)alloc[0]["Price"]).TrimStart('$')), 1e-03); // value from 12/29/2021
 
             var last = algo.Plotter.AllData[Simulator.Plotter.SheetNames.LAST_REBALANCE];
             Assert.IsTrue(last.Count == 1);