HeckeSubAlgebra( H, r )
Given an  Hecke Algebra H  and a set of roots  of Group(H) given as
their index in the roots,  return the Hecke  sub-algebra generated by the
T_s  corresponding to these  roots.  The roots must  be simple roots if
any parameter is not 1.
As for Subgroup, a subalgebra of a subalgebra is given as a subalgebra of the parent algebra.
    gap> u := X( Rationals );; u.name := "u";;
    gap> H := Hecke( CoxeterGroup( "B", 2 ), u );
    Hecke(CoxeterGroup("B", 2),[ u, u ],[  ])
    gap> HeckeSubAlgebra( H, [ 1, 4 ] );
    Hecke(ReflectionSubgroup(CoxeterGroup("B", 2), [ 1, 2 ]),[ u, u ],
    [  ])
    gap> HeckeSubAlgebra( H, [ 1, 7 ] );
    Error, Generators of a sub-Hecke algebra should be simple reflections 
    in HeckeSubAlgebra( H, [ 1, 7 ] ) called from main loop
    brk> 
This function requires the package "chevie" (see RequirePackage).
GAP 3.4.4