Renko bar with time resolution

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MAtricks
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Renko bar with time resolution

Postby MAtricks » 16 Sep 2013

While selecting to Show Wicks, the wick sporadically paints in random places. While selecting Show Real Open, the Opens are definitely incorrect as they move around the chart on another unknown path.
I've gone through most of the bar types and there are extremely obvious errors in all of the unique bar types.

Video of a couple bars: http://screencast.com/t/6p0lkr19z
*note the wick
*note the open and closes
(these settings are turned on)

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Re: Renko bar with time resolution has never been fixed

Postby Smoky » 19 Sep 2013

StefanoSF and me want to have same feature on renko charts than regular bar !
NO REPLAY TICK BY TICK, NO BAR MAGNIFIER, BACKTEST ON TICK/TICK .....

renko users have to pay to have same features than regular bar users !

viewtopic.php?f=1&t=13799
https://www.multicharts.com/pm/viewissue ... no=MC-1384

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Renko Bar with resolution / time NEEDS work

Postby MAtricks » 19 Sep 2013

Smoky,

Thanks for the reply.

You're right, MC needs to work on ALL unique bar types since they need updates/upgrades. However, if you've experienced many other platforms and their support, you'd realize how amazing the MC team is. They fix and update at least 10x faster than anyone else. Ever suggested something to NT? Or TS? It never happens... I've had so many of my personal suggestions implemented within weeks of my posting. I'm not without faith in the MC team yet :)

Multicharts team:
Please look at these unique bar types! They're sold in the platform and most are NOT usable. A few suggestions would be:

-Add a tick by tick back-test option for ALL charts
-Fix Renko with resolution
-Add a similar resolution addition to Point bars
-Add a Point measurement setting to Line Break bars
-Add a Point measurement setting to Heikin-Ashi bars
-Remove back-test execution within the part of Heikin-Ashi bars that have no price

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Re: Renko Bar with resolution / time NEEDS work

Postby Smoky » 20 Sep 2013


-Add a tick by tick back-test option for ALL charts
-Fix Renko with resolution
-Add a similar resolution addition to Point bars
-Add a Point measurement setting to Line Break bars
-Add a Point measurement setting to Heikin-Ashi bars
-Remove back-test execution within the part of Heikin-Ashi bars that have no price
very good ! good suggestion...
I do not understand why MC don't have a tick by tick backtest for renko :(
now we can have high frequency processor with multi cores, lot of memory (seven 64 bits), good ticks database with quotemanager.
playing tick/tick to have the best backtest is not difficult !
I prefer to run my computer overnight to have a very good backtest that having a backtest quickly but completely false :) (the customer can choose slow or fast ... )

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Re: Renko bar with time resolution has never been fixed

Postby Henry MultiСharts » 20 Sep 2013

You're right, MC needs to work on ALL unique bar types since they need updates/upgrades.
Hello MAtricks and Smoky,

There are no outstanding issues with Non-standart chart types at the moment.
The issues you have reproted before were already fixed in MultiCharts 8.7 Beta 2.
And as far as I remember based on our Renko discussion - a better design decision has not been found.
I do not understand why MC don't have a tick by tick backtest for renko:(
Smoky, please elaborate what particular issue do you have with backtesting.
StefanoSF and me want to have same feature on renko charts than regular bar !
Multicharts team: Please look at these unique bar types! They're sold in the platform and most are NOT usable. A few suggestions would be:
Discussion forum is not the best tool to ask for improvements or new features. We have a dedicated tool for that: Project Management.
Please submit your requests to the project management system and we will be able to see the actual demand for this functionality from our users.

To sum up - there are no outstanding confirmed issues with Renko or any other chart type at the moment, according to the current design of these chart types. If you have found any behavior that you consider to be incorrect - please provide a detailed description of it and it will be forwarded to our engineers for further analysis.

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Re: Renko bar with time resolution has never been fixed

Postby MAtricks » 21 Sep 2013

To sum up - there are no outstanding confirmed issues with Renko or any other chart type at the moment, according to the current design of these chart types. If you have found any behavior that you consider to be incorrect - please provide a detailed description of it and it will be forwarded to our engineers for further analysis.
http://screencast.com/t/6p0lkr19z
Did you see the little clip of MC renkos bars with a 1min resolution while having checked Show Real Open and Show Tails? Notice the repainting and the wrong opens and closes without tails? That's just a couple minutes and one obvious error with the bars...

Image

Where are the opens of those bars? Where are the closes? And in real time they're completely different than that, but they repaint to this shape.

I believe Renko bars should be improved.

I apologize for not using the Project Management section. It loads pages very SLOOWWWWLY. Where as here in the forum, other individuals tend to help out faster.
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Re: Renko bar with time resolution has never been fixed

Postby Henry MultiСharts » 24 Sep 2013

We will check the provided information and I will get back to you.

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Re: Renko bar with time resolution

Postby Henry MultiСharts » 24 Oct 2013

Here are the analysis results from our team:
  • The bars are plotted as dashes not because of “using candles” or “show real open”. The issue is that ”show phantom bars” option is disabled.
  • The realtime bars are changed into dashes because this is not a tick chart but a minute chart. The values are fixed on the minute bar close.
    When time based data resolution is selected for Renko – only close of the bar of the main data series is used to build Renko boxes.
    That means MultiCharts knows two points-last close and current close, counts how many boxes of the specified size were between these two points, plots the calculated amount of boxes. In realtime all intra-bar values are used for Renko box “in progress” plot. But after you reload the chart you don’t have these realtime ticks, you have only bar close values, you again have only two points and start calculating how many boxes of the specified size were between these two points in order to plot the renko boxes. This behavior helps to minimize the difference between the realtime and historical data when the chart is rebuilt.
  • There is no way realtime “in progress” bar can be left “oversized huge box” because rebuilding the chart will erase this detailed data and the main data series close value will be used to find the amount of boxes between two points to plot the required amount of Renko boxes.
  • When “Show real open” option is enabled then open of the real bar is used.
    “Show real open” works only when Show wick is enabled. When Show wick is enabled open of the Renko Bar can be on the wick.
    When Show Real Open is enabled - real open price is used for strategy/indicator calculation. Visually the box will be Box Size + distance to the open of this bar, if Open is on the wick.
    If Show Real Open is disabled then Open on the wick is ignored and open of the Renko box is plotted (classical Renko). The studies applied to the data series will use Renko box open (not real open).
  • If you want to see classical Renko – you need to use 1 tick resolution, disable all options except for “show phantom bars”.
  • Right now Renko charts in MultiCharts are implemented based on the user requests (similar to Better Renko).
    If you consider the current implementation to be incorrect – please describe what exactly does not work as you expect and provide a distinct algorithm on how to improve the Renko chart type.

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Re: Renko bar with time resolution

Postby MAtricks » 24 Oct 2013

Henry,

Great work. Thank you for the explanation to all questions I have on this topic.

As of now, it looks like you covered the topic well. I currently do not have any solutions to the stumbling blocks of renko with a time resolution. I will be thinking of them and cover this topic with a few experienced programmers that I know..

My idea of what we should: A platform that shows past data as close to live data as possible. I understand that this isn't a solution.. it's just how it seems like it should be.

From all of this I think we need to think of solutions for:
-Show Wicks option to show the entire wick for the time based renko so these are more realistic. It seems like this is feasible if we're using minute data..

Question (and this may be another topic completely):
Is there any way for the a 10pt/1minute renko box to close at 10pts/1.5 minutes? Or 10pts/3 minutes 42 seconds? In other words, can we get away from waiting for a whole other minute just because the bar wasn't more than 10pts at 59seconds?

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Re: Renko bar with time resolution

Postby Smoky » 24 Oct 2013

Smoky, please elaborate what particular issue do you have with backtesting.
there is no
I work with renko, show real open, show wicks and NO phantom bar, you can't make a good stategy with phantom bar ! (some tick doesn't exist !)

with IOG many orders / brick.

How bactest is so wrong very simple to prouve : on the same computer run a stategy with renko 5 pips with 1 ticks resolution on charts 1, you'll see order on charts all is good ! but open a new chart number 2 realy 'clone' of the first chart with the same stategy and you NEVER SEE the same historical orders ! some of them are missing not on same level ect and it is because MC use only FOUR ticks to make a brick on backtest ! (OHLC)
My stategy run on tick by tick, and a brick can have 100 ticks ! and you use ONLY 4 of them to run my stategy, NOT REALY SERIOUS ....I take a long time to make a tick/tick stategy and can't backtest it ! don't forget you can use bar magnifer on no regular bar !

as i already say to andrew make a playback tick/tick solve the issue, you can test parts of your code, this is a slight better that this backtes.

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Re: Renko bar with time resolution

Postby MAtricks » 24 Oct 2013

Smoky,

Would you mind posting screen shots of what you're talking about? And examples of the execution code you're using?

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Re: Renko bar with time resolution

Postby Smoky » 25 Oct 2013

Hi MAtricks

sorry no screenshot no code, my stategy is in production ;)

but make this test, add a line of code to save all you indicators and OHLC,date, time in a CSV file, look the file in bactest and this file in realtime ! on bactest you only read 4 tick (OHLC) by brick (only 4 lines / brick)...and in realtime you can have 100/150 lines by brick with real tick/tick update of your indicators ;) why ??? how backtest could be realy wrong with only 4 ticks ? what about calling extern dll ? always tick/tick ....

Sorry I'had to make my own backtest with this csv file to make my code better and better and always record realtime datas with file.

Fortunately the code works well in realtime :)

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Re: Renko bar with time resolution

Postby Henry MultiСharts » 25 Oct 2013

Smoky, please elaborate what particular issue do you have with backtesting.
there is no
So you have an issue or no?

If you have an issue with the current implementation of Renko bars and you want it to be adressed - please provide us the following information for analysis:
0) Create a sample code without excessive logic that will replicate this behavior;
1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About);
2) attach the workspace you are using;
3) in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send me the Qmd export file for analysis;
4) in PowerLanguage editor->File->Export->export with dependent functions the studies you are using for replicating the case. Send me the study export file.

Right now Renko charts in MultiCharts are implemented based on the user requests (similar to Better Renko).
If you consider the current implementation to be incorrect – please describe what exactly does not work as you expect and provide a distinct algorithm on how to improve the Renko chart type.

All feature requests are forwarded to the management of the company and are evaluated in a timely manner. Please note that even though we value your opinion not all requests can be implemented due to the fact that some features do not fit into our current roadmap.

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Re: Renko bar with time resolution

Postby Henry MultiСharts » 25 Oct 2013

From all of this I think we need to think of solutions for:
-Show Wicks option to show the entire wick for the time based renko so these are more realistic. It seems like this is feasible if we're using minute data..
Taking only a realtime bar into consideration:
What if a single box size (point size restraint) is fulfilled, and the time restraint is fulfilled - do we plot 1 box + High/Low wicks? Wouldn't it look like a regular candlestick?

What if while time constraint is fulfilled the realtime price creates N complete box sizes, what to do in this case? How many boxes will be there, where will be the wicks?
Question (and this may be another topic completely):
Is there any way for the a 10pt/1minute renko box to close at 10pts/1.5 minutes? Or 10pts/3 minutes 42 seconds? In other words, can we get away from waiting for a whole other minute just because the bar wasn't more than 10pts at 59seconds?
Only with non time based resolution. For example Renko box size 10pts and 1 tick resolution will do this job. Almost the same thing will be done by regular chart type with 10 point resolution.

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Re: Renko bar with time resolution

Postby Smoky » 04 Nov 2013

Smoky, please elaborate what particular issue do you have with backtesting.
there is no
So you have an issue or no?

If you have an issue with the current implementation of Renko bars and you want it to be adressed - please provide us the following information for analysis:
0) Create a sample code without excessive logic that will replicate this behavior;
1) What exact version and build number of MultiCharts are you running? (in MultiCharts go to Help tab-> About);
2) attach the workspace you are using;
3) in QuoteManager select the symbol you are using, make a right click on it->Export data->Export instrument (with data). Send me the Qmd export file for analysis;
4) in PowerLanguage editor->File->Export->export with dependent functions the studies you are using for replicating the case. Send me the study export file.

Right now Renko charts in MultiCharts are implemented based on the user requests (similar to Better Renko).
If you consider the current implementation to be incorrect – please describe what exactly does not work as you expect and provide a distinct algorithm on how to improve the Renko chart type.

All feature requests are forwarded to the management of the company and are evaluated in a timely manner. Please note that even though we value your opinion not all requests can be implemented due to the fact that some features do not fit into our current roadmap.
I use last MC beta but this issue is on every MC (Easylangage not tested in .net)

remember i works on ticks by ticks ! IOG
On Your WIKI :
"" Intra-Bar Order Generation in Backtesting

Intra-Bar Order Generation mode allows generating orders within a bar. In backtesting Intra-Bar Order Generation is limited by four calculations per bar: Open, High, Low, Close. Historical Intra-Bar calculation of the strategy is divided into 4 segments:

(Open),
(Open-High),
(High-Low),
(Low-Close).
""
no need workspace use this code !

Code: Select all

[IntrabarOrderGeneration = true]
vars: intrabarpersist tick(0), intrabarpersist nobar(0);

tick = tick + 1;

if nobar <> (currentbar+MaxBarsBack) then
begin
tick=0;
nobar=currentbar+MaxBarsBack;
end;

if tick= 1 then buy 1 share next bar at market;

if tick= 3 then sell all shares next bar at market; // OK ON BACKTEST
//if tick= 6 then sell all shares next bar at market; // NOT WORK ON BACKTEST
// ONLY 4 TICKS IN BACKTEST !!!

messagelog(numtostr(nobar,0), " Tick number= ",numtostr(tick,0));
ANOTHER THING: in tick/tick next bar at market must be next tick
run this code and you'll see sell order is on NEXT BAR !
if you use sell if tick=6 you never see this order in backtest !

buy tick=1 sell tick=3 works in backtest
buy tick=1 sell tick=6 NEVER works in backtest you lose realy trades in backtest

as you ask me this is a realy simple code, but 10 lines of code to prouve that i'm right !

In realtime all works fine you buy and sell at number of ticks you want ...

look at messalog text :

in bactest you'll see only four tick 1,2,3,4 on each barnumber
in realtime in 60tick/bar you'll see 60 lines/bar 1 line by tick

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Re: Renko bar with time resolution

Postby Henry MultiСharts » 05 Nov 2013

I use last MC beta but this issue is on every MC (Easylangage not tested in .net)
remember i works on ticks by ticks ! IOG
On Your WIKI :
"" Intra-Bar Order Generation in Backtesting
Intra-Bar Order Generation mode allows generating orders within a bar. In backtesting Intra-Bar Order Generation is limited by four calculations per bar: Open, High, Low, Close. Historical Intra-Bar calculation of the strategy is divided into 4 segments:
(Open),
(Open-High),
(High-Low),
(Low-Close).
""
no need workspace use this code !

Code: Select all

[IntrabarOrderGeneration = true]
vars: intrabarpersist tick(0), intrabarpersist nobar(0);

tick = tick + 1;

if nobar <> (currentbar+MaxBarsBack) then
begin
tick=0;
nobar=currentbar+MaxBarsBack;
end;

if tick= 1 then buy 1 share next bar at market;

if tick= 3 then sell all shares next bar at market; // OK ON BACKTEST
//if tick= 6 then sell all shares next bar at market; // NOT WORK ON BACKTEST
// ONLY 4 TICKS IN BACKTEST !!!

messagelog(numtostr(nobar,0), " Tick number= ",numtostr(tick,0));
That is correct. As the Wiki page that you have already quoted above says:
In backtesting Intra-Bar Order Generation is limited by four calculations per bar.
If you want to have tick by tick calculations in backtesting then Bar Magnifier is required.
As Intra-Bar Order Generation, Bar Magnifier on Non-Standard Chart Types says:
Bar Magnifier is not available for Renko chart type.
ANOTHER THING: in tick/tick next bar at market must be next tick
run this code and you'll see sell order is on NEXT BAR !
if you use sell if tick=6 you never see this order in backtest !
buy tick=1 sell tick=3 works in backtest
buy tick=1 sell tick=6 NEVER works in backtest you lose realy trades in backtest
as you ask me this is a realy simple code, but 10 lines of code to prouve that i'm right !
In realtime all works fine you buy and sell at number of ticks you want ...
look at messalog text :
in bactest you'll see only four tick 1,2,3,4 on each barnumber
in realtime in 60tick/bar you'll see 60 lines/bar 1 line by tick
This is exactly the same case as described above.

To sum up - there are no outstanding confirmed issues with Renko or any other chart type at the moment, according to the current design of these chart types. We do not decline that current design has some limitations caused by technical reasons. That is why we have the Project Management section where each feature receives the user votes and is being processed by our management.

I believe you have already created the following feature request Renko: Intrabar Playback Tick/tick
All users interested in Bar Magnifier/Tick by Tick Renko playback are free to vote for it.

Please note that even though we value your opinion not all requests can be implemented due to the fact that some features do not fit into our current roadmap.

What I believe will be the best solution for you is to use the Regular chart type - Point resolution. Point resolution has tick by tick playback and bar magnifier options. Point resolution is able to show the same price movement as Renko chart.

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Re: Renko bar with time resolution

Postby TJ » 05 Nov 2013

Renko is only a visual presentation, there is no magic to it.
The underlying logic is very simple;
for trading or backtesting purposes, I would duplicate the logic in a tick chart.


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