Renko Type Chart Problem

[loanarranger]

There is a major flaw in how the data is handled in the renko chart plotting by NT, at the close/open of each daily session.

One of the principles of renko is that the close of one bar is exactly the same as the high or low of the next bar so that if one is plotting 10 tick bars, all ticks on a given chart will end in the same digit. This should be true thorough out the entire chart. NT, however is not handling the daily session change over correctly. At the of the start of the first bar of the new session, a gap is add changing the last digit of the next ten tick bar high/low from the last bar of the previous session.

This change causes a problem in targets and stops generated by most third party software and needs to be corrected.

[NinjaTrader_Bertrand]

loanarranger, the reset of the renko bars count at the start of each session would be expected - there was however an issue fixed in the latest R8 installer recently, so if you could post a chart of your issue that would help us much in diagnosing here.

Thanks,

[loanarranger]

Bertrand,

Attached is a Trade Station renko chart showing the change over between 1/20 and 1/22. All bars on both sides are the same ending digits for highs and lows.

The second attachment is a NT chart over the same dates showing how the bars endings are changed incorrectly.

In trading renkos generally I use bars that are in increments of five tick so that I can set the beginning bar of the chart so as to avoid key level ending with 0s and 5s since these will also set my entry and exit orders. On the TS chart, for example, all bars end in either 3s or 8s (rounded to four digits). This is what I need to be able to do in NT.

If entries and exits are not at the renko ends points the chart becomes impossible to back test because renko bars do not show the actual high/low tail price action of any bar and you never know if an order has been hit or not.

[mrlogik]

loanarranger,

Building the bars in the manner you're referring to leads to chart inconsistency based on the number of days you have loaded. In TS, load 10 days of one chart, and 4 on another. Then, compare today's date between the two. They won't be the same.

This makes it very difficult to build a rule based system since a specific date will yield completely different results depending on how many days of data you have loaded.

Thoughts?

[NinjaTrader_Bertrand]

Exactly for this reason we have the daily reset of the bars generation count at session break, so that chart generation consistency would not depend on the start date chosen.

[loanarranger]

You both miss the point of my original post. PureLogik is right in the since that renko charts' ending digits are determined by the first bar on the chart. My point is one wants them to be the same throughout the entire chart because to test and trade them with the best possible success, you want to avoid ending on key levels (ending in 0s and 5s). The renko bar high/low points will set your best entries and exits if done in this manor.. The high/lows are set by trial and error, going back to a first date at least seven days back, until you get the desired entry/exit digits, avoiding key levels. Once this is accomplished, the renko bars will always have the ideal high/low digits for months into the future, when you will hit the maximum data from your provider and have to set up a new beginning point all over again.

I am currently trading this way on several FOREX strategies in TS with no problem because the bars flow from session to session never changing their end digits. This can not be done in NT due to the incorrect handling of the closing price at the session close. True renko charts never have gaps or overlaps between "bricks", by definition.

NT is my platform of choice for futures but the way it is currently set up renko bar trading is not very ideal for fast moving day trade markets like CL, TF and W. You are forced to give up fine control of your entry/exit points.

[NinjaTrader_Bertrand]

Thanks for the clarifications and input loanarranger, I appreciate it. For a week's worth of trading you could look into assigning a custom session template spanning the week in one session to your Renko chart, but then there would be again a reset on the weekend, so this would be currently the longest period you could create a chart with no session break in it for NT. I will provide your thoughts to product management so it can be considered going forward enhancing our platform further.