Displaying Renko Bar incorrectly

[GARZONJ]

I have a custom Renko Bar bar type tat works perfectly with the normal connection (connection to my broker Phillip Capital). The bar type works fine loading historical information also. Buy when I star using it with the Payback connection, for some unknown reason the last the last bar is a bearish bar that goes from the last close price to zero.

Custom Renko Bar details:

• The custom Renko bar uses two parameters, one for the bar size and another to indicate the where the next bar in drawn in relationship to the previous one.

Observation:

• When using the playback connection, I know that I must download the Market Replay data using my normal connection. The behavior is as if the tick data for the day zero which would create one large negative bar taking the price from the normal last price (example ES last tick 3252.50) to zero. To recover, the bar type needs to draw thousands of Renko Bars to bring back the price to the price of the of the first tick of Market Replay.
• The issue only happens with Playback connection using Market Replay when the start date is either 1/5/20, 1/6/20. 1/7/20, 1/8/20 and the Renko settings are 3 for Brick Size and 1 for Trend Threshold. I have tested every other possible combination for the two Renko parameters, and everything works correctly setting the Market Replay Start date to any of the dates mentioned above.

What I have done before:

• When testing my custom Renko Bars using historical data, I could go to Tools | Historical Data and drill down to see the tick details. Using this technique, I was able to confirm, the raw data (the tick) and make sure my custom Renko bar type was able to process it correctly. When it comes to using Playback with Market Replay, I just don't. know how to see the raw data to see where this zero tick is coming from.

Other observations not related to the issue at hand:

• When using Playback with Market Replay, how do you control the number of days that it goes back to draw "historical bars"? Example: Say that I have 12/12/19 for my Market Replay Start date. Up to what date will it do back and load historical data?
  • I have noticed that the Data Series parameters are ignored by the Playback with Market Replay
    • Please assume that I have previously dowloaded several days worth of Market Replay information, example all of December
• There are occasions where I select a Market Replay Start date and I know for a fact that I have the Market Replay data dowloaded for those dates. After selecting the the start date, I simply don't see anything. I don't think is my custom Renko, but what are the requirements are needed as far as Market Replay data so that the chart appears? I am thinking that you only need Market Replay data dowloaded.
• When using Playback with Market Replay, to display the "historical bars", is it using Historical data (Tools | Historical Data | Historical data) or strictly Market Replay data (Tools | Historical Data | Market Replay data)

I know that I have to send you my Renko custom code. How do I send it?

I have included to pictures which shows the issue at hand:

• The long candle which brings the price to 0
• Thousand of Renko to bring back the price

[NinjaTrader_Kate]

Hello GARZONJ,

Thank you for your post.

If you are comfortable posting your code here, you can export it from Tools > Export > NInjaScript Add On and attach it to your reply. If you'd rather keep it confidential, you may send it to us at platormsupport [at] ninjatrader [dot] com. Please provide a link to this post in the email body and 2395021 ATTN Kate W.

In order for historical data to be loaded prior to the chart start date (note that prior to starting playback, any data showing on the chart with be historical and not market replay data), you have to already have that data available. The amount of prior data that is loaded is dependent on your settings in the chart's Data Series window for TimeFrame - If you load data based on Days, you can select a number of days to display as long as you already have the data to do so - the Playback connection can't run if you're connected to any data feed so you have to make sure you have that necessary historical data to start the chart on. It sounds like you may have all the Market Replay data but don't have corresponding historical data to fill in before playback commences.

I will keep an eye out for your script.

Thanks in advance; I look forward to assisting you further.

[Sparkyboy]

I have exactly the same issue; in fact, I posted earlier today about it.

https://ninjatrader.com/support/forum/forum/ninjatrader-8/platform-technical-support-aa/1084337-tick-replay-loading-and-renko-bars

The only difference is that the identical chart corruption happens on Tick Replay; I haven't tried Market Replay.

[GARZONJ]

Update

New details:

• This behavior only happens with my custom Renko Bar. It does not occur with NT's Renko Bar
  • By looking at Sparkyboy's post, the issue happens to be with a Renko Bar type which has the same behavior as the one that I created. This type of Renko Bar type uses two parameters as I indicated in my initial post.
• I have checked the Historical data in the Historical Data window (Tools | Historical Data) and checked to see if there was a tick that would case this stranger behavior. There are no historical ticks around the time the price drops to zero with a price close zero.
  • Interesting observation: The issue does not occur on the last tick of the day. The price drop occurs several seconds before the last tick of the day.
• After doing many alterations, I was able to get the right sequence of steps to constantly replicate the issue

Steps To Replicate the Issue:

**** Using the Playback connection and having historical data from 1/1/2020 to 1/20/2020, go to the Playback window and set the Market Replay Start to 1/8/2020. This value is critical to generate the issue. *****

Steps

• Working with the ES 03-20 instrument.
• I begin with my standard NT Continuum connection to download the information
• I go to Tools | Historical Data and make sure I have removed all the data for ES 03-20, Last.
  • I close the Historical Data window
• I open again Tools | Historical Data and select the Load tab at the bottom
  • Using the Download section, I download the information using the details below
    • Instrument: ES 03-20
    • Start Date: 01/01/2020
    • End Date: 01/20/2020
    • Intervals: Ticks ONLY
    • Data Type: Last ONLY
• On the chart, right click and select Data Series. Fill out the information using my custom Renko Bar type.
  • Price base on: Last
  • Type: Main Renko Bars
  • Brick Size: 3
  • Trend Threshold: 1
  • Load data based on: Days
  • Days to Load: 3
  • **** End Date: 1/09/2020
    • This last parameter is the critical one. It has to one day greater than date used in Playback Connection within the Playback window under the Start parameter and Market Replay selected. For this particular example, the Marker Replay start date is 1/8/2020
• Click Apply and Ok in the Data Series configuration window.
  • The graph gets displayed correctly
• Switch the connection from NT Continuum to Playback Connection
  • Because Playback window remembers the last Start date, the 01/08/2020 should automatically appear.
  • At this point the chart displays the erroneous behavior.

Other observation:

• When the issue has occurred, I go back to my custom bar code and add the following line to OnDataPoint()

  • if ((bars.Count-0) <= 4000)
    
    
    		            Print("Printing Anything     bars.Count " + (bars.Count-1) + "    O " + (currentRenkoLow + iBrickSize) + "   H " + (currentRenkoLow + iBrickSize) + "   L " + currentRenkoLow + "    C " + close);

    • I don't any information until the abnormal bar
    • When the Renko Bars are drawn correctly, the same statement gets printer thousands of time; this is what I was expecting every time

I have also sent my custom Renko Bar type as indicated in your instructions.