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Bad data in Renko feed
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Wed 26 Nov, 2014, 17:32 

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From further investigation it does seem that the latest release of the DEMO (Version 2.42.2) is defaulting to showing renko bricks on the chart based on closing prices (I'm guessing on 1 minute candles?) rather than ticks with no option to set it to ticks.

I don't see why someone would ever want it based on closing prices anyway but that's another matter...

How quickly can this be rectified? Because right now the charts make no sense.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Thu 27 Nov, 2014, 08:20 
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Yes, the session is 1 minute close price by default. But this can easily be changed under Preferences\Period\Calculation settings.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Thu 27 Nov, 2014, 09:10 

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Apologies didn't see the Calculations Settings tab,

Any chance the charts can work of ticks rather than 10 secs though? Previous versions always worked on ticks from what I remember, at least for 1 & 2 pip size Renko bricks at least


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Thu 27 Nov, 2014, 14:52 
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Sure, just add Ticks or e.g. 1 Second as a period in "Custom period selection" and you will be good to choose it as a session length. We will set session length "Ticks" by default to avoid confusion.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Thu 27 Nov, 2014, 16:07 

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I'm glad you're going to change the default - I really do think the current settings will confuse people.

On my fairly modest workstation the performance with ticks is perfectly acceptable.

I hope you noted the point about the wicks being bugged?


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Fri 28 Nov, 2014, 08:49 
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Yes, wicks are going to be changed.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Fri 28 Nov, 2014, 16:03 

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I think someone else in our group has notified you of this, but just to get it on record...

When JForex is launched and previously open charts are restored, Renko charts always revert to a 1 pip period, even when they were set at a higher period when the app was closed.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Fri 28 Nov, 2014, 16:11 

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Also, just noticed that if you clone a Renko chart, the new chart always opens with a 1 pip period, whatever the period of the original chart.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Fri 28 Nov, 2014, 16:21 

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it is true I have the same problem.

For the rest, it seems to me that everything works fine.

Have been published specifications for RenkoFeedDescriptor
(setRenkoSession, setRenkoCreationPoint, ......)?


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Fri 28 Nov, 2014, 16:26 

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Just to add in as well:
I'm also noticing that today for the EURUSD that whilst the data feed (which is VERY slow) is giving data in even numbers on the pip level (I.e bricks @ 1.2464,1.2466,1.2468,1.2470 etc) the chart is showing bricks on the odd number level (I.e bricks @ 1.2465,1.2467,1.2469,1.2471 etc)


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Mon 01 Dec, 2014, 08:46 
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jamesadk wrote:
Just to add in as well:
I'm also noticing that today for the EURUSD that whilst the data feed (which is VERY slow) is giving data in even numbers on the pip level (I.e bricks @ 1.2464,1.2466,1.2468,1.2470 etc) the chart is showing bricks on the odd number level (I.e bricks @ 1.2465,1.2467,1.2469,1.2471 etc)


Please elaborate on this with an example. Make sure the settings in "Preferences/Period/Calculation settings" and renko feed match.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Mon 01 Dec, 2014, 09:19 

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Please see attached pic.
The horizontal line is at 1.2450 for reference

Image


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 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Mon 01 Dec, 2014, 12:13 
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When are we expecting this fix in standalone API?


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Tue 02 Dec, 2014, 18:20 
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New platform version 2.42.3 is out on DEMO.

Few words about wicks:

What is a wick and what it shows for renko charts?
Renko wicks are a minimum or maximum (depends whether the brick is rising or falling) of the price between renko's start and end time. Rising brick has a wick which represents minimum price during the interval, falling brick has a wick which represents maximum price during the interval.

What are empty bricks (phantom bricks) and why do they appear?
If one price point creates more than one brick, then the first created brick will have accumulated volume, FEC and optionally a wick, but all next bricks will not. Additionally - the starting and ending time for these bars differs by 1 millisecond.

Example with 1 pip Renko on 1 Hour Close price session.
Image


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 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Tue 02 Dec, 2014, 18:46 

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EDIT: PLEASE IGNORE - I GOT THIS WRONG (see comments below)

Good to see that this is being worked on so actively, but I think there are still issues with the wicks on the chart.

With a tick session length set for Renko in the Preferences, I'm seeing wicks which are longer than the previous brick. But this must be incorrect - if the price moves past the opening of the previous brick, that should form a new brick in the opposite direction, by definition:




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 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Tue 02 Dec, 2014, 19:16 

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Scotpip,
I don't think that is quite right:

The wick should represent the price movement between the formation of the previous brick and the formation of the current brick.

From what I have understood you are interpreting the wick as the market movement after the current brick is formed appended to the current brick.

Additionally, the wick breaking the open of the previous brick will not cause a new brick to be formed - there needs to be a 3 brick size movement in the opposite direction of the current brick close price to trigger a new brick, the way you are describing is only a 2 brick brick movement in the opposite direction.

Taking your picture as an example:

Assume the leftmost brick ( GREEN & partially obscured) is brick 0:
- The wick of brick 1 (GREEN) is the market movement between the formation of brick 0 and the formation of brick 1 - NOT the market movement AFTER the formation of brick 1.
- Likewise for brick 2 (RED) : It is OK for the wick to pass beyond the close of brick 1, just not an additional brick beyond the close of brick 1.

I hope this makes sense.

This is why UP bricks should only have downward wicks and DOWN bricks should only have upward wicks.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Tue 02 Dec, 2014, 19:20 

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Just to add, I'm talking about renko bricks formed on a tick by tick basis, renko bars formed on prices at the end of a set time period (1,3,5 minute etc) can conceivably have wicks the would breach the formation of a brick in the opposite direction since the price can breach that level and then retreat before the end of the period.


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Wed 03 Dec, 2014, 08:53 
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jamesadk has explained it right.
Notice than wick of brick 2 is not higher than one brick distance from close price of brick 1. If the price would have moved higher, there would be a new up brick formed (in case of "Ticks" as session length)


 
 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Wed 03 Dec, 2014, 09:25 
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jamesadk wrote:
Just to add in as well:
I'm also noticing that today for the EURUSD that whilst the data feed (which is VERY slow) is giving data in even numbers on the pip level (I.e bricks @ 1.2464,1.2466,1.2468,1.2470 etc) the chart is showing bricks on the odd number level (I.e bricks @ 1.2465,1.2467,1.2469,1.2471 etc)


We did not find any difference:
Image


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 Post subject: Re: Bad data in Renko feed Post rating: 0   New post Posted: Wed 03 Dec, 2014, 12:07 

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Hi jamesadk - you're right.

Seems I hadn't really thought through the sequence of wick formation, other than realising that they were pointing in the wrong direction in the previous release!

I've edited my post to alert readers to ignore it...


 

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