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Multicharts RENKO time stamp issue


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Multicharts RENKO time stamp issue

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  #1 (permalink)
 uspilotzzz 
Denver, CO United States
 
Experience: Intermediate
Platform: Multicharts
Trading: ES
 
Posts: 78 since May 2015
Thanks: 3 given, 25 received

Hi all I use FlexRenko tick charts for trading the ES and recently Ive noticed some issues with the time stamps. Normally when a bar closes on the renko chart the time stamp is normally offset by one.

For example on a normal tick chart, lets say there is a bar that moves up 2 pts and closes at 8am. When you hover over that bar it shows a close time of 8am. On the same resolution Renko chart of, when the bar closes if you hover over that bar it actually displays the open time of the bar. To correspond it to the same bar on the tick chart you would have to hover over the following bar on the renko chart which would show an open of 8am which is the close of the previous bar. This is normal and Ive come to understand how it works.

However, recently Ive noticed some renko bars that do not correspond at all to the correct time stamps. If you look at the time stamps between a normal tick chart and the renko tick chart it will show some time stamps that are obviously not correct.

Its almost as if the charts are different resolutions (which they arent) or data is missing. (Ive tried reloading the data)

In the first chart attached you can see a renko bar with a close time stamp of 12:16 and the corresponding bar that closes at 12:16 is a green candle. This is obviously incorrect. The previous red bar is the bar that caused the print.

In the second chart where the red arrow is the green renko bar closes at 76.25 and should have a close that goes with the regular tick bar at 9:24 but instead the renko bar is time stamped with 10:31 (where the red arrow is on the right) This is WAY off.

I know this is a very specific and difficult issue to explain in words but I am wondering if anyone else out there has had issues with renko chart time stamps and what they might have learned.

The reason I am asking is because its hard to go back and check charts for times when I wasnt sitting at the computer because one of the drawbacks of renko charts is that they dont match actual price so I need to be able to quickly and accurately figure out where price was when bars closed.

Thanks

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  #2 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies, Grains, Fixed Income
 
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uspilotzzz View Post
Hi all I use FlexRenko tick charts for trading the ES and recently Ive noticed some issues with the time stamps. Normally when a bar closes on the renko chart the time stamp is normally offset by one.

For example on a normal tick chart, lets say there is a bar that moves up 2 pts and closes at 8am. When you hover over that bar it shows a close time of 8am. On the same resolution Renko chart of, when the bar closes if you hover over that bar it actually displays the open time of the bar. To correspond it to the same bar on the tick chart you would have to hover over the following bar on the renko chart which would show an open of 8am which is the close of the previous bar. This is normal and Ive come to understand how it works.

However, recently Ive noticed some renko bars that do not correspond at all to the correct time stamps. If you look at the time stamps between a normal tick chart and the renko tick chart it will show some time stamps that are obviously not correct.

Its almost as if the charts are different resolutions (which they arent) or data is missing. (Ive tried reloading the data)

In the first chart attached you can see a renko bar with a close time stamp of 12:16 and the corresponding bar that closes at 12:16 is a green candle. This is obviously incorrect. The previous red bar is the bar that caused the print.

In the second chart where the red arrow is the green renko bar closes at 76.25 and should have a close that goes with the regular tick bar at 9:24 but instead the renko bar is time stamped with 10:31 (where the red arrow is on the right) This is WAY off.

I know this is a very specific and difficult issue to explain in words but I am wondering if anyone else out there has had issues with renko chart time stamps and what they might have learned.

The reason I am asking is because its hard to go back and check charts for times when I wasnt sitting at the computer because one of the drawbacks of renko charts is that they dont match actual price so I need to be able to quickly and accurately figure out where price was when bars closed.

Thanks

Renko charts are, by nature, fussy. If you have ever constructed a Renko chart by hand, you might understand. I can tell you that what you are seeing is probably expected behavior (note: 'expected', not 'desired' )

There may be a couple of things going on here. First, it is possible to get different bar close times based on your chart settings (Format Instrument > Settings): Show Real Open, Show Phantom Bars, New Bar When Exceeded,Data Range (start date), etc. The Start Date is particularly important, and I always use a Sunday as my start date.

Secondly, I looked at your chart settings based on the screenshots you provided and you will probably never get them to align. A standard (Regular) 5000 tick bar chart is much different than a Renko 5000 tick bar chart and I would expect them to not match. If you change down your 5000 chart to the 1-tick bar size, you would be able to identify exactly which tick was the closing tick of a given Renko bar. What I'm trying to explain is that you cannot expect bar close times to be the same.

As much as it was difficult for you to explain the problem, it was equally difficult to why you are seeing this. I have used Renko a lot in both MC and TradeStation, and have seen similar behavior. I hope I didn't muddle or confuse you.

If you think this is a bug (I don't believe so), then you can always use MC support. They might actually be able to assist you better. I hope this helps!

~vmodus

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  #3 (permalink)
 uspilotzzz 
Denver, CO United States
 
Experience: Intermediate
Platform: Multicharts
Trading: ES
 
Posts: 78 since May 2015
Thanks: 3 given, 25 received


Thanks for the quick and thoughtful reply. I do agree that the renko charts are "fussy" and not necessary broken, which really makes it more frustrating. I tried putting both charts in the same window and that helped at least visually but I still dont get why it sometimes doesnt print where and when it should. Its not like its subjective or anything a certain number of contracts trade and the price is "x". Using the same data x should never be different. I will play around with it some more in the next couple of days and report anything different.

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  #4 (permalink)
 vmodus 
Legendary Systematic Algo Trader
Somewhere, Delaware, USA
 
Experience: Intermediate
Platform: TradeStation, MultiCharts
Broker: TS Securities, OANDA
Trading: Energies, Grains, Fixed Income
 
vmodus's Avatar
 
Posts: 1,099 since Feb 2017
Thanks: 2,443 given, 2,309 received


uspilotzzz View Post
Thanks for the quick and thoughtful reply. I do agree that the renko charts are "fussy" and not necessary broken, which really makes it more frustrating. I tried putting both charts in the same window and that helped at least visually but I still dont get why it sometimes doesnt print where and when it should. Its not like its subjective or anything a certain number of contracts trade and the price is "x". Using the same data x should never be different. I will play around with it some more in the next couple of days and report anything different.

You're welcome. I was thinking, as I read your reply, that you may also be dealing with duplicate ticks and timestamps, example (time >> price):
  • 09:28:59.993 >> $3300.25
  • 09:29:00.724 >> $3300.25
  • 09:29:01.000 >> $3300.25
So which is the correct time for the bar close? The platform decides this, I am guessing. I know that I've seen settings for ignoring duplicate ticks, but I cannot seem to find it right now. Obviously for markets with higher volatility, as with your example, this is less of an issue, but it may give a hint as to why the bar close times are goofy.

One thing I have noticed in both MultiCharts and TradeStation, is that the number of ticks will not be exact for a fixed tick-based chart. Example of a 100 tick chart shows total volume of 117, shown below (note: in MC, the setting for Build Volume on = Trade Volume):


Not quite exact, but if I switch that parameter to Tick Count it is accurate (volume = 100). Maybe you can play around with that parameter and see if anything changes.

Also, it might not hurt to post this issue over at the MC support forums and see if they can offer any insight.

~vmodus

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