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Custom Renko (WickedRenko) implementation


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Custom Renko (WickedRenko) implementation

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  #1 (permalink)
bp
 
Experience: Beginner
Platform: ninjatrader
 
Posts: 29 since Jul 2009
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Hi,

I am using WickedRenko on NT7 but i noticed a problem when there are data outside the current market range much more than 1 tick, it is common, just 1 or 2 time and sales data, but because renkos forming this time, it can be a great mess..

I tried to filter data in the cs file like this:

if(
(Math.Abs(close-close[1])) > (1*tickSize)
){
close = close[1]+1*tickSize;
}

Lets suspect we trading is liquid market, so if the next tick is outside the current trading area more than 1 tick, than it is impossible, so correct this value back to normal.

But this code doesnt changed anything

Any idea how can it be solved?

WickedRenkoBarsType_NT7.zip


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  #3 (permalink)
Auckland
 
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Hi

Is there any way I can get a Renko chart in version 6.5?

SS

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  #4 (permalink)
Hartford, CT. USA
 
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Several versions of Renko are available here in the misc. area.

Links and Downloads Manager - NinjaTrader Support Forum

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  #5 (permalink)
United States of America
 
Experience: Advanced
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Posts: 1,149 since Aug 2009

Perhaps aslan can addressed this--he is the creator of WR.



Zsolt View Post
Hi,

I am using WickedRenko on NT7 but i noticed a problem when there are data outside the current market range much more than 1 tick, it is common, just 1 or 2 time and sales data, but because renkos forming this time, it can be a great mess..

I tried to filter data in the cs file like this:

if(
(Math.Abs(close-close[1])) > (1*tickSize)
){
close = close[1]+1*tickSize;
}

Lets suspect we trading is liquid market, so if the next tick is outside the current trading area more than 1 tick, than it is impossible, so correct this value back to normal.

But this code doesnt changed anything

Any idea how can it be solved?

Attachment 11393



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  #6 (permalink)
Madison, WI
 
Experience: Advanced
Platform: ALT
Trading: ES
 
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Posts: 616 since Jan 2010
Thanks: 351 given, 1,109 received


Zoethecus View Post
Perhaps aslan can addressed this--he is the creator of WR.

Not much to address. If your data is jumping around then you need to use a bigger brick size. For example, if your data can gap back and forth by 10 ticks, then using a 4 tick brick size is not going to work very well. If you were using a range bar, you would see the same thing. If you were using a time based bar, you would see larger bars. The data is what the data is.

I am not into filtering the data. WickedRenko was all about seeing all of the data.

Certainly a different kind of bar could be made to do something else.

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  #7 (permalink)
bp
 
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well, yes you are right in setting the right reversal amount, but in that case jumping data is not actual trades, they are just missed data from previous trades, so filtering is needed.

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  #8 (permalink)
Madison, WI
 
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Zsolt View Post
well, yes you are right in setting the right reversal amount, but in that case jumping data is not actual trades, they are just missed data from previous trades, so filtering is needed.

Sure about that? Why doesn't NT filter it out if it is not a real trade? How do you tell a real trade from bad data? If just using price to filter, you will miss real data also? For example, around news data gaps back and forth instantly, but they are real trades. Don't know the answer, just thinking out loud.

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  #9 (permalink)
Madison, WI
 
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Take a look at the new BetterRenko thread. It will not filter data, but it does remove all of the waterfalling for gaps.

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  #10 (permalink)
bp
 
Experience: Beginner
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Posts: 29 since Jul 2009
Thanks: 1 given, 1 received


yeah i am looking it, and likes what you are doing, I am working on a stock trading company, and it is common to get +10,20 ticks data away from the current trading range, and all of the renkos are working weird this times, creating many bars without actual data(0 volume).


But look it from logical way, the market is trading between 35.14 and 35.15 and suddenly got a tick from 35.50 without clearing the 35.15. So this is all against the market rules, you cant get anything above 35.15 until that price level is cleared out. Your own safety if you enter a buy to 35.50, you will get it at 35.15. So in that case this data can be filtered out.

This all are fully liquid market so if you got a tick 2 tick away than the previous that is bad.

You say it can be filtered out by Ninjatrader alse? i dont know how, maybe that is the right solution.

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  #11 (permalink)
Madison, WI
 
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Zsolt View Post
You say it can be filtered out by Ninjatrader alse? i dont know how, maybe that is the right solution.

I agree there could be data that should be filtered, but doing so during bar building is probably not the right place to do it. In NT, there is an option under Tools->Options->Data that allows you to "filter bad ticks" by setting a percentage away from the market that is considered bad. I have never used the option, so be sure to understand what it really does (you may need to post on the Ninja forum).

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