Renko Bar Charts


Introduction

Sierra Chart offers two different types of Renko chart bars. These are Standard Renko bars and Flexible Renko Bars. These types of chart bars only work with Intraday chart data.

In a standard price bar there are four values. The Open, High, Low, and Close/Last. The Open is the first price traded for a bar. The High is the highest price traded. The Low as the lowest price traded. The Close is the final price traded. If the bar is still forming the Closes the last price traded.

A Standard Renko chart is made up of bars, also known as bricks, which are always the same price range from the Open price to the Close price. The distance between the Open to the Close is specified in price ticks.

For example, if the Tick Size for the symbol of the chart is .25, and the Renko Bar/Brick Size is specified as 4, the Renko Bar will have a price range of 1.0 from its Open to Close prices. This is known as the Bar/Brick Size of the Renko Bar. It always is the Open to Close price range and does not include the High to Low price range.

The High and Low of a Renko bar can be optionally displayed based upon the Graph Draw Type setting. The High and Low represent the true high and low of the prices which make up the Renko bar.

The Renko Bar can be cut short if New Bar At Session Start is enabled in Chart >> Chart Settings. In which case you will see a Renko Bar less than the specified number of price ticks. This can also result in overlapping bars/bricks. For additional information, refer to Overlapping Bricks.

There are Up Renko bars and Down Renko bars, and each bar either continues or reverses the direction/trend of the previous bar. A bar continues the direction of the previous bar when the price movement of the symbol moves the Bar Size in the same direction from the previous bar closing price.

A bar reverses the direction of the previous bar when the price movement of the symbol moves twice the Bar Size, the close to the open range, in the opposite direction from the previous bar closing price. Until one of the bar closing conditions occurs, the bar continues to accumulate, and can transition between looking like an Up and Down bar until the bar actually closes. When one of the bar closing conditions occurs, the bar closes and a new bar is started with the next price tick.

When the direction/trend of the previous bar is continued with a new bar, the open of the new bar is equal to the close of the previous bar. When the direction/trend of the previous bar is reversed, the open of the new bar is equal to the open of the prior bar.

Sierra Chart Renko bars are Candlesticks which include tracking of the High and Low values that are outside of the classic brick. These are called wicks. To ensure that you see the wicks, set the Graph Draw Type in Chart >> Chart Settings to Renko Brick with Wicks. More details are in the Using Renko Bars section.

Sierra Chart Renko bars also update the last bar closing/last price as real-time data is received. The last bar in the chart could be either an Up or Down Renko Bar, and is not determined until the bar is complete. The final bar is never removed, but the Open value of the bar can change when the bar is closed. Refer to the image below.

Using Renko Bars

  1. Follow the instructions of the Tick by Tick Data Configuration page to make sure you have tick by tick data.
  2. To set the chart bars to Renko bars, select Chart >> Chart Settings on the menu.
  3. In the Intraday Bar Period >> Bar Period Type list, select Renko Bar (in ticks) or Unaligned Renko Bar (in ticks). For information about Unaligned Renko Bars, refer to Opening Price for First Renko Bar.
  4. Specify the number of ticks per Renko bar in the box below. This is also known as the Bar Size. Each 1 tick is equivalent to the Tick Size setting in Chart Settings. Therefore, if the Tick Size is .25 and you specify 4 ticks, then this is equivalent to 1.0 as an actual value. This will mean that each Renko bar body will have a length of 1.0. This Bar Size always applies to the body. Not from the High to the Low of the Renko bar.
  5. The Session Times >> New Bar At Session Start option applies when using Renko bars. We recommend keeping this option enabled, so that the Renko bars always start from a consistent point in time. However, keep in mind that this can also result in the Renko bricks overlapping. Refer to Overlapping Bricks.
  6. Verify the correct Tick Size is set for the symbol. If it is not correct, change it. This setting is also one the Chart Settings window.
  7. There are several choices for the Graph Type setting when using the Renko Bar (in ticks) Bar Period Type:
    • CandleStick: Uses the true Open and Close values to draw the bars. The High and Low are also displayed. The Candlestick bar color settings in Global Settings >> Graphics Settings apply when using this Graph Draw Type.
    • CandleStick Body Only: Uses the true Open and Close values to draw the bars. The High and Low are not displayed. The Candlestick bar color settings in Global Settings >> Graphics Settings apply when using this Graph Draw Type.
    • Renko Brick: The Renko Open and Renko Close values are used to draw the bars. The High and Low are not displayed. The Candlestick bar color settings in Global Settings >> Graphics Settings apply when using this Graph Draw Type.
    • Renko Brick With Wicks: The Renko Open and Renko Close values are used to draw the bars. The High and Low are also displayed. The Candlestick bar color settings in Global Settings >> Graphics Settings apply when using this Graph Draw Type.
  8. Enable or disable to Renko specific Fill Session Gap option as required. Description: This is only valid when you also have New Bar At Session Start enabled. Otherwise, it has no effect. When the opening price of the new session for the day is outside of the range of the previous Renko bar, the range from the close of the prior bar to the open of the new bar (the gap) is filled with empty Renko bars. The empty Renko bars will have the same Date-Time as the prior bar and no volume. The effect of this can easily be seen when looking at a chart with Day session only data and toggling this option on/off.
  9. Press OK to close the Chart Settings window.

Renko Open, High, Low, Close Values

Renko bars maintain the actual Open and Close values from the underlying price data for each Renko bar in addition to the Renko Open and Renko Close values. The Renko Open and Renko Close values are the values that are used to draw the Renko body. While the actual Open and Close values are based on the actual prices that were used to build the Renko bar.

All four values are displayed in the Window >> Chart Values Window and the Window >> Tool Values Window. Refer to the image below.

When using ACSIL, all of the Renko bar data is accessed with the standard SC_OPEN, SC_HIGH, SC_LOW, SC_LAST sc.BaseData[] arrays. These arrays hold the actual underlying bar values. In addition, there are SC_RENKO_OPEN and SC_RENKO_CLOSE arrays. These arrays hold Open and Close values of the displayed Renko bar (candlestick body).

The candlestick wicks, if visible on a Renko bar, are based upon the true High and Low values of the Renko bar, which are based upon the actual underlying price data. In ACSIL these are accessed with the SC_HIGH and SC_LOW sc.BaseData[] arrays. With Simple Alert Formulas, these are accessed with H or ID0.SG2 (High) and L or ID0.SG3 (Low).

The last Renko bar in the chart, is a standard candlestick bar which represents the true open, high, low, last of all of the trades which make up that bar. It is not possible to know the values of the Renko Open and Renko Close (ACSIL SC_RENKO_OPEN and SC_RENKO_CLOSE arrays) until the bar closes. Therefore, ACSIL SC_RENKO_OPEN and SC_RENKO_CLOSE values for the last bar are only updated when the Renko bar closes and will be 0 until then.

The actual Close price ( ACSIL SC_CLOSE array ) of a Renko bar will not necessarily equal the visual Renko Close price ( ACSIL RENKO_CLOSE array ), when a Renko bar is completed.

To output the Renko bar Open and Close values as you visually see on the chart to a Spreadsheet when using one of the Spreadsheet studies, add the Renko Visual Open/Close Values study to the chart.

Opening Price for First Renko Bar

The first bar in a Renko chart or the first bar of the new session for the day when Chart >> Chart Settings >> New Bar at Session Start is enabled, is aligned based on the Bar Size setting.

This is done by taking the original opening price and subtracting the remainder when divided by the Bar Size. For example, if the Tick Size is .25 and the Bar Size is 4 ticks, giving an actual Bar Size of 1.00, with a price of 1950.25 the remainder will be .25 giving a Renko open of 1950.00.

So in this example all bars are aligned to 1.0 boundaries.

In other words, the opening price of a Renko bar will always be an exact multiple of the Bar Size.

This is done, so bars across sessions always have aligned tops/bottoms.

To prevent the alignment of the first bar in a Renko bar chart or the first bar of the new session for the day, use the Chart >> Chart Settings >> Intraday Bar Period >> Bar Period Type >> Universal Renko Bars (in ticks) setting.

Flex Renko

In Chart >> Chart Settings there is a Bar Period Type named Flex Renko. This is short for Flexible Renko. The edit box below this setting requires 3 separate parameters separated by a - character.

Format: BarSize-TrendOffset-ReversalOffset. All 3 of these parameters must be specified in Ticks. If the Tick Size for the symbol is .25, then a setting of 10 ticks will equal 2.5.

Refer to the Renko Open, High, Low, Close Values section for details about Flex Renko Open, High, Low and Close values.

Bar Size

The Bar Size specifies the Renko Bar size as a number of ticks. A tick is equivalent to the Tick Size setting for the chart.

A standard Renko chart requires that price moves the Bar Size in the current trend direction in order to form a new bar in the direction of the trend. To form a reversal bar, price has to move two times the Bar Size.

The Flex Renko allows the user to adjust the algorithm used to build a Renko Bar, therefore allowing different types of charts that capture different types of price action. The additional settings are the Trend Offset and Reversal Offset.

Trend Offset

Trend Offset : A standard Renko has a Trend Offset of zero, which means that when a new bar is formed in the current trend direction, the Renko Open value of the new bar is equal to the Renko Close value of the prior bar. When you specify a non-zero value for the Trend Offset , the Renko Open value is offset inside the prior bar by the specified number of ticks. This means that price no longer has to travel as far to form a new bar in the trend direction. Note: Trend Offset must be greater than or equal to zero and less than the Bar Size.

Reversal Offset

Reversal Offset : A standard Renko has a Reversal Offset of zero, which means that when a new bar is formed that reverses the current trend direction, the Renko Open value of the new bar is equal to the Renko Open value of the prior bar. When you specify a non-zero value for the Reversal Offset, the Renko Open value is offset from the prior bar open by the specified number of ticks. This means that price no longer has to travel as far to form a new bar to reverse the trend direction. Note: Reversal Offset must be greater than or equal to zero and less than the Bar Size.

Examples

A standard N-tick Renko Bar would be specified with N-0-0, which specifies that the trend and reversal bars are in the standard locations. A standard trending Renko Bar would have an Open equal to the prior Close, and a standard reversal Renko Bar would have an Open equal to the prior Open

A "Hybrid Renko" can be formed by using settings for BarSize-TrendOffset-ReversalOffset like N-N/2-N/2 (Example: 4-2-2). With these settings you will see the trend/reversal bar Open values are offset into the standard Renko bar by 50%. Refer to image below.

Another interesting combination for BarSize-TrendOffset-ReversalOffset is N-(N-1)-1 (Example: 10-9-1), which forms a "Trend Channel". Refer to image below.

New Bar When Exceeded

This option is only valid when using the Flex Renko Bar Period Type, otherwise it is disabled. When this option is enabled, a new Renko Bar is not formed unless the BarSize-TrendOffset-ReversalOffset thresholds are exceeded. When the option is disabled, there will be a new bar when the BarSize-TrendOffset-ReversalOffset thresholds are met. In this last case, this will be just like a standard Renko Bar.

Filling of Price Gaps with Renko Bars

This section explains how to fill or not to fill price gaps in trading when using Renko bars. By default price gaps in trading are not filled when using Renko bars.

To fill price gaps in trading when using Renko bars, select Chart >> Chart Settings. Enable the Intraday Chart Bar Period >> Fill Session Gap option. Press OK. Refer to the image below for the result.

To not fill price gaps in trading when using Renko bars, select Chart >> Chart Settings. Disable the Intraday Chart Bar Period >> Fill Session Gap option. Enable the Session Times >> New Bar at Session Start option. Press OK. Refer to the image below for the result.

Overlapping Bricks

When New Bar At Session Start is enabled in Chart >> Chart Settings, and a new trading day session is encountered in the chart, then this can result in the Renko open to close range (brick) of the new bar at the start of the new trading session intersecting the previous bar brick. Refer to the image below for an example of this.

The last Renko bar brick of the prior session can also intersect the prior Renko bar brick. This is because the final bar of the previous trading session is not complete, because a new bar was forced at the start of the new trading session. So you are effectively seeing where the true closing price was when it completed due to end of the trading session versus a bar that completes normally according to the standard Renko bar rules. When there is a new trading session there is no way to really complete the last bar without fabricating prices so it is left as is.


*Last modified Thursday, 27th October, 2016.