Support Board
Date/Time: Sat, 27 Dec 2025 23:46:23 +0000
Flex Renko Bar Replication - Cannot Match True High/Low Values
View Count: 16
| [2025-12-27 14:49:04] |
| TapeReader - Posts: 100 |
|
I'm attempting to replicate Sierra Chart's Flex Renko 5-2-1 bars in Python for offline analysis. After extensive testing, I can match 96.8% of Renko Open/Close values, but I cannot consistently match the True High/Low values. I've read the documentation thoroughly and need help understanding what I'm missing. SETUP: ES futures, tick size 0.25 Flex Renko 5-2-1 (BarSize=5, TrendOffset=2, ReversalOffset=1) 7,731 bars exported via Spreadsheet Study (includes Renko Visual Open/Close Values study) Processing tick-by-tick data from SCID file WHAT WORKS: Renko Open/Close values: 96.8% exact match Bar count: within 1.3% (7,630 vs 7,731) Trend/reversal triggers: verified correct WHAT DOESN'T WORK: True High/Low: only 13.9% exact match, 39.8% within 1 tick "Closes at extreme" detection differs significantly EXAMPLE: Sierra export shows: High=6827.50, Low=6827.00, Renko Open=6826.25, Renko Close=6827.50 My calculation shows: High=6827.50, Low=6826.50, Renko Open=6826.25, Renko Close=6827.50 The Renko values match exactly, but my Low is 0.50 pts (2 ticks) lower than Sierra's. WHAT I'VE TRIED: - Clamping High (for UP bars) and Low (for DOWN bars) to Renko Close per docs: "any trading above that brick immediately starts a new bar" - Various tick attribution strategies at bar boundaries - Seeding builder state from known completed bar MY QUESTIONS: When a tick completes a bar, are that tick's High/Low attributed to the completing bar or the new bar? The Sierra export shows Last price differs from Renko Close in about 33% of bars. What determines the Last value for a completed bar? Is there additional logic for True OHLC aggregation beyond what's in the Renko documentation? Thanks! |
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