renko-rs 0.2.2

High-performance Renko chart generator written in Rust

renko_rs

High-Performance Rust Implementation of Renko Charts

Transform tick data into OHLCV Renko DataFrames at native speed!

This is a Rust implementation of the renkodf library, providing identical Renko chart calculations with 10-100x performance improvement through native code execution.

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Installation

pip install renko_rs

Pre-built wheels are available for:

• Linux: x86_64, ARM64
• Windows: x86_64
• macOS: Intel (x86_64), Apple Silicon (ARM64)

Supports Python 3.10, 3.11, 3.12, 3.13, and 3.14.

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Contents

• Why Rust?
• Quick Start
• Usage
• Renko Modes
• API Reference
• Performance
• Building from Source
• Testing
• Publishing to PyPI
• Algorithm Details
• Credits

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Why Rust?

The original renkodf is an excellent Python implementation using NumPy for performance. However, when processing millions of ticks (common in high-frequency trading or large historical datasets), even optimized Python code has limitations.

renko_rs rewrites the core algorithm in Rust while maintaining the same Python API:

Aspect	renkodf (Python)	renko_rs (Rust)
Language	Python + NumPy	Rust + Polars
Speed	Baseline	10-100x faster
Memory	Higher (Python overhead)	Lower (zero-copy where possible)
API	Python	Python (via PyO3)
Output	pandas DataFrame	Polars DataFrame

The algorithm is identical - same calculations, same edge cases, same output. Only the execution engine changes.

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Quick Start

from renko_rs import Renko
import polars as pl

# Load your tick data (must have 'close' and 'datetime' columns)
df = pl.read_parquet("ticks.parquet")

# Create Renko instance
r = Renko(df, brick_size=0.0003)

# Generate Renko chart with desired mode
renko_df = r.renko_df("wicks")

print(renko_df)

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Usage

Basic Example

from renko_rs import Renko
import polars as pl

# Load tick data
df_ticks = pl.read_parquet("EURGBP_ticks.parquet")

# Create Renko chart
r = Renko(df_ticks, brick_size=0.0003)

# Get Renko OHLCV data (default mode is 'wicks')
df = r.renko_df("wicks", utils_columns=True)

print(df.head())

Output:

shape: (5, 9)
┌─────────────────────┬─────────┬─────────┬─────────┬─────────┬────────┬───────────┬─────────────┬──────────────────┐
│ datetime            ┆ open    ┆ high    ┆ low     ┆ close   ┆ volume ┆ direction ┆ is_reversal ┆ tick_index_close │
│ ---                 ┆ ---     ┆ ---     ┆ ---     ┆ ---     ┆ ---    ┆ ---       ┆ ---         ┆ ---              │
│ datetime[ns]        ┆ f64     ┆ f64     ┆ f64     ┆ f64     ┆ i64    ┆ i32       ┆ bool        ┆ i64              │
╞═════════════════════╪═════════╪═════════╪═════════╪═════════╪════════╪═══════════╪═════════════╪══════════════════╡
│ 2023-06-23 01:21:58 ┆ 0.8595  ┆ 0.8598  ┆ 0.8595  ┆ 0.8598  ┆ 3458   ┆ 1         ┆ false       ┆ 3458             │
│ 2023-06-23 01:33:24 ┆ 0.8598  ┆ 0.8601  ┆ 0.8598  ┆ 0.8601  ┆ 571    ┆ 1         ┆ false       ┆ 4029             │
│ 2023-06-23 03:18:30 ┆ 0.8601  ┆ 0.8604  ┆ 0.8601  ┆ 0.8604  ┆ 4993   ┆ 1         ┆ false       ┆ 9022             │
│ 2023-06-23 04:40:26 ┆ 0.8604  ┆ 0.8607  ┆ 0.8604  ┆ 0.8607  ┆ 3358   ┆ 1         ┆ false       ┆ 12380            │
│ 2023-06-23 05:15:54 ┆ 0.8604  ┆ 0.8604  ┆ 0.8601  ┆ 0.8601  ┆ 1669   ┆ -1        ┆ true        ┆ 14049            │
└─────────────────────┴─────────┴─────────┴─────────┴─────────┴────────┴───────────┴─────────────┴──────────────────┘

Input Data Requirements

Your DataFrame must contain:

• close (required): Price values (float)
• datetime (required): Timestamps (datetime)

The DataFrame can be either Polars or pandas format. If pandas, it will be automatically converted.

# Polars DataFrame (recommended)
df = pl.DataFrame({
    "datetime": [...],
    "close": [...]
})

# pandas DataFrame (also supported)
import pandas as pd
df = pd.DataFrame({
    "datetime": [...],
    "close": [...]
})

Multiple Modes from Same Instance

You can generate different Renko representations from the same calculation:

r = Renko(df_ticks, brick_size=0.0003)

# Standard Renko with wicks
df_wicks = r.renko_df("wicks")

# Renko without gaps
df_nongap = r.renko_df("nongap")

# Standard Renko (no wicks)
df_normal = r.renko_df("normal")

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Renko Modes

Seven modes are available, each providing a different OHLC representation:

Mode	Description	Use Case
normal	Standard Renko (no wicks)	Clean brick visualization
wicks	Standard Renko with wicks (default)	Shows price extremes within brick period
nongap	Wicks mode but open = wick value	Continuous price representation
reverse-wicks	Wicks only on reversals	Emphasizes trend changes
reverse-nongap	Nongap only on reversals	Smooth reversals
fake-r-wicks	Fake reverse wicks (open = prev close)	Backtesting compatibility
fake-r-nongap	Fake reverse nongap (open = prev close)	Backtesting compatibility

Mode Comparison

import matplotlib.pyplot as plt

modes = ["normal", "wicks", "nongap", "reverse-wicks"]
fig, axes = plt.subplots(2, 2, figsize=(15, 10))

for ax, mode in zip(axes.flat, modes):
    df = r.renko_df(mode, utils_columns=False)
    # Plot using your preferred charting library
    ax.set_title(f"Mode: {mode}")
    
plt.tight_layout()
plt.show()

Utility Columns

When utils_columns=True (default), additional columns are included:

• direction: 1 for up brick, -1 for down brick
• is_reversal: True if this brick reverses the previous trend
• tick_index_open: Index of first tick in this brick
• tick_index_close: Index of last tick in this brick

# With utility columns (default)
df = r.renko_df("wicks", utils_columns=True)
# Columns: datetime, open, high, low, close, volume, direction, is_reversal, tick_index_open, tick_index_close

# Without utility columns
df = r.renko_df("wicks", utils_columns=False)
# Columns: datetime, open, high, low, close, volume

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API Reference

Renko(df, brick_size)

Create a Renko chart from tick data.

Parameters:

• df (Polars or pandas DataFrame): Tick data with close and datetime columns
• brick_size (float): Size of each Renko brick (must be > 0)

Returns: Renko instance

Example:

r = Renko(df_ticks, brick_size=0.0003)

renko_df(mode="wicks", utils_columns=True)

Generate Renko OHLCV DataFrame.

Parameters:

• mode (str): One of ["normal", "wicks", "nongap", "reverse-wicks", "reverse-nongap", "fake-r-wicks", "fake-r-nongap"]
• utils_columns (bool): Include direction, is_reversal, tick indices

Returns: Polars DataFrame with Renko OHLCV data

Example:

df = r.renko_df("wicks", utils_columns=True)

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Performance

Benchmark results comparing renkodf (Python/NumPy) vs renko_rs (Rust):

Dataset Size	renkodf	renko_rs	Speedup
100K ticks	0.122s	0.007s	18x
1M ticks	1.085s	0.023s	46x
10M ticks	~11s	~0.23s	~48x

Benchmark Script

import time
import polars as pl
from renkodf import Renko as PyRenko
from renko_rs import Renko as RsRenko

# Generate test data
df = pl.DataFrame({
    "datetime": pl.date_range(start=datetime(2020, 1, 1), end=datetime(2020, 12, 31), interval="1m"),
    "close": np.random.randn(525600).cumsum() + 100
})

# Benchmark Python version
start = time.time()
r_py = PyRenko(df.to_pandas(), brick_size=2.0)
df_py = r_py.renko_df("wicks")
py_time = time.time() - start

# Benchmark Rust version
start = time.time()
r_rs = RsRenko(df, brick_size=2.0)
df_rs = r_rs.renko_df("wicks")
rs_time = time.time() - start

print(f"Python: {py_time:.3f}s")
print(f"Rust:   {rs_time:.3f}s")
print(f"Speedup: {py_time/rs_time:.1f}x")

Why is it faster?

1. Native compilation: Rust compiles to machine code, eliminating Python interpreter overhead
2. Zero-copy operations: Polars DataFrames share memory with Arrow buffers
3. Optimized inner loop: The core algorithm runs in a tight Rust loop without Python function calls
4. Batch brick generation: When multiple bricks form in the same direction, they're generated in bulk
5. SIMD-friendly: Rust's memory layout enables auto-vectorization by the compiler

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Building from Source

Prerequisites

• Rust 1.70+ (install)
• Python 3.10+
• maturin (pip install maturin)

Development Build

# Clone the repository
git clone https://github.com/baruns/renko_rs.git
cd renko_rs

# Create virtual environment
python -m venv .venv
source .venv/bin/activate  # On Windows: .venv\Scripts\activate

# Install dependencies
pip install maturin polars numpy pandas

# Build and install in development mode
maturin develop --release

Production Build

# Build wheel
maturin build --release

# Install wheel
pip install target/wheels/renko_rs-*.whl

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Testing

Run the test suite to verify correctness:

# Run all tests
python tests/test_renko.py

# Run with pytest (if installed)
pytest tests/

The test suite compares the Rust implementation against the original Python version to ensure identical output.

Test Coverage

• All 7 Renko modes
• Edge cases (small datasets, large brick sizes, tiny brick sizes)
• Polars and pandas input compatibility
• Numerical precision (tolerance: 1e-9)

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Publishing to PyPI

Wheels are automatically built and published via GitHub Actions when a new tag is pushed.

Trigger a Release

# Update version in Cargo.toml and pyproject.toml
git tag v0.1.0
git push origin v0.1.0

Build Matrix

The CI/CD pipeline builds wheels for:

Platform	Architecture	Python Versions
Linux	x86_64	3.10, 3.11, 3.12, 3.13, 3.14
Linux	ARM64	3.10, 3.11, 3.12, 3.13, 3.14
Windows	x86_64	3.10, 3.11, 3.12, 3.13, 3.14
Windows	ARM64	3.10, 3.11, 3.12, 3.13, 3.14
macOS	Intel (x86_64)	3.10, 3.11, 3.12, 3.13, 3.14
macOS	Apple Silicon (ARM64)	3.10, 3.11, 3.12, 3.13, 3.14

Total: 30 wheels per release (6 platforms × 5 Python versions)

Manual Publishing

# Build all wheels locally
maturin build --release --out dist

# Upload to PyPI
pip install twine
twine upload dist/*

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Algorithm Details

Complexity

• Time: O(N) where N = number of ticks
• Space: O(B) where B = number of bricks (typically B << N)

How Renko Works

1. Initialize: Set initial price to first tick's close price
2. Iterate: For each tick, calculate price movement from last brick
3. Brick Formation:
   • If price moves ≥ brick_size in same direction → add brick(s)
   • If price moves ≥ 2× brick_size in opposite direction → reversal brick + continuation bricks
4. OHLC Calculation: Depends on the selected mode (wicks, nongap, etc.)

Optimizations in Rust Implementation

1. Pre-allocated vectors: Avoids repeated memory allocations
2. Contiguous memory access: Operates on slices (&[f64]) for cache efficiency
3. Batch generation: When N bricks form in same direction, generates all at once
4. Minimal branching: Optimized conditional logic for CPU pipeline efficiency
5. Zero-copy DataFrame construction: Builds Polars DataFrame directly from vectors

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Differences from renkodf

Feature	renkodf	renko_rs
Language	Python	Rust
Input	pandas DataFrame	Polars or pandas DataFrame
Output	pandas DataFrame	Polars DataFrame
Plotting	Built-in (mplfinance)	None (use your preferred library)
Real-time	RenkoWS class	Not implemented (yet)
Performance	Good (NumPy)	Excellent (native code)

Migration Guide

If you're currently using renkodf, switching to renko_rs is straightforward:

# Before (renkodf)
from renkodf import Renko
r = Renko(df_pandas, brick_size=0.0003)
df = r.renko_df("wicks")  # Returns pandas DataFrame

# After (renko_rs)
from renko_rs import Renko
r = Renko(df_pandas, brick_size=0.0003)  # Same API
df = r.renko_df("wicks")  # Returns Polars DataFrame

# Convert to pandas if needed
df_pandas = df.to_pandas()

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Credits

This project is a Rust reimplementation of renkodf by srlcarlg.

The original renkodf library pioneered the Python-based Renko chart calculation with NumPy optimization. This Rust version preserves the exact algorithm while leveraging:

• Polars: Lightning-fast DataFrame library
• PyO3: Rust ↔ Python bindings
• maturin: Build system for Rust Python extensions

References

• Original algorithm inspired by Sergey Malchevskiy's pyrenko
• Renko chart methodology based on traditional Japanese charting techniques

Disclaimer

This project is not affiliated with, endorsed by, or connected to the original renkodf project or its maintainers. All trademarks are the property of their respective owners.

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License

MIT License - see LICENSE file for details.

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Contributing

Contributions are welcome! Please feel free to submit a Pull Request.

Development Setup

git clone https://github.com/baruns/renko_rs.git
cd renko_rs
pip install maturin polars numpy pandas
maturin develop

Running Tests

python tests/test_renko.py

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Support

• Issues: GitHub Issues
• Discussions: GitHub Discussions

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Roadmap

• Implement RenkoWS for real-time WebSocket streaming
• Add plotting utilities (matplotlib, plotly)
• Support for additional Renko variations (ATR-based, percentage-based)
• GPU acceleration via CUDA/OpenCL (experimental)

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Made with Rust for high-performance trading systems