renkodf 2.0

Transform Tick Data into OHLCV Renko Dataframe!

renkodf

Transform Tick Data into OHLCV Renko Dataframe!

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Installation

   pip install renkodf

or just copy renkodf.py file to your project!

• renkodf requires pandas, numpy and mplfinance

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Content

• Usage
• Animation/Realtime Renko Chart
• Performance
• Is the Renko chart calculated correctly?
• References

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Usage

There are two classes available:

• Renko(df, brick_size)
  To create Renko OHLCV dataframe with existing Ticks data.
• RenkoWS(timestamp, price, brick_size, external_df, ts_unit)
  To create real-time Renko charts, usually over a WebSocket connection.

Let's start with the first class, load a Pandas DataFrame containing Ticks Data, for example:

import pandas as pd
df_ticks = pd.read_parquet('examples/data/EURGBP_T1_cT.parquet')
df_ticks.rename(columns={'bid': 'close'}, inplace=True)
df_ticks.head(5)

	ask	close	spread
datetime
2023-06-23 00:00:00.335	0.85950	0.85945	0.00005
2023-06-23 00:00:00.541	0.85951	0.85944	0.00007
2023-06-23 00:00:02.106	0.85950	0.85944	0.00006
2023-06-23 00:00:02.487	0.85950	0.85945	0.00005
2023-06-23 00:00:04.359	0.85951	0.85945	0.00006

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Only two columns are required:

• close: Mandatory.
• datetime: If is not present, the index will be used.

After importing renkodf and setting brick_size, just call renko_df() with the chosen mode name.
See all available modes in renkodf_modes.ipynb

from src.renkodf.renkodf import Renko
r = Renko(df_ticks, brick_size=0.0003)
df = r.renko_df('normal', utils_columns=False) # 'wicks' = default
# utils-columns => [direction, is_reversal, tick_index_open, tick_index_close]
df.head(5)

	open	high	low	close	volume
datetime
2023-06-23 01:21:58.333	0.8595	0.8598	0.8595	0.8598	3458
2023-06-23 01:33:24.996	0.8598	0.8601	0.8598	0.8601	571
2023-06-23 03:18:30.345	0.8601	0.8604	0.8601	0.8604	4993
2023-06-23 04:40:26.851	0.8604	0.8607	0.8604	0.8607	3358
2023-06-23 05:15:54.438	0.8604	0.8604	0.8601	0.8601	1669

You can use mpf.plot() or r.plot(), as in the example below.

import mplfinance as mpf
mpf.plot(df, type='candle', volume=True, style="charles",
         title=f"renko: normal\nbrick size: 0.0003")
mpf.show()
# same as:
# r.plot('normal')

As described in renkodf_modes.ipynb, we can have multiple dataframes of different modes from the same instance.

df_wicks = r.renko_df('wicks')
df_nongap = r.renko_df('nongap')

fig = mpf.figure(style='charles', figsize=(12.5,9))
fig.subplots_adjust(hspace=0.1, wspace=0.01)
ax1 = fig.add_subplot(2,2,1)
ax2 = fig.add_subplot(2,2,2)

mpf.plot(df_wicks,type='candle',ax=ax1,axtitle='wicks', )
mpf.plot(df_nongap,type='candle',ax=ax2,axtitle='nongap')
mpf.show()

Animation/Real-time Renko Chart

To run the animation examples, clone this repository, then into the renkodf/examples folder, run:

• python ws_animchart_demo.py
• python ws_multichart_demo.py
• python ws_externaldf_demo.py

NOTE: There are comments, in each of above example files, talking about situations or recommendations to be applied in real cases.

Performance-wise

From v2.0, the Renko calculation is powered by numpy arrays instead of python dicts/list as before, the OHLC variations (modes) are also calculated all at once, leading to a massive speed-up in Renko Charts creation.

Regarding "backtest vs real-time" charts, there are 2 tests about the OHLCV reliability between them.
The tests includes creating charts from scratch or using external data (Renko.to_rws())

Is the Renko chart calculated correctly?

I asked myself the same question, how about we see for ourselves?
We are going to do this based on Spotware's FX/CFD Trading Platform called cTrader,
using IC Markets/Trading as Price Provider.

Let's go!

RESUME: Despite the possible occurrence of more/less bricks, the renko calculation used is practically the same, or very approximate.

References:

The main logical structure seen in 'Renko._add_prices()' method (versions 1.0/1.1) is a REFORMULATION of the code concepts seen in Sergey Malchevskiy's pyrenko, which in fact, was the first more functional Renko calculation available in python.

Non-Affiliation Disclaimer

I'm not endorsed by, directly affiliated with, maintained, authorized, or sponsored by any company previously mentioned. All product and company names are the registered trademarks of their original owners. The use of any trade name or trademark is for identification and reference purposes only and does not imply any association with the trademark holder of their product brand.