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Renko Behaviour? Lagging?

Hi there,

I would like to use a Renko consolidator as my strategy benefits from making orders at specific price points. Rather than waiting an arbitrary amount of time, the Renko would be perfect as it moves on price, regardless of time. Using it however, I notice some lag? 

For example, with EURUSD subscribed to minute resolution (not sure if that applies to Renko), and a Renko size of 0.0001 I'm looking at:

Mid Price:      1.1763.4

Renko Price:  1.1761

Shouldn't the Renko be at 1.1763? This will have me creating orders at the wrong time. I need the price when it's available. I thought Renko would be ahead of my arbitrary time-based midprice. Am I doing something wrong?

Charted image where you can see more of the lag:

https://i.imgur.com/I68ihwg.png

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Possibly solved: 

I got it to work as intended by setting my Forex data resolution to seconds, and consolidating my other price data to one minute. 

Now on my charts the Renko price is precise to the second, keeping it ahead of the arbitrarily 1 minute midprice.

I'm not sure if this was only an issue for charting (only charting every minute) or that the Minute resolution limits the reporting/event frequency for Renko. 

 

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Hi LE,

On a minute resolution, the Renko is consolidated used minute data. Furthermore, since only one renko bar can be added every minute, sometimes not enough bars can be added during larger price moves between two minutes. However, with lower resolution data, such as seconds, there are more timesteps (60 times per minute versus 1 time per minute) to add bars for the price movement, hence why lower resolution data has more accurate prices for renko.

Best Regards,
Shile Wen

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


That makes sense, thank you. It works perfectly with the second resolution.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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