Merge pull request #76 from coffincw/renko-fix

Fix number of Renko bricks being drawn when trend switches directions

Author: DanielGoldfarb

examples/renko_charts.ipynb

@@ -391,9 +391,13 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
 
     volume_cache = 0 # holds the volumes for the dates that were skipped
 
-
+    last_diff_sign = 0 # direction the bricks were last going in -1 -> down, 1 -> up
     for i in range(len(cdiff)):
-        num_bricks = abs(int(round(cdiff[i], 0)))
+        num_bricks = abs(int(cdiff[i]))
+        curr_diff_sign = cdiff[i]/abs(cdiff[i])
+        if last_diff_sign != 0 and num_bricks > 0 and curr_diff_sign != last_diff_sign:
+            num_bricks -= 1
+        last_diff_sign = curr_diff_sign
 
         if num_bricks != 0:
             new_dates.extend([dates[i]]*num_bricks)
@@ -442,7 +446,7 @@ def _construct_renko_collections(dates, highs, lows, volumes, config_renko_param
                                    linewidths=lw
                                    )
 
-    return (rectCollection, ), new_dates, new_volumes, brick_values
+    return (rectCollection, ), new_dates, new_volumes, brick_values, brick_size
 
 from matplotlib.ticker import Formatter
 class IntegerIndexDateTimeFormatter(Formatter):

src/mplfinance/_utils.py

@@ -264,7 +264,7 @@ def plot( data, **kwargs ):
         collections = _construct_ohlc_collections(xdates, opens, highs, lows, closes,
                                                          marketcolors=style['marketcolors'] )
     elif ptype == 'renko':
-        collections, new_dates, volumes, brick_values = _construct_renko_collections(dates, highs, lows, volumes, config['renko_params'], closes,
+        collections, new_dates, volumes, brick_values, brick_size = _construct_renko_collections(dates, highs, lows, volumes, config['renko_params'], closes,
                                                          marketcolors=style['marketcolors'] )
 
         formatter = IntegerIndexDateTimeFormatter(new_dates, fmtstring)
@@ -316,8 +316,12 @@ def plot( data, **kwargs ):
     avg_dist_between_points = (xdates[-1] - xdates[0]) / float(len(xdates))
     minx = xdates[0]  - avg_dist_between_points
     maxx = xdates[-1] + avg_dist_between_points
-    miny = min([low for low in lows if low != -1])
-    maxy = max([high for high in highs if high != -1])
+    if ptype is not 'renko':
+        miny = min([low for low in lows if low != -1])
+        maxy = max([high for high in highs if high != -1])
+    else:
+        miny = min([brick for brick in brick_values])
+        maxy = max([brick+brick_size for brick in brick_values])
     corners = (minx, miny), (maxx, maxy)
     ax1.update_datalim(corners)