Some time ago I conducted a research on building renko charts based on MetaTrader's custom symbols feature. One of the options is to build the renko from real ticks history, which is normally provided by many of MT5 brokers. I published my findings in the blog - Trading on renko charts built from real ticks, but it was an experimental stuff at that moment. This is why I did not share the expert adviser used to generate the renko from real ticks.
Now, finally, this tool is available for everyone in the market as RenkoFromRealTicks. I decided to publish it, because the tickwise approach of custom symbol generation allows for other popular technical analysis methods to be involved. Specifically, based on ticks data, it's possible to calculate volume delta per renko box. Then we can save the delta in the quotes of the newly created custom symbol.
According to many experienced traders, the mixture of the renko technique and volume delta leverages additional analytical power.
The product supports several algoritms of volume delta calculations.
For Forex symbols it's recommended to use Ask Plus Bid mode: when the average price (Ask+Bid) moves up, the tick is considered for buy (+1 for the delta), and when the price moves down, the tick is considered for sell (-1 for the delta).
For exchange symbols it's recommended to use Tick Flags mode, which is based on explicit trade direction specified in its flags.
One of the problems which we're facing while embedding volume delta into the charts comes from the fact that MetaTrader does not allow negative values in the standard field used to store volumes in quotes. This leads to the necessity to encode volume delta somehow into always positive "netto" volume.
RenkoFromRealTicks provides such a mechanism behind the scene, but to view such deltas on the chart we need an indicator which knows how to decode the volume delta data. This indicator is also published in the market - CustomVolumeDelta, and it's free. Here is how the renko chart with volume delta looks like:
For forex symbols volume delta is encoded into the real volume field which is always vacant, and the delta is based on tick volumes.
For exchange symbols volume delta is calculated from real volumes (which are normally provided by exchanges) and encoded into the tick volume field, which is considered unimportant since the real volumes exist.
Apart from volume delta, RenkoFromRealTicks provides many other extended features, such as gapless renko (also known as non-gap or rail-to-rail, shown on the screenshot above), and close time markup of the boxes, as opposed to conventional open time markup.
