Estimating Renko Brick Volume from Candle Data

Summary

The document raises a practical data-construction question: how to assign volume to Renko bricks generated from OHLCV candles. The author reports generating bricks with a software module and trying to sum the volumes of candles associated with each brick. That procedure matched a chart's displayed volume in most cases, but left some bricks with discrepancies. The post asks whether a particular calculation explains the chart values.

No definitive method or answer is included, so the document does not establish how a trading platform attributes volume when a brick forms. The central caveat is that candle aggregates may not contain enough price-and-volume sequencing information to reproduce a platform's brick-level assignment exactly, especially when a candle spans multiple brick thresholds. The post also mentions uncertainty about the usefulness of volume on Renko charts, but provides no analysis of that question. It is best read as a question about data granularity and charting conventions rather than a tested trading signal.

Key ideas

• Renko bricks can be constructed from OHLCV candle data, but assigning volume to each brick is a separate problem.
• Summing the volumes of candles associated with a brick may not reproduce a chart's displayed values.
• Candles that span multiple brick thresholds can make precise volume attribution ambiguous.
• The document gives no confirmed calculation or evidence about the usefulness of Renko volume.

Tags

# How to derive renko volume from candle OHLCV data


# How to derive renko volume from candle OHLCV data












i have been recently trying to generate Renko bricks from my OHLCV data, I'm currently using stocktrends module and have successfully generated the bricks, but I'm having trouble with generating the volume data as shown in the trading graph. By far i have tried "summing all the total volume of candles corresponding to the formation of that brick", this works at a 60-70% correctness but the remaining volume fails to match with the trading chart, is there any method behind calculation of this volume, I've been trying to understand this by googling but haven't got any luck about "renko volume". although I've heard that volume is useless with renko bricks. This task is more off for a friend and i don't have a say in it, i just provided the tech support. It would be really helpful if anyone could help me with this, Thanks in advance.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.