gnuplot

Plotting financial data Renko-style in gnuplot

I've got OHLC data for the S&P 500 that I would like to plot as a so-called Renko plot ( https://en.wikipedia.org/wiki/Renko_chart ) in gnuplot. I have transformed the OHLC data to fixed-size bricks represented in data.dat as the upper and lower diagonal corners of rectangles. Here's a notional example:

# x1, y1, x2, y2
0 6 1 4
1 8 2 6
2 10 3 8
3 12 4 10
4 14 5 12
5 12 6 10

And then so far I can actually get them onto a plot using the following script:

set terminal pngcairo size 800,600
set output 'renko_chart.png'
set grid

set style fill solid
plot 'data.dat' using 1:2:1:3:2:4 with boxxy

Which produces the following:

Renko Chart in development

What I would like to do is colour "up bricks" green, and "down bricks" red. Furthermore, I would like to include a date along the X-axis, without affecting the horizontal scale of the bricks. To get a clearer idea of what I mean, here is an image from the wikipedia article:

Renko Chart, wikipedia

Note the date along the bottom, and how the axis scale varies across the width of the image. Towards the left, we see a period of about 6 days take the same amount of space on the chart as a period of just a few hours to the right. The idea is that the price action is decoupled from the time frame, and it is the axis that scales reactively to the data.

Is this possible in gnuplot?

Solution

  • Here is another suggestion. You are actually starting with some kind of OHLC data. Here, for illustration purpose, some random input data for testing is generated within the script (with just one y-value) and looks like the following:

    2024-05-23 19:17:19      93.1655
2024-05-23 20:17:19      94.1
2024-05-23 21:17:19      94.008
2024-05-23 22:17:19      94.5589
2024-05-23 23:17:19      94.1284
2024-05-24 00:17:19      93.9924
2024-05-24 01:17:19      93.8272
2024-05-24 02:17:19      94.3609

    The data in $Renko looks for example like this, where column 1 and 2 contain the date where the brick started, column 3 contains the y-value and column 4 contains -1 and +1 depending on whether data in this brick was decreasing or increasing, respectively.

    2024-05-18 12:17:19      96.9638        1
2024-05-20 00:17:19      99.4638        1
2024-05-20 07:17:19      96.9638       -1
2024-05-21 18:17:19      94.4638       -1
2024-05-22 11:17:19      91.9638       -1
2024-05-23 02:17:19      94.4638        1

    Some comments:

    Script:

    ### Renko style plot
reset session

myFmt = "%Y-%m-%d %H:%M:%S"

# create some random test data
set table $Data
    set samples 2000
    t0 = time(0)-1e7
    y0 = 100
    plot '+' u (strftime(myFmt,t0+$0*3600)):(y0=y0+rand(0)*2-1) w table
unset table

colX = 1
colY = 3
h    = 2.5   # Renko brick height

set table $Renko
    plot $Data u (strftime(myFmt,timecolumn(colX,myFmt))): \
         (y=column(colY), $0==0 ? (s0=s1=1, y0=y) : 0, dy=y-y0, y0): \
         ((newBrick=abs(dy)>h) ? (y0=y0+sgn(dy)*h, s0=s1, s1=sgn(dy)) : 0, s0) \
          with table if newBrick
unset table

N           = |$Renko|       # number of Renko bricks
Tx          = 7              # number of approx. xtics
M           = int(N/(Tx-1))  # show only every M-th xtic
myXtic(col) = strftime("%Y\n%m-%d",strptime(myFmt,strcol(col)))   # xtic format

set key noautotitle
set style fill solid 0.3
set xrange[:] noextend
set offsets graph 0.02, graph 0.02, 0, 0
set grid x,y

set multiplot layout 2,1

    set format x "%Y\n%m-%d" timedate
    plot $Data u (timecolumn(1,myFmt)):3 w l lc "blue"

    set format x "\n" numeric
    plot $Renko u 0:3:(0.5):(h/2.): \
         ($4>0 ? 0x00cc00 : 0xff0000) w boxxy lc rgb var, \
         '' every M u ($0*M):3:xtic(myXtic(1)) w p ps 0
unset multiplot
### end of script

    Result:

    Top graph: input data.
    Bottom graph: Renko bricks (note the irregular time scale on x-axis)

    enter image description here