Renko blocks seem to produce incorrect trade prices


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Hi all,

I've just written a simple indicator in ThinkScript and am executing it on a Renko chart. I think that in some cases, the ToS Strategy Report uses the wrong execution price. Either that or there's something I don't understand :)

Here's an example:

This is a Renko chart of /MES on 2021-02-02 with a price range of 25 ticks. We are looking at the Close of this trade (labelled #2). Both the chart and the strategy report show the trade price was $3825 with an execution time of 3:59PM.



However, this is not the correct price at that time! Here is a 1m chart of /MES on the same date and time:


The price at that time was 3820. At no point did it hit 3825.

It makes sense that the previous Renko block (labelled #1) would close at 3820, since it's one range interval away from its opening price. However, this should make the price of the "Close" trade 3820, not 3825.

It seems that what ToS is doing is (correctly) drawing the #2 block starting at 3825, but in doing so it incorrectly overwrites the "open" value for that block. Then the Strategy Report comes along and uses the open price for that block, which is now wrong. It should instead be using the close price of the previous block.

So: does this make sense? Have I found a ToS bug, or am I doing something wrong? Is there a workaround for this? Thanks!
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