I'm trying to configure a 3-Day Pivot on my charts (futures) using the RollingPivotsV34 indicator from Fat Tails but as I'm new to NT I'm having a little trouble working it out so help would be appreciated:
Objective: To display the 3-Day Pivot Mid-point, the Pivot High and Pivot Low on my charts.
- As I understand it I need to use the RTH as the Session value and the Second session for Session #. Should Settlement/Close be set to Daily or Intraday bars?
- Also, using either of the Settlement/Close values seems to give wildly varying figure for the PP, PH, PL - e.g. on the YM 09-11 for today I get a PP of 8387.
Clearly this is all user error so any help much appreciated!
Let us go through this exercise for the three day rolling pivot PP. First of all the pivot PP is calculated from the high of the 3 last days, the low of the 3 last days and yesterday's close. So when using the indicator, the only thing to do is to check, whether those values are correct.
For the high and the low, you first need to define a session template, specifying when your RTH session starts and end. You can search for the thread in which I have explained, how to set up these sessions. For YM your sessions would be Sunday 5:00 PM CT to Monday 8:30 AM CT, then Monday 8:30 AM CT to Monday 3:15 PM CT, then Monday 3:30 PM CT to Tuesday 8:30 AM CT, etc. CT is used for Chicago, where the exchange is located.
Once you have that session template set, you need to set the indicator to RTH, because you want to calculate pivots from the RTH high and low. Also set the indicator to second sesssion, as the RTH session is the second session of the trading day.
That should already give you the correct high and low for the three day period.
ATTENTION: Monday was not a separate trading day, so the Monday session is part of Tuesday. The indicator will automatically take this into account and calculate pivots from the double day session. This rule only applies to CME futures.
Now let us get the close. For a floor pivot you would not use the close (last value traded) but the settlement value.(see settlement procedure of exchange). The settlement value cannot be obtained from intraday data, but only from daily data. Therefore you want to use the indicator in DailyBars mode. However, you need to make sure that your daily data base contains the correct values. Use the Historical Data Manager, edit the daily data and check. If the data is false, you are in garbage in -> garbage out situation. This maybe your problem.
If you do not have daily data, because your data supplier overwrites the (excellent) Kinetick EOD data, you can also switch the indicator to CalculateFromIntradayData mode. It will then use the close instead of the settlement and your pivots can be a few ticks off.
Now let us have a look at the YM chart below:
You can visually verify that the indicator selects the correct three day highs and lows at 12698 and at 12476. The settlement value, which is taken from daily data, cannot be checked on the chart, but you can easily check it on the CME website here:
The settlement value for YM 09-11 on Thursday, July 07, 2011 as shown on the website is 12681. This is identical with the value displayed by the indicator. I use Kinetick EOD for daily data, and as you can see it is correct. The close for YM would have been 12680, which is near-identical. However, there can be a larger difference between the settlement and the close. This is particularly true on the last business day of the month, when a special fair value procedure is used to calculate the settlement price.
The following 2 users say Thank You to Fat Tails for this post:
Thanks very much for the comprehensive explanation! I configured the Session Templates as directed and then the inidcator parameters as you suggested and it works perfectly. I was also suffering from the right margin not being big enough to show the labels so a quick increase in size made it easier to see which lines were which! I'm using the Kinetick EOD feed so it calcualtes off the settlement price not the close.
I've only been a member on the forum for a short while but it's quite clear you make an incredible contribution to the community and add great deal of value so I would just like to say thank you for the time you took to help me resolve this.
Last edited by PeteRMDrake; July 8th, 2011 at 05:41 AM.
The only catch is that some data feeds - Zenfire, Rithmic - may actually overwrite yesterday's daily data. So you should regularly check the settlement price to make sure that it is correct.
I personally always first-connect to Kinetick and then second-connect to my Broker feed, which allows me to use Kinetick EOD data alongside with interday data from a different source. This is not the best solution, but it works well for me.