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OHLC calculations indicator
Started:January 14th, 2010 (03:35 AM) by vast Views / Replies:2,390 / 3
Last Reply:January 16th, 2010 (05:43 AM) Attachments:0

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OHLC calculations indicator

Old January 14th, 2010, 03:35 AM   #1 (permalink)
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Futures Experience: Intermediate
Platform: Ninja
vast's Avatar
Posts: 167 since Jun 2009
Thanks: 154 given, 59 received

OHLC calculations indicator

I realise that there are several pivot indicators out there, especially the one designed by Harry over at the Ninja Forum.
But I still cannot get them to load the official OHLC (or close to it) that the exchange issues. ie CME, ICE ...
I realise that some people use Pit session OHLC, but I prefer to use the official values.
I believe the problem lies with the time frames used to calculate the close (settlement price) and the open and close.
This link outlines the time frames used. CSIŽ Support Blog: LIGHT SWEET CRUDE OIL (SYMBOL CL)
The indicators that I am aware of have a session time. This works for Open, High, Low but not the close. The close(settlement) price is usually calculated at the close of the pit. Which in the case of CL is at 14:30. The Open, High and Low is usually calculated from 18:00 the day before to 17:15 current day. Well this is for CL. But the same approach is often used for other instruments.
I was wondering if anyone has developed an indicator that allows for specific time slots to calculate the OHLC?
I have looked at the code and it is a bit beyond me at present. I guess all I need is a way of entering a specific time to calculate the close. The rest of the values can be picked up by the current methods.
If you feel that your indicator is calculating correctly, I would suggest checking the values at the following:
CL: Light Sweet Crude Oil (WTI)
These values always match the ones that are used here as well:
Daily Notes - Numbers for Day Traders
I stand to be corrected and hope that we can solve a problem that I believe exists.

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Old January 15th, 2010, 10:29 PM   #2 (permalink)
Elite Member
Sydney, NS
Futures Experience: Intermediate
Platform: Ninja
Broker/Data: Zen-Fire
Favorite Futures: TF,S,GC
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Posts: 607 since Nov 2009
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Vast, I don't think I can help but I heartily agree with your concern. Since moving over to Ninja I find I pay less and less attention to previous H,L,C mainly because it seems to difficult to figure out what they were. (Well, H and L are fairly easy, but close I have given up on basically since I have no idea what it is most of the time.) That said, since I am getting into VolumeProfile type stuff I am now emphasising the last PVP price in the afternoon versus the Close and finding it more helpful generally.

Perhaps with more 24-hr like markets in so many instruments the fact that it is so hard to keep track of the close is indicative that perhaps it is not so important as it used to be. That said, many markets really are active only during the day-sessions so in those cases the Closes are a) easier to determine and b) more significant referents.

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Old January 16th, 2010, 12:16 AM   #3 (permalink)
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Newfields, NH
Futures Experience: Advanced
Platform: Tradestation
Posts: 17 since Aug 2009
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I agree I still use tradestation because of the Pivots and OHLC, not the only reason but one of the major ones. It would be great to have something more accurate. I have been using the custom lines to enter my own. Its ok for the current day trading but useless for past data.

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Old January 16th, 2010, 05:43 AM   #4 (permalink)
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vast's Avatar
Posts: 167 since Jun 2009
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The close is the Settlement price at the close of the pit. The Open is at 18:00 and the High and Low is for the the next 24hrs.
All the indicators I am aware of only allow for start and finish times. This will give you a Open, High and Low but the close will be at the incorrect time.
So all we need is the ability to manually enter the close time and leave the rest.
Now the close and settlement is slightly different as the Settlement price is a calculated value. This is the value I believe the standard Pivot Points are calculated on.
Hopefully someone may be able to add some code to an existing indicator that allows for the close value to be calculated independently. ie the CMI pivot indicator

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