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OPENING GAP LEVEL INDICATOR
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OPENING GAP LEVEL INDICATOR

  #11 (permalink)
Market Wizard
Columbus, OH
 
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forker View Post
Silvester! Thank you, amigo.

One problem solved, just one more to go...

Now my yesterday high and close appear to be calculated off the extended session (ETH). This eventhough my parameters are set for 'RTH' and 'Second' per Fat Tails specs. Please see attached screenshot. You can see where the levels ought to print, as well as the indicator parameters I have checked.

Sylvester, I noticed that your levels are exactly where they ought to be. What am I missing? Argh! Thanks for all your kind assistance.

forker

the only problem I can think of is the session template. I believe you have the default 24/7 template.

here's the one I'm using for ES:

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-2011-05-29_0817.png  
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  #12 (permalink)
Trading Apprentice
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Silvester17 View Post
the only problem I can think of is the session template. I believe you have the default 24/7 template.

here's the one I'm using for ES:

Sylvester, thanks. You are right. That helped. I've never been to the Session Manager before!

My HIGH is now correct (please see attachment) but my CLOSE is still wrong. Clearly this is because the futures market closes 15 minutes after the CASH market. I need it to use the 4:00 PM value, instead.

If I change the session settings to 9:30 - 4:00, will I suffer any negative consequences? Will there be missing data? Could I have the 2nd session go from 4:00 to 9:30? Would there be a gap of 15 minutes.

Looking at Fat Tails chart, I see that mine now looks like his. This still leaves me with no way to see the OPENING GAP which was was I wanted in the first place. Maybe SessionPivots won't do the trick?

Thanks for everyone's kind assistance.

forker

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-5-28-2011-11-54-25-pm.png  
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  #13 (permalink)
Market Wizard
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forker View Post
Sylvester, thanks. You are right. That helped. I've never been to the Session Manager before!

My HIGH is now correct (please see attachment) but my CLOSE is still wrong. Clearly this is because the futures market closes 15 minutes after the CASH market. I need it to use the 4:00 PM value, instead.

If I change the session settings to 9:30 - 4:00, will I suffer any negative consequences? Will there be missing data? Could I have the 2nd session go from 4:00 to 9:30? Would there be a gap of 15 minutes.

Looking at Fat Tails chart, I see that mine now looks like his. This still leaves me with no way to see the OPENING GAP which was was I wanted in the first place. Maybe SessionPivots won't do the trick?

Thanks for everyone's kind assistance.

forker

hi forker,

looking at your chart I believe the close of 1326.75 is correct.

I guess an easy way to spot the gaps would be just using a RTH session template with the prior day ohlc indicator.

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-es-06-11-15-min-5_27_2011.jpg   OPENING GAP LEVEL INDICATOR-2011-05-29_0927.png   OPENING GAP LEVEL INDICATOR-es-06-11-3200-tick-5_26_2011.jpg  

Last edited by Silvester17; May 29th, 2011 at 12:52 PM.
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  #14 (permalink)
Elite Member
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forker View Post
Sylvester, thanks. You are right. That helped. I've never been to the Session Manager before!

My HIGH is now correct (please see attachment) but my CLOSE is still wrong. Clearly this is because the futures market closes 15 minutes after the CASH market. I need it to use the 4:00 PM value, instead.

If I change the session settings to 9:30 - 4:00, will I suffer any negative consequences? Will there be missing data? Could I have the 2nd session go from 4:00 to 9:30? Would there be a gap of 15 minutes.

Looking at Fat Tails chart, I see that mine now looks like his. This still leaves me with no way to see the OPENING GAP which was was I wanted in the first place. Maybe SessionPivots won't do the trick?

Thanks for everyone's kind assistance.

forker

In the first place you asked for an indicator which lays down three lines: high, low and close. The correct value for the close of ES is the settlement value published by CME. As you can see from the document attached, Thursday's settlement price was 1326.50. This is what should display a decent indicator, and this is also the close used to calculate floor pivots. I do not see the point to use a close, which reflects the close of the cash market. The two markets do not necessarily move in parallel. Sometimes the fair value at the time of the close of the cash market can be be higher than than the high or lower than the low of the day.

If you want to see the opening gap, you need to code an indicator that collects both values, yesterday's close and today's open and then colors the range between them. This can be coded by modifiying the anaCurrentDayOHL indicator, and calling the anaSessionPivots indicator from within that modified indicator.

There are several variations of gaps, depending on whether you use the ETH open or the RTH open and whether you compare it to yesterday's ETH high/low, RTH high/low or yesterday's close. Which gap do you look for?

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-e-mini-s-p-500.pdf  
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  #15 (permalink)
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Silvester17 View Post
hi forker,

looking at your chart I believe the close of 1326.75 is correct.

I guess an easy way to spot the gaps would be just using a RTH session template with the prior day ohlc indicator.

Hi Silvester,

That is precisely what I'm trying to avoid. I MUST have EHT charts for my method. And I can't possibly have duplicates of each chart so I can see the gap. It wastes a tremendous amount of screen space. Also, not having all the info on one chart reduces my edge.

The best solution (and for crying out loud, it's not asking a lot from a computer!) is to just drop a line at the 4:00 PM last price. This seems like such a no brainer, I'm really surprised no such indicator seems to exist.

I'll mess around with the session end/start times, and see if I can get it to fly. I'll post my results back.

Thanks a million!

forker

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  #16 (permalink)
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forker View Post
Hi Silvester,

That is precisely what I'm trying to avoid. I MUST have EHT charts for my method. And I can't possibly have duplicates of each chart so I can see the gap. It wastes a tremendous amount of screen space. Also, not having all the info on one chart reduces my edge.

The best solution (and for crying out loud, it's not asking a lot from a computer!) is to just drop a line at the 4:00 PM last price. This seems like such a no brainer, I'm really surprised no such indicator seems to exist.

I'll mess around with the session end/start times, and see if I can get it to fly. I'll post my results back.

Thanks a million!

forker

If you want the 4:00 PM close, you can use the anaPivotsDailyV33 indicator with the following settings

(a) Session template: change end time from 3:15 PM Central Time to 3:00 PM Central Time, change session start time for night session to 3:00 PM Central Time (that is equivalent to what you suggested, but you should use Central Time for CME)

(b) Set the indicator to 'CalcFromIntradayData' instead of 'DailyBars' and it will catch the 3:00 PM CT close (4:00 PM EST) instead of the settlement price.

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  #17 (permalink)
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IT WORKS!


Fat Tails View Post
If you want the 4:00 PM close, you can use the anaPivotsDailyV33 indicator with the following settings

(a) Session template: change end time from 3:15 PM Central Time to 3:00 PM Central Time, change session start time for night session to 3:00 PM Central Time (that is equivalent to what you suggested, but you should use Central Time for CME)

(b) Set the indicator to 'CalcFromIntradayData' instead of 'DailyBars' and it will catch the 3:00 PM CT close (4:00 PM EST) instead of the settlement price.

Thank you Sylvester and Fat Tails.

The cash markets are HUGE. Stock and option trading engulfs futures trading by orders of magnitude. In my book, CASH is KING. The 4:00 gap is the only one I'm interested in.
I have successfully traded cash markets based on futures charts (because I need the overnight data to determine my trade location). I have triggered orders, for example, on DXD or DDM based on YM. Arbitrageurs make this possible, they remove any significant market discrepancies. Basically, the charts are the same, even on smaller tick charts.

Not withstanding, now I only trade futures, which is an advantage, but the 4:00 close is still the only one I consider a legitimate gap. Remember, futures are a derivative of the cash markets. Sometimes folks forget that! Incidently, my 3200 tick chart nicely illustrates an overnight test of the cash close, nearly to the tick. The CME close was shrugged off.

Your indicator now shows the cash close nicely. I was worried about problems with the new session starting at 4:00, and having a 15 minute break 15 minutes later. However, this 1 minute chart seems to show no price gap between bars. They print smoothly, as though there were no trading halt.

I'm going to try it out this week, and I'll post back if there are any issues. Otherwise, looks good to go!

Thanks again

forker

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-5-29-2011-5-36-02-pm.png  
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  #18 (permalink)
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Fat Tails View Post
The correct value for the close of ES... was 1326.50. This is what should display a decent indicator, and this is also the close used to calculate floor pivots.

fwiw, Fat Tails, if this is true, you may wish to play around with values calculated on the cash closing. Instead of 'Floor' or 'Woodies' I give you permission to call them 'Fat Tails Pivots' Seriously, if you use pivots, you may find a sharper edge there...

forker

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  #19 (permalink)
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Oh well

Just an update on this indicator.

As last left, it correctly prints H,L and cash market Close.

Session manager must be set for 4:00 pm session end.

My charts now leave out Friday data after 4:00 pm, which seems obvious now.

So, if I want to trade Sunday evening opening, I am missing important data.

It looks like the only work around is an entirely new indicator, that simply drops a line at 4:00pm EST every week day. This is the only way I can get the cash close, without screwing up the chart.

I was really enjoying using this indicator, it's very nice.

Thanks to Sylvester and Fat Tails for all their help, trying to get this to work for me!

Kind Regards,

forker

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  #20 (permalink)
Elite Member
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Fat Tails's Avatar
 
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forker View Post
Just an update on this indicator.

As last left, it correctly prints H,L and cash market Close.

Session manager must be set for 4:00 pm session end.

My charts now leave out Friday data after 4:00 pm, which seems obvious now.

So, if I want to trade Sunday evening opening, I am missing important data.

It looks like the only work around is an entirely new indicator, that simply drops a line at 4:00pm EST every week day. This is the only way I can get the cash close, without screwing up the chart.

I was really enjoying using this indicator, it's very nice.

Thanks to Sylvester and Fat Tails for all their help, trying to get this to work for me!

Kind Regards,

forker

You do not need to leave out Friday evening's data. Just add a session to your session template. Did you try this one?

Alternatively, you can also use a session template, which has three sessions per day, and set the indicator to use the second session to display yesterday's high, low and close. In CalcFromIntradayData mode it will display all values from the second session only.

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-sessiontemplate-part-1.jpg   OPENING GAP LEVEL INDICATOR-sessiontemplate-part-2.jpg  
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