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OPENING GAP LEVEL INDICATOR
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OPENING GAP LEVEL INDICATOR

  #1 (permalink)
Trading Apprentice
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OPENING GAP LEVEL INDICATOR

Hey Gang,

I was wondering if anyone knows of an EXISTING indicator that can just lay down three lines for me: Previous days High, Low and Close (HLC).

I have attached an illustration of what I'm thinking. In this case the dashed lines are the previous days HL and the solid is the C. The close is important, because it tells you where the GAP is and how far to it.

Currently I scroll through a tick chart to see what the last price was at 4:00 PM (EST) on ES, GC, etc. Then I put a horizontal line there. This is a REAL DRAG, especially if you have several monitors and a BAZILLION charts to do!!!

There was probably a better way for me to get the last price, but I never learned it. Any hoo, I would like the computer to do it for me! I'd like to be able to turn any of the lines off, if I so choose, as well as pick their color, and style.

Thanks for your help!

Kind Regards,

forker

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-es-06-11-3200-tick-5_27_2011.png  
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  #2 (permalink)
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NT has it

if you go to NT indicator list, you can find Prior Day HLC

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  #3 (permalink)
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supermht View Post
if you go to NT indicator list, you can find Prior Day HLC

Hi Super,

Thanks for your input. The problem is that indicator gives you no control over WHICH SESSION you want the lines based on.

My charts must show the Extended Session. However, OHLC based on the Extended Session prices is not informative, as those points are generally clear from the Extended Session charts.

Also, because the Extended Session ends at 24:00, the Close (C) is ALWAYS wrong as I need the last print at 16:00.

What I need is Regular Session OHLC plotted onto my Extended Session charts.

For fun, I ran the indicator and while occasionally the High or Low were correct, the O and C are ALWAYS incorrect. The attached chart shows this clearly.

Anyone else with ideas???

Thanks!

forker

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-es-06-11-3200-tick-5_27_2011_02.png  
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  #4 (permalink)
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did you try Fat tail's indicator

his latest indicator pivotdaily, version 33 is great choice, but you have to use 3 sessions setting

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  #5 (permalink)
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Hmmm. I think we need Fat Tails to chime in...


supermht View Post
his latest indicator pivotdaily, version 33 is great choice, but you have to use 3 sessions setting

I'm not sure this will work. On Fat Tails indicator download page, under SessionPivots V33:

'Open, High and Low (OHL): Included are three indicators which plot the open, high, low, midline and dynamic fib lines for the current day, week and month. You can choose between ETH and RTH mode and select the appropriate RTH session.'

Conspicuously absent is the CLOSE.

I will PM Fat Tails, and see if we can get a comment.

Again, thanks so much for your continued assistance. You keep coming up with good ideas!

forker

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  #6 (permalink)
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forker View Post
I'm not sure this will work. On Fat Tails indicator download page, under SessionPivots V33:

'Open, High and Low (OHL): Included are three indicators which plot the open, high, low, midline and dynamic fib lines for the current day, week and month. You can choose between ETH and RTH mode and select the appropriate RTH session.'

Conspicuously absent is the CLOSE.

I will PM Fat Tails, and see if we can get a comment.

Again, thanks so much for your continued assistance. You keep coming up with good ideas!

forker

The SessionPivots family consists of 6 indicators. The anaCurrentDayOHLV33 plots the open, high and low of the current session. It cannot plot a close, because the current session is not closed yet.

What you look for is the prior day's high, low and close. These are the values used to calculate the pivots. So to display them, you can just use the anaPivotsDailyV33 indicator and set all pivots and the prior day midline to transparent.

Example

It is best to use an example to show how the pivots work. Let us take ES 06-11. For ES, I use a session that divides the trading day into two subsessions, the Globex night session and the regular trading hours (RTH). Session template is attached.

I understand that you want to show yesterday's HLC for the regular session. In this case you need

- to set the indicator to 'RTH' (regular session)
- to inform the inidcator that the second session of the day is the RTH session ('Session # for RTH = Second')

For the close the indicator also has two options. You can either display the close from your daily historical data base. In this case you need to set the indicator to'DailyBars'. Or you can set it to 'CalcFromIntradayData'. In this case the close is the last traded price of the selected RTH session.

I personally want to see the settlement price for ES. My EOD datafeed is Kinetick, which shows the settlement price, not the close. So I always use the indicator in 'DailyBars' mode.

The chart below shows yesterday's high, low and close. Chart attached. The indicator also shows the VWAP for Friday.

Special Case: Adapting to Trade Dates of CME and NYMEX

CME has double day sessions which have single trade date. Let us take Memorial Day as an example. On coming Monday, the night session for ES will open as usual at 5:00 PM Central Time. However, trading will be halted during most of the day session, and there will be no close for Monday. All trades executed on Monday are for trade date Tuesday, as the session starts on Sunday evening and closes on Tuesday afternoon.

If you want to display yesterday's high, low and close, you will need to

-> display high, low and close of Friday's session on Monday
-> display high, low and close of Friday's session on Tuesday
-> for ETH display high, low and close of the Monday+Tuesday session on Wednesday
-> for RTH display high, low and close of the Tuesday RTH session on Wednesday
-> display Pivots in line with rules for high, low and close

This is what the indicator does. For other exchanges, such as ICE, Nybot, EUREX there are no double day sessions, so the indicator will only use this method for the CME and NYMEX traded instruments.

Settlement on the last business day of the month

On the last business day of the month there is a larger difference between the settlement and close of index futures. The fair value procedure that is used, will produce a settlement calculated from the index close at 3:00 PM Central Time, while the close will show the future price at 3:15 PM.So do not be astonished, if the settlement is further off the close on coming Tuesday.

Indicator Attached

You can best use the anaPivotsDailyV33 indicator. Alternatively I attach an indicator anaPivotsT33 which

-> has the colors serialized separately and makes it easier to set the pivots to transparent
-> displays the pivot range (set opacity to 0 if you do not want it)

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-sessionpivots.jpg   OPENING GAP LEVEL INDICATOR-session-template-es.jpg  
Attached Files
Register to download File Type: zip anaPivotsT33.zip (11.2 KB, 140 views)
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  #7 (permalink)
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Fat Tails View Post
What you look for is the prior day's high, low and close. These are the values used to calculate the pivots. So to display them, you can just use the anaPivotsDailyV33 indicator and set all pivots and the prior day midline to transparent.

Wow! Thanks! Those are the first two words that come to mind. I look forward to playing around with your indicator to see if I can duplicate your results. It looks very promising. And the fact that the indicator handles holiday trading hours without screwing up, well that's a fine bonus. I hadn't thought about it. Seems you've thought about everything!

Again, many thanks. I'll post back with some screen shots when I get it running.

Gratefully,

forker

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  #8 (permalink)
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Getting Somewhere

Dear Fat Tails,

Please see attached results. The three points I want are there! I'm very excited about this. However, there is a huge gray block in each session related I believe to the VWAP implementation. Any suggestions on how to get rid of this???

forker

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-anapivotst33_01.png   OPENING GAP LEVEL INDICATOR-es-06-11-3200-tick-5_27_2011_03.png  
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  #9 (permalink)
Market Wizard
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forker View Post
Dear Fat Tails,

Please see attached results. The three points I want are there! I'm very excited about this. However, there is a huge gray block in each session related I believe to the VWAP implementation. Any suggestions on how to get rid of this???

forker

that gray block is the pivot range. if you set "opacity pivot range" to 0, it should disappear. see attached pic.

hope that helps.

Attached Thumbnails
OPENING GAP LEVEL INDICATOR-2011-05-28_2229.png  
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  #10 (permalink)
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Soooooooo Close



Silvester17 View Post
that gray block is the pivot range. if you set "opacity pivot range" to 0, it should disappear. see attached pic.

hope that helps.

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

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OPENING GAP LEVEL INDICATOR-5-28-2011-11-54-25-pm.png  
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