I have now checked the problem again. This is what happened.
(1) For some reasons ICE Futures US did not establish settlement prices for TF and DX on Monday, February 20, but published the settlement prices of Friday, February 17.
(2) This is unusual. I checked the holiday sessions of last year and found that separate settlement prices were available for 5 of the 6 holiday sessions including President's Day 2011. However, ICE Futures US did not establish separate settlement prices for the session of Labour Day, which was September 5, 2011. For Labor Day the settlement prices of the prior session of Friday, September 2 were used.
(3) Impact on NinjaTrader: NinjaTrader 7 cannot handle a settlement price, which is outside the high/low range of the day. In case that a data provider sends daily data with a close, which is either higher than the high or lower than the low, NinjaTrader refuses that data.
(4) This is what happened on Monday, February 20. The settlement price fell outside the holiday session and NinjaTrader did not accept the data.
(5) As NinjaTrader had no data available for Monday, February 20, pivot calculation using DailyBars mode could not be performed correctly.
What can be done to solve the problem?
Cases like this happen about twice per year. What would be possible, is to add an option to extend the holiday rules used for CME/Nymex to ICE Futures US. In that case, pivots for the day after the holiday session would be calculated from Friday's high and low.
NinjaTrader 8.0 will likely address the problem and allow for downloading data with a close outside the range of the session.
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They are not wrong. They use the close instead of the settlement price. It is up to you to decide, whether you prefer the close or the settlement.
For futures on physical commodities the settlement is the obvious choice. For currency futures, however, you need to keep in mind that the FOREX markets are much larger than that tiny CME market segment for currency futures. FOREX does not have any daily settlement period, but the only value that matters is the close at 5:00 PM EST.
If you want to align your DX pivots to FOREX pivots, you may well decide not to use the settlement price, which is established at 3:00 PM EST, but the 5:00 PM EST close.
The SessionPivots indicators is just a tool, which you can use at your own discretion. With the correct instrument session you can either show
-> DailyBars mode: pivots calculated from the settlement price
-> CalcFromIntradayData mode: pivots calculated from the last traded price of the session (close)
As we are not in elementary school, and no teacher imposes a choice on you, both options are correct.
Last edited by Fat Tails; February 22nd, 2012 at 05:51 AM.
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