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tf session template in NT?


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tf session template in NT?

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  #1 (permalink)
 madLyfe 
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what is the correct session template for TF in NT while wanting ETH? i currently have mine set to 'CME us index futures ETH' but that cant be right. i also dont see ICE in the list tho.. session templates are one of my weaknesses in NT, never had these kinda of options in TOS..

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 kulu 
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For TF use the IPE US INDEX FUTURES session template

Kulu


madLyfe View Post
what is the correct session template for TF in NT while wanting ETH? i currently have mine set to 'CME us index futures ETH' but that cant be right. i also dont see ICE in the list tho.. session templates are one of my weaknesses in NT, never had these kinda of options in TOS..


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 madLyfe 
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kulu View Post
For TF use the IPE US INDEX FUTURES session template

Kulu

i dont have that one either..


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 Silvester17 
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madLyfe View Post
what is the correct session template for TF in NT while wanting ETH? i currently have mine set to 'CME us index futures ETH' but that cant be right. i also dont see ICE in the list tho.. session templates are one of my weaknesses in NT, never had these kinda of options in TOS..


eth for tf = 20:00 - 18:00 except on sunday it starts at 18:00

https://www.theice.com/productguide/ProductDetails.shtml?specId=86

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 madLyfe 
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lol im sooooo lost... is this what im supposed to be doing? or does someone just have the session template so i can import it or something?


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 cory 
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madLyfe View Post
lol im sooooo lost... is this what im supposed to be doing? or does someone just have the session template so i can import it or something?

there is no such 'session template' to pass around, this time you just have to do it step by step, no pain no gain.

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 madLyfe 
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ah ok.. why isnt ice futures for TF built into NT again?

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 Silvester17 
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all times are eastern

tip: easiest way imo, copy the cme us index futures, and then just change the times. done in less than 2 minutes.

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 madLyfe 
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Silvester17 View Post
all times are eastern

tip: easiest way imo, copy the cme us index futures, and then just change the times. done in less than 2 minutes.

so is this correct then?


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 kulu 
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Here is my session template for TF. You have to create a custom session template. I don't think it comes with NT. However, you can modify some other template that's already in NT

Kulu

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 madLyfe 
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kulu View Post
Here is my session template for TF. You have to create a custom session template. I don't think it comes with NT. However, you can modify some other template that's already in NT

Kulu

i think you may have some custom things going on there.. im just looking for ETH so my pivots and OHLC indicators work right..

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 Fat Tails 
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I had this posted in the thread on session templates:


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 kulu 
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madLyfe View Post
i think you may have some custom things going on there.. im just looking for ETH so my pivots and OHLC indicators work right..

You have to create this session template yourself. Look at the one that both Fat Tails and myself posted. It's very easy. C'mon now.

I hope this helps

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 Silvester17 
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madLyfe View Post
so is this correct then?


looks ok to me.

just don't forget this is eastern time.

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 madLyfe 
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Silvester17 View Post
looks ok to me.

just don't forget this is eastern time.

ya i know, but im in central time..

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 Fat Tails 
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madLyfe View Post
ya i know, but im in central time..

All session templates use exchange time. That way you get the correct opening hours, even if you trade from Congo or Afghanistan.

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 madLyfe 
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Silvester17 View Post
looks ok to me.

just don't forget this is eastern time.

@Silvester17 so when im trying to setup my DX here as compares to the TF settings, i need to set the end time at 5pm est and not 6pm est? but it starts at the same time on sunday at 6pm est? and they both open at 8pm est? thus the tf having 2hr between close and open and the DX having 3hrs?

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 Silvester17 
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madLyfe View Post
@Silvester17 so when im trying to setup my DX here as compares to the TF settings, i need to set the end time at 5pm est and not 6pm est? but it starts at the same time on sunday at 6pm est? and they both open at 8pm est? thus the tf having 2hr between close and open and the DX having 3hrs?

you got it right.

summary:

DX open 8:00 pm est, close 5:00 pm est

TF open 8:00 pm est, close 6:00 pm est

except on sundays, they both open at 6:00 pm est

https://www.theice.com/productguide/ProductDetails.shtml?specId=86

https://www.theice.com/productguide/ProductDetails.shtml?specId=194

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 Fat Tails 
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Please use official trading times as per contract specifications.


https://www.theice.com/productguide/ProductDetails.shtml?specId=194


Trading times for DX are 8:00 PM to 5.00 PM EST. The Sunday session opens 2 hours earlier at 6:00 PM EST.


@ Silvester17 was 1 minute faster to answer, but as there is no contradiction, I will leave this post.

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 madLyfe 
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im not sure if this is me or not, but im having pivot issues on the DX, the 6E is fine for me tho..

here are my settings:






here are the values plotted:



here is what they should be:


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 Fat Tails 
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madLyfe View Post
im not sure if this is me or not, but im having pivot issues on the DX, the 6E is fine for me tho..

here are my settings:






here are the values plotted:



here is what they should be:


The session template is correct. The values for high, low and close as indicated on your table with the red arrows, are high, low and close from Friday, February 17. They were used to calculate Monday's pivots.

Today's - Tuesday's - pivots are calculated from Monday's high, low and close. According to the daily ICE Market Report for Futures, yesterday's high, low and close were 79.325 / 78.910 / 79.456. These values are those in my Historical Data Base.



The high and low shown by your chart is correct. Just the close is off, as your chart shows the value 79.005 instead of 79.456. This issue is data related and you need to check your historical data base.

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 madLyfe 
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Fat Tails View Post
The session template is correct. The values for high, low and close should be as indicated on your table with the red arrows (as per exchange). I checked my daily data base. These values are also the values, which will be displayed, if you use daily Kinetick data.

The chart with the pivots indicator shows false values. The indicator uses ETH/DailyBars setting. With this setting the indicator loads those values directly from your historical data base for daily data.

I would guess that the historical data base contains false or corrupted data.

i have reloaded the data many times while connected to kinetick data first.. is there i way i should force NT to reload all new data for all my instruments?

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 Silvester17 
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madLyfe View Post
i have reloaded the data many times while connected to kinetick data first.. is there i way i should force NT to reload all new data for all my instruments?

did you already try: tools - options - data and then reset/repair db?

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 madLyfe 
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Fat Tails View Post
The session template is correct. The values for high, low and close as indicated on your table with the red arrows, are high, low and close from Friday, February 17. They were used to calculate Monday's pivots.

Today's - Tuesday's - pivots are calculated from Monday's high, low and close. According to the daily ICE Market Report for Futures, yesterday's high, low and close were 79.325 / 78.910 / 79.456. These values are those in my Historical Data Base.

Attachment 63345

The high and low shown by your chart is correct. Just the close is off, as your chart shows the value 79.005 instead of 79.456. This issue is data related and you need to check your historical data base.

ah ok.. damn im dumb sometimes.. wonder why the mypivots website isnt updated.. because of holiday maybe?


Silvester17 View Post
did you already try: tools - options - data and then reset/repair db?

doesnt one hurt your db of trades too?

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 Silvester17 
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madLyfe View Post

doesnt one hurt your db of trades too?

a list should pop up. it'll tell you what will be deleted.

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 Fat Tails 
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madLyfe View Post
ah ok.. damn im dumb sometimes.. wonder why the mypivots website isnt updated.. because of holiday maybe.

These holiday issues are not easy to treat for the pivots indicator:

CME/NYMEX have just one session covering Monday and Tuesday, so you would indeed use Friday's high, low and close to calculate the pivots for Tuesday, February 21.

There are just 6 days per year where this happens and the indicator is configured to detect all CME and Nymex instruments and apply this rule. The anaCurrentDayVWAPV38 does the same thing, if you set it to ETH.

Now - as far as I know - ICE does not have a joint trading day for Monday and Tuesday, but there are 2 separate trading days. So you would have to calculate Tuesday's pivots from Monday. At least this is what all session indicators do:

CME Group incl. NYMEX: Tuesday's pivots are calculated from Friday, Wednesday's pivots are calculated from the double day session Monday+Tuesday.

All other exchanges: Pivots are calculated from HLC of the prior day.

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 madLyfe 
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Silvester17 View Post
a list should pop up. it'll tell you what will be deleted.

ya i tried both of them and cant get the DX Close to correct values..


Fat Tails View Post
These holiday issues are not easy to treat for the pivots indicator:

CME/NYMEX have just one session covering Monday and Tuesday, so you would indeed use Friday's high, low and close to calculate the pivots for Tuesday, February 21.

There are just 6 days per year where this happens and the indicator is configured to detect all CME and Nymex instruments and apply this rule. The anaCurrentDayVWAPV38 does the same thing, if you set it to ETH.

Now - as far as I know - ICE does not have a joint trading day for Monday and Tuesday, but there are 2 separate trading days. So you would have to calculate Tuesday's pivots from Monday. At least this is what all session indicators do:

CME Group incl. NYMEX: Tuesday's pivots are calculated from Friday, Wednesday's pivots are calculated from the double day session Monday+Tuesday.

All other exchanges: Pivots are calculated from HLC of the prior day.

as stated above i couldnt get it to populate with the correct DX close and im guessing it because of what you said above.. so should i wait for tomorrows pivots to see what they look like and to see if they have corrected?

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 Fat Tails 
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madLyfe View Post
As stated above i couldnt get it to populate with the correct DX close and im guessing it because of what you said above.. so should i wait for tomorrows pivots to see what they look like and to see if they have corrected?

I think that Kinetick does not have Monday's daily data for ICE futures.

However, the holiday calendar of ICE Futures Europe states that the trading day of Monday, February 20 follows Status A, which means an early settlement. That confirms that Monday should have been a separate trading day for ICE futures, and that daily data should be available.

You can also compare today's situation to January 16/17. If you check daily data, you will note that January 16/17 is one trading day for CME/NYMEX but two trading days for ICE.

However, if I look into my historical data base, there are no values for Monday, so this seems to be a Kinetick problem.

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 trendisyourfriend 
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Should we ask for a refund?


Fat Tails View Post
...

However, if I look into my historical data base, there are no values for Monday, so this seems to be a Kinetick problem.


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 Fat Tails 
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trendisyourfriend View Post
Should we ask for a refund?

You problaby made an extraordinary profit, as you have used secrets pivots that were not known to anybody else.

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 trendisyourfriend 
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To please BigMike, you should rename the thread "Random Pivots Thread"


Fat Tails View Post
You problaby made an extraordinary profit, as you have used secrets pivots that were not known to anybody else.


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 Fat Tails 
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Here is the ICE Holiday Schedule.

https://www.theice.com/publicdocs/futures_us/exchange_notices/ExNot2012Holidays.pdf

It was not easy to find. I think that Monday was a separate trading day for the electronically traded instruments.

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 Fat Tails 
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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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 madLyfe 
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Fat Tails View Post
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. As ICE Futures US had taken the settlement price that were published from the prior Friday, they fell outside the holiday session and NinjaTrader would not download the data.

(5) As NinjaTrader had no data available for Monday, February 20, pivot calculation using DailyBars mode could not be performed correctly.

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.

that would be neatO.. noticing the values are off for today as well..

dont believe anything you hear and only half of what you see

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 Fat Tails 
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madLyfe View Post
that would be neatO.. noticing the values are off for today as well..

Could you post a chart for today?

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Fat Tails View Post
Could you post a chart for today?


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 Fat Tails 
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madLyfe View Post

The pivots are correct. They use yesterday's high, low and settlement price, see below.


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 madLyfe 
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ah ok, then i guess mypivots has the wrong close listed.. grrr..


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 Fat Tails 
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madLyfe View Post
ah ok, then i guess mypivots has the wrong close listed.. grrr..


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.

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Fat Tails View Post
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 = true: pivots calculated from the settlement price
-> DailyBars = false: pivots calculated from the last traded price of the session (close).

did you mean calfromintradaydata?


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 Fat Tails 
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madLyfe View Post
did you mean calfromintradaydata?


Yes, in some indicators it is "DailyBars = false", in others like the pivots, there are three options including manual entry.

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 madLyfe 
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heh ok that makes sense, but why then are the 6Es HLC close correct with my pivots using daily bars?



my pivots:



when this looks like it is the correct close:


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 Fat Tails 
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@ madLyfe: You could answer some of the questions by yourself.

MyPivots does not provide coherent pivots, you just take those, because you rather believe in black and white than in your own charts.

You have just shown that MyPivots uses

-> the settlement price for 6E to calculate pivots
-> the last traded price for DX to calculate pivots

This does not make sense.


You can ask MyPivots, why they do this, but not me!

Don't think that the pivots by myPivots always make sense, because they have a website and publish them.

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 madLyfe 
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Fat Tails View Post
@ madLyfe: You could answer some of the questions by yourself.

MyPivots does not provide coherent pivots, you just take those, because you rather believe in black and white than in your own charts.

You have just shown that MyPivots uses

-> the settlement price for 6E to calculate pivots
-> the last traded price for DX to calculate pivots

This does not make sense.


You can ask MyPivots, why they do this, but not me!

Don't think that the pivots by myPivots always make sense, because they have a website and publish them.

i know, i was just making sure i wasnt doing something wrong on my end of the deal..

if im using intradaydata instead of daily bars now will that effect the weekly/monthly pivots at all? it looks like it does a little bit when i compare the two.

lets say that i am only interested in currency futures, and calculating from intradaydata, i wouldnt need to connect to kinetic first anymore for daily data right?

also, could that maybe be a feature of the pivot indicators, kinda like you have the holiday dates down below? ability to set defaults for instruments? i could set the currencies to use intradaydata and the rest use daily bars? maybe a black list/white list type of thing?

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 Fat Tails 
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madLyfe View Post
if im using intradaydata instead of daily bars now will that effect the weekly/monthly pivots at all? it looks like it does a little bit when i compare the two.

The daily pivots have no impact on weekly or monthly pivots. You can see weekly and monthly pivots to DailyBars or CalcFromIntradayData, as you prefer.


madLyfe View Post
lets say that i am only interested in currency futures, and calculating from intradaydata, i wouldnt need to connect to kinetic first anymore for daily data right?

You do not need to connect to Kinetick, if you do not make use of that daily data. In that case your daily data base will be populated by something else, which is not the official values.


madLyfe View Post
also, could that maybe be a feature of the pivot indicators, kinda like you have the holiday dates down below? ability to set defaults for instruments? i could set the currencies to use intradaydata and the rest use daily bars? maybe a black list/white list type of thing?

Yes, this can be done, but it goes too far for an indicator that is available for free download. The indicator already as so many features that nearly everybody - including @madLyfe - is confused. So I am not going to add any more features to the free version.

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