Dear sir, I m really thankful to you for creating such nice ana series of indicators for NT users.I have also been following ur comments here for long and have learnt a lot from them. I saw you helping other users generously. Please help me too. I seek a pivot indicator with prior day's low high and close and today's open. Please help me create a correct cs file. NT7 has a default Pivot indicator and I made some changes in it for my use. I am trying to create a little deformed pivot indicator. Normal pivot point is sum of previous day high, low and close divided 3. And existing pivot indicator calculates R1 R2 R3 S1 S2 S3 on that basis and then draws respective lines. In my pivot, i am trying to use a different pivot point which is : sum of today's open and previous day's high, low and close divided by 4. And then drawing respective PP1 (say), R11 R21 R31 S11 S21 S31 ..... along with normal pivot lines. In my changed Cs perhaps I couldnot make proper changes. I was able to save and compile the new indicator but when I am trying to call it on chart, it is drawing only the default PP and R&S series of lines (even that doesnt sometimes) and no trace of my new PP1 and R1&S1 lines. I dont have much understanding about NT7 program language and too dumb to make right changes. I am attaching here my changed Pivot cs file. I humbly request the seniors or more knowledgeable members to look at it and upload the correct file again. That would be very kind help.
If it is not too much to ask, I want an another Pivot indicator, with PP= today's (open+high+low+close)/4 ... no previous day data. I have your HourlyPivot. Perhaps with some changes in it one can make TodayPivot. Of course this indicator will do On bar update and PP, resistance and support will change as the intraday session proceeds. it appears dumb to think about such pivot, but I seriously need this for some purpose. I would be greatly obliged for any help and precious time and efforts.
Thanks a lot (Fat Tails) Sir for an astonishingly quick reply. It worked!!! You are really a genius... and a compassionate and helpful genius. I wish you could guide me in the same for creating a todayPivot, based on the today's data only (today open and till-time high, low & close), changing dynamically as the session proceeds. I want it to know the Pivot at some special time of market like after one hour of opening session and then again around 12.30 or mid time of session as through my excel spreadsheet analysis I found them quite effective.
One more thing, I saw your comment about Pivot points - a very nice expert's comment on Pivot I ever found... to quote that " Floor pivots: They are based on the main pivot and the prior day's volatility, a fraction of which is added or subtracted. Work best, where there is a strong tradition of floor traders. This would be the case for physical commodities, in particular Agriculturals, Metals and Oil, but also index and interest rate futures. The question for floor pivots would be, whether you use full session or regular session pivots. Originally only regular session pivots were used, but with markets now being mostly open 24/5, there is a strong trend to full session pivots. Traders are lazy, so they just use the high, low and close(settlement) as published by the exchange, and this leads to full session pivots. To my knowledge Mark Fisher, a long time follower of regular pivots has switched to full session pivots a few years ago. The best thing to do is to add both full session (ETH) and regular session (RTH) pivots to your chart and look whether price reacts to them or not. For many days they are identical, a difference only occurs for those days where either the high or the low was made off-session."
But I have never seen any Floor Pivot indicator that takes Volatility into account. But certainly with volatility included it would more powerful (and very effective for guideline for index future trading). Do you know the existence of any such Floor Pivot indicator for nt7?
@ManuAdam: If you wish to create a pivot for today, you can use the anaCurrentDayOHLV40 indicator that comes with the SessionPivots. This indicator already calculates the open, high and low and allows you to select both the ETH and RTH session.
All you need to do is to add another plot and use it to display your pivot = open + high + low + close of the running session.
Alternatively, if you wish to fix the pivot at a certain time, such as 1 hour into the session, you can use the OpeningRangeV38 indicator, which already detects the open, high and low of the opening range. You can then display your pivot at the end of the opening range for the rest of the day. Again, all you need to do is to add one more plot and use it to display your pivot.
If you apply the opening range indicator several times then you can display pivots at 1 hour, 2 hours etc. into the current session.
All Floor Pivots take volatility into account. The main pivot PP stands for value. But the levels R2 and S2 are calculated by adding the yesterday's RANGE to the main pivot PP.
If you want to measure the historical volatility of a trading day, you will probably calculate the standard deviation over all trades. This is the classical definition of volatility. Another way to measure volatility is the daily range. For an average trading day you will find that .....
You can approximate the standard deviation with the quarter of the range of the session.
Yesterday's range indeed measures yesterday's volatility and this is part of the formula for the floor pivots R2 and S2. In a similar way the formulae for R1 and S1 both use a fraction of yesterday's range, the two fractions adding up to the total range. Just the floor pivot PP does not tell you anything about yesterday's volatility, but is a proxy for yesterday's value.
The following user says Thank You to Fat Tails for this post:
Fat Tails Sir, Thank you very much for a detailed and so descriptive reply and direction. I am deeply touched. Yes, now I understand the play of volatility factor in pivot points. As per your suggestion, I will try to work with anaPivot now. I see that right pivot points help a lot in detecting support and resistance levels. Also thanks for telling me about the OpeningRangeV38 indicator. I didn't know about it. Seniors like you make Big Mike's such a great trading forum. Thanks.
The following user says Thank You to ManuAdam for this post:
Hi all i try since few days setup anaDailyPivots for RTH and ETH CL future. I use standard session template from sassion manager. I want draw Yesterday OHLC seperat ETH and RTH.I dont know but i cannt find true setting to do that tried everything. The best one could be if somebody can adding code for start and end session time like pic below.
Please use the latest release of the SessionPivots, which is V42. You can easily find it in the download session. The indicator does not plot yesterday's open but will only plot yesterday's high low and close. It also displays pivots calculated from those three values.
Before you apply the indicator, you need to decide which lines you wish to see on your chart
(1) RTH high and low + settlement price
(2) RTH high and low + RTH close
(3) ETH high and low + settlement price
(4) ETH high and low + ETH close
The settlement price is the only price which is officially published by the exchange. It also the price shown on daily bars from DTN/IQ or Kinetick. For calculating floor pivots or Globex pivots the settlement price should be used. Here are the definitions:
Settlement price: Volume-weighted average price of all trades between 2:28 PM and 2:30 PM EST
RTH close: Last traded price prior to 2:30 PM EST
ETH close: Last traded price prior to the break at 5:15 PM EST
Once you have decided what to display, you can adjust session template and indicator settings. In detail:
(1) To collect the settlement price, you need to subscribe to a data feed that comes with the settlement price (please check the daily close of your datafeed and compare it with the settlement price published by CME). Please select "Calculate from Session" = "RTH" and "Settlement/Close" = "DailyClose" as per default settings. To calculate RTH high and low, the indicator needs the information at what time the regular session starts and ends. This information is collected from the session template. Please use the template below, which divides the trading day into three sections.
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Option (1) is impossible, if your datafeed does not supply the settlement price (case Rithmic or CQG)
(2) If you wish to display the last traded price instead of the session template, you should select "Settlement/Close" = "IntradayClose", and the indicator will use the last tick of the regular session. For option 2 you need to use the same session template as for option (1).
(3) In this case you do not need a subdivided session template, but you can use the default template "NYMEX Metals/Energy" which is also stored under instrument settings. However, the subdivided template shown above will also work. The correct setting in this case is "Calculate from Session" = "ETH" and "Settlement/Close" = "DailyClose". Depending on your datafeed you can also select "Calculate From Session" = "DailyBars", and high, low and close displayed will be those shown on your daily chart.
Option (3) is impossible, if you daily datafeed does not come with the settlement price.
(4) In this case, please select the settings "Calculate from Session" = "ETH" and "Settlement/Close" = "IntradayClose". You can use either of the two session templates.