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correct opening price for the ES or an indi that works
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correct opening price for the ES or an indi that works

  #1 (permalink)
Trading's simple not easy
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correct opening price for the ES or an indi that works

Hi All
I Have 3 ES charts of different bar types which provides 3 different opening prices now i see they have changed the closing price but PA seems to be using the old closing price at 4,15pm
is there a reliable indicator that will plot the correct Opening price ??
which one do i use ??

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  #2 (permalink)
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Maybe it is in built into yr platform. May want to check ohlc.

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Do you use a session template ?

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  #4 (permalink)
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rleplae View Post
Do you use a session template ?

hi I do use a session template, RHT & EHT but they all provide differnt openeng prices to each other and i don't know where to get the actual opening price to compare it to

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  #5 (permalink)
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paps View Post
Maybe it is in built into yr platform. May want to check ohlc.

thanks ahve been experementing with that indi lately, traveling at the moment so not active daily
what is the actual close these days is 4,15 or 4pm

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16.30...

for my purposes 16.00 as soon as market internals shut down.

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Answer
This post has been selected as an answer to the original posters question Answer

You can only get a correct opening price, when you use a correct session template.

ES has two opening prices:

-> the full session open at 5:00 PM CST
-> the regular session open at 8:30 AM CST

In order to catch the full session open you need to use a session template that comes with a daily session from 5:00 PM to 4:00 PM CST. To catch the regular session you would need to use a session template that introduces a session break at 8:30 AM.

Both opening prices can be displayed with the anaCurrentDayOHLV43 indicator, which is part of the SessionPivots package and which is available here:

https://futures.io/download/ninjatrader-7/indicators/371-download.html

The correct open values are displayed below:

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Understanding Bar Types

So far I have shown that you need to select a proper session template and the right indicator to display a correct opening price. Another pre-requisite for displaying the opening price is the selection of a clean bar type.

A clean bar type shows actual price action and not any fancy prices that have been created to embellish the chart and that do not reflect real prices.

Clean bar types

- minute bars
- second bars
- daily bars
- tick bars
- volume bars

If you use one of these bar types, you may expect that the open, high low and close prices of the bars are real! This means that

(1) the open shows the first transaction covered by the price bar
(2) the highest price of all transactions covered by the bar was the high
(3) the lowest price of all transactions covered by the bar was the low
(4) the last transaction of the bar period took place at the closing price


Dirty bar types & Chart embellishers

If you use one some the fancy Renko bars or Heikin Ashi bars, you need to be aware that the opening price shown is pure fiction. Moreover Renko bars also show false high and lows. Attached is a UniRenko chart. I have arbitrarily chosen a bar, for which it is easy to understand that open and low price shown are pure fiction.

No if you use fantasy charts and apply indicators to these charts the outcome are fantasy values.

If you perform backtests on fantasy charts, the outcome will be entirely false backtests.

The short version of what happens here is: GARBAGE IN - GARBAGE OUT.

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Dirty bar types with a clean body

There are a few Renko bar types that can be used for applying indicators and performing backtests. To make this possible the creators of these bars have separated the real bars from the fancy appearance. The best know example here is the Better Renko bars type.

-> the bars hold the correct open, high, low & close values
-> the bars come with a specific chart style BetterBrick

All indicators applied to Better Renko bars should display values correctly. The Better Renko bars are also backtestable.


Opening price after the session break

When Renko bars are coded correctly, they should display the correct opening price after a session break. However, many fancy Renko bars are not correctly implemented and value beauty higher than reality. On my machine I have only installed the NinjaTrader default Renko bars and UniRenko bars. As far as I could see, both of them display the correct opening price of the first candle after a session break. All consecutive opening prices are false ....


So please be careful when using exotic bar types. First study them until you understand what you are doing. NinjaTrader allows for creating all sorts of white elephants and trade monsters. It is your responsibility to use them correctly.


Last edited by Fat Tails; October 26th, 2015 at 07:49 PM.
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  #8 (permalink)
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many thanks Fatails,

appreciate the detailed reply, i use a better renko that i'll watch for comparison but only use that chart for PA levels rather than placing actual trades, the one i'm interested in is the 50tick and 1 minute bar charts, for the purpose of price action when it comes to those critical points of open and close,
i can manage the indicators but i need a correct open and close to compare it to,

where does one go to compare???

also the closing price is now changed, from 4.15pm 4.pm, i'm seeing large vol at 4pm but PA continues to 4.15pm
so i'm really confused what closing price to use.

as you mentioned in another thread the correct opening/closing price can be the difference between not getting into a trade or not getting out in time,

regards Angelo

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Angelo1 View Post
many thanks Fatails,

appreciate the detailed reply, i use a better renko that i'll watch for comparison but only use that chart for PA levels rather than placing actual trades, the one i'm interested in is the 50tick and 1 minute bar charts, for the purpose of price action when it comes to those critical points of open and close,
i can manage the indicators but i need a correct open and close to compare it to,

where does one go to compare???

also the closing price is now changed, from 4.15pm 4.pm, i'm seeing large vol at 4pm but PA continues to 4.15pm
so i'm really confused what closing price to use.

as you mentioned in another thread the correct opening/closing price can be the difference between not getting into a trade or not getting out in time,

regards Angelo

If you look for opening prices:

Full session open price at 5:00 PM CST

-> published on CME website

Regular session open price at 8:30 AM CST

-> open a 5 minute chart and take the opening price of the 9:35 AM EST candle


For closing prices:

Settlement price

For closing prices you would ideally use the settlement price, which is the volume-weighted average price of the last 30 seconds of the regular session (3:14:30 - 3:15:00 PM CST). On the last working day of each month a different procedure is used to establish the settlement price. The settlement price is published on the CME website. Some datafeeds such as Kinetick or DTN/IQ also use the settlement price for the daily close. I personally use Kinetick as a data supplier, and this allows me to use the settlement price for calculating GLOBEX pivots and floor pivots.

Regular close

In case that you do not get the settlement price, you can use the regular close at 3:15 PM CST as a proxy for the settlement price.

Last traded price of the full session

This would be the last traded price at 4:00 PM CST. This price is rarely used for futures. As far as I know, CME does not even publish the last traded price, but they publish the last price, which can either be a transaction, a bid or an ask price.


Last edited by Fat Tails; October 26th, 2015 at 07:47 PM.
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Silvester17 View Post
remember a few weeks ago, the daily market closing time changed to 4pm cst

 
Code
Effective Monday, September 21, 2015 the daily CME Globex maintenance period will begin 15 minutes earlier Monday through Thursday from 4pm CST until 4:45pm CST (Trading Halted). 

With this change, the closing times for the following markets will now occur 15 minutes earlier Monday through Friday at 4pm CST. CME Equity, CBOT Equity, COMEX and NYMEX.

Starting September 21, 2015, CME Globex Trading Day for CME Equity, CBOT Equity, COMEX and NYMEX to Close at 4:00 p.m. CT 

•    Settlement time will remain unchanged (3:15 p.m. CT)
I do realize for historical reasons it might be better to still use 4:15 as closing price

Of course you are correct. I have changed the time in my post to avoid any confusion. I was just an old habit.

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