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Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
Hi All,
Could someone please assist with setting up the correct globex pivot levels with Ninjatrader 6.5? Specifically for the TF contract. I just switched to the Ninja platform and noticed that the pivots are way off so I've been manually putting them on my charts each day. I know there's a method by using Kinetick but I believe that's for NT7 only.
I've read a few threads regarding this but have not found out an exact way to fix this. Additionally, I've noticed that the NT 6.5 pivot levels change depending on the type of charting style you're using. For example, a 399 tick chart gives me pivot levels that are a few ticks off from say a 5 minute chart, etc. In the past, I've manually put them on my charts to make sure they are correct but that was on a different platform and I'm sure there's an easier way.
By the way, the particular pivots indicator I've been using is the "Session Pivots for IntradayCharts v8.4".
Here's what I've tried so far:
1. Change session times on my chart properties to reflect the correct TF trading hours per my computer clock. Designated to calculate from intraday session, etc. That didn't work for some reason.
2. Manually enter in the H, L and C. Still didn't work.
I'm sure I'm missing something simple but would greatly appreciate some help with this if possible.
TF is traded at Nybot, no Globex session. You get the correct values from the End-Of-Day Report for TF, which is published by ICE for every trading day.
The daily settlement price for TF is the VWAP of all trades occuring between 4:14 and 4:15 PM Eastern Time. The TF session starts at 8:00 PM and ends at 6:00 PM Eastern Time. This means that the settlement does not come at the end of the session, but about 1:45 min prior to the close. This means that TF is different from CME traded index futures. There is another difference: Nybot does not have 2-day-sessions, so you do not need to care about that. TF actually has 5 trading days more per year than the CME traded index futures.
How to calculate pivots
All pivot indicators, if you use them in CalcFromIntraday mode, will take the close as a proxy for the settlement. This works well for ES, YM and NQ, as the settlement will be at max. 3 or 4 ticks off, but it does not work for TF with a settlement that comes a couple of hours before the close. The only way to get the TF pivots 100% correct with NT 6.5. for all types of charts is to use the SessionPivots indicator in DailyBars mode. But for that you need a decent datafeed, which offers correct daily data (showing the settlement instead of the close).
An example
To understand, why the indicator does not work in CalcFromIntraday mode have a look at last Wednesday (August 11). It was a downtrending day and the actual low of the session occured after the close. If you want to determine High, Low and Settlement with the pivot indicator, you could either
(a) select a session that closes at 4:15 PM -> the indicator will display (nearly) correct settlement, but miss the correct low (610.3) and display the low of the selected session instead (616.6)
(b) select the correct session from 8:00 PM to 6:00 PM, which will get you the correct high and low, but a false close/settlement value (610.3 instead of 617.4)
Conclusion
You cannot use the Pivots indicator and the SessionPivots indicator in CalcFromIntraday mode for instruments that have a settlement mid-session. This includes TF, bonds and physical commodities. For CME traded index and currency futures you can use the indicators in CalcFromIntraday mode. For currency futures the settlement price is irrelevant, because the FOREX market is larger and FOREX "settles" at the end of the futures session and not at the futures settlement time.
So your only option for TF with NT 6.5. is to get a decent daily data feed which returns the correct values and use the indicator in DailyBars mode! If you do not want to pay for the data, you have to enter the values manually.
One reason to switch to NT 7.0
With NT 7.0, the decent daily data feed comes free-of-charge. You can connect to Kinetick EOD first for daily data and to your usual data provider second.
(2) Then enter the high, low and settlement price for TF from the ICE/NYBOT website.
The indicator will now display correct pivots for the day following this trading day.
You cannot display correct pivots for several days in UserDefinedValues mode, the indicator will always display these pivots, as they are mechanically calculated from the values that were manually entered.
You know you have become a professional trader when you can correctly set up pivots in NT. It's a right of passage and just like profitablity, only 5% of traders will ever achieve it. Good luck to you on your journey.
Do not blame NinjaTrader for this. I have tried 8 or 9 other software packages and none of them was better.
The point is that it is difficult - or impossible - to get correct values for pivots from intraday data. You would have to calculate the volume weighted average price over the settlement period by loading tick data separately from your chart data, etc.
Only solution: Pay for the correct daily data.
NinjaTrader 7 has made it easy because the correct data comes free of charge. Your statement remains true for NinjaTrader 6.5.
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
Fat Tails, thank you so much for that info! After many years of trading the ES I decided to switch over to trading the TF and absolutely love it's straight forward price action vs. trading the ES' slower, mostly sideways (computer manipulated) price action. TF is like the CL of the stock indexes! The only issue I've been having is finding an accurate pivots indicator which has become somewhat of a joke for me. You've provided some great light on this though.
I'm a pivots trader and I absolutely need to have the correct price levels which is why I've manually drawn my pivot levels and been so anal about it. I was just hoping for a better/easier/accurate way of doing this. I'm going to look into the NT7 with Kinetick option as well.
Question, do you trade or look at TF? And if so, what is your preferred method of gathering the correct pivot price levels (if you use them).
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
Hi Vegasfoster,
Thank you for the comment. I've made a good living trading but recently switched to Ninja because of my frustration with paying for charting packages when good data can be obtained free. I guess I've now discovered the downside of free as well with regards to my "pivot dilema". Lol!
Question, do you use pivots on your Ninja charts? And if so, what is your preferred method? Just looking for a variety of options here.
Yes, I do trade TF. I use floor pivots for my trading. Kinetick has the correct values for high, low and close. Just install NT 7.0, use the SessionPivots V2.3 indicator in DailyBars mode. That is all.
The SessionPivots indicator also displays yesterday's high, low and close. This allows you to check from time to time, whether the values are correct. I have started a thread on how to use these pivots, which can be found here:
I am getting quite a number of messages and mails, how to configure the various pivot indicators, so I decided to post a brief summary and explain via a few examples, how to draw the pivots where you want them. I attach the SessionPivots indicators for …
The chart below shows the pivot indicator in dailybars mode with Kinetick data. This is a personal version that I have not published yet, It also shows the pivot range. Today's pivot range is narrow, because yesterday was a balancing day.
Broker: Advantage, Trading Technologies, OptionsCity, IQ Feed
Trading: CL, NG
Posts: 1,038 since Jul 2010
Thanks Given: 1,713
Thanks Received: 3,863
Fat Tails, thank you again for your help with this. I owe you big time! I installed NT7 with the Kinetick connection, downloaded the pivots you provided and everything is correct now! This will save me a lot of time now that I don't need to manually draw the pivots on every day. If I could ever help you with anything, please don't hesitate to ask.
Thank you for your assistance and best of luck with the markets!
