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Sylvester, thanks. You are right. That helped. I've never been to the Session Manager before!
My HIGH is now correct (please see attachment) but my CLOSE is still wrong. Clearly this is because the futures market closes 15 minutes after the CASH market. I need it to use the 4:00 PM value, instead.
If I change the session settings to 9:30 - 4:00, will I suffer any negative consequences? Will there be missing data? Could I have the 2nd session go from 4:00 to 9:30? Would there be a gap of 15 minutes.
Looking at Fat Tails chart, I see that mine now looks like his. This still leaves me with no way to see the OPENING GAP which was was I wanted in the first place. Maybe SessionPivots won't do the trick?
In the first place you asked for an indicator which lays down three lines: high, low and close. The correct value for the close of ES is the settlement value published by CME. As you can see from the document attached, Thursday's settlement price was 1326.50. This is what should display a decent indicator, and this is also the close used to calculate floor pivots. I do not see the point to use a close, which reflects the close of the cash market. The two markets do not necessarily move in parallel. Sometimes the fair value at the time of the close of the cash market can be be higher than than the high or lower than the low of the day.
If you want to see the opening gap, you need to code an indicator that collects both values, yesterday's close and today's open and then colors the range between them. This can be coded by modifiying the anaCurrentDayOHL indicator, and calling the anaSessionPivots indicator from within that modified indicator.
There are several variations of gaps, depending on whether you use the ETH open or the RTH open and whether you compare it to yesterday's ETH high/low, RTH high/low or yesterday's close. Which gap do you look for?
That is precisely what I'm trying to avoid. I MUST have EHT charts for my method. And I can't possibly have duplicates of each chart so I can see the gap. It wastes a tremendous amount of screen space. Also, not having all the info on one chart reduces my edge.
The best solution (and for crying out loud, it's not asking a lot from a computer!) is to just drop a line at the 4:00 PM last price. This seems like such a no brainer, I'm really surprised no such indicator seems to exist.
I'll mess around with the session end/start times, and see if I can get it to fly. I'll post my results back.
If you want the 4:00 PM close, you can use the anaPivotsDailyV33 indicator with the following settings
(a) Session template: change end time from 3:15 PM Central Time to 3:00 PM Central Time, change session start time for night session to 3:00 PM Central Time (that is equivalent to what you suggested, but you should use Central Time for CME)
(b) Set the indicator to 'CalcFromIntradayData' instead of 'DailyBars' and it will catch the 3:00 PM CT close (4:00 PM EST) instead of the settlement price.
The cash markets are HUGE. Stock and option trading engulfs futures trading by orders of magnitude. In my book, CASH is KING. The 4:00 gap is the only one I'm interested in.
I have successfully traded cash markets based on futures charts (because I need the overnight data to determine my trade location). I have triggered orders, for example, on DXD or DDM based on YM. Arbitrageurs make this possible, they remove any significant market discrepancies. Basically, the charts are the same, even on smaller tick charts.
Not withstanding, now I only trade futures, which is an advantage, but the 4:00 close is still the only one I consider a legitimate gap. Remember, futures are a derivative of the cash markets. Sometimes folks forget that! Incidently, my 3200 tick chart nicely illustrates an overnight test of the cash close, nearly to the tick. The CME close was shrugged off.
Your indicator now shows the cash close nicely. I was worried about problems with the new session starting at 4:00, and having a 15 minute break 15 minutes later. However, this 1 minute chart seems to show no price gap between bars. They print smoothly, as though there were no trading halt.
I'm going to try it out this week, and I'll post back if there are any issues. Otherwise, looks good to go!
fwiw, Fat Tails, if this is true, you may wish to play around with values calculated on the cash closing. Instead of 'Floor' or 'Woodies' I give you permission to call them 'Fat Tails Pivots' Seriously, if you use pivots, you may find a sharper edge there...
As last left, it correctly prints H,L and cash market Close.
Session manager must be set for 4:00 pm session end.
My charts now leave out Friday data after 4:00 pm, which seems obvious now.
So, if I want to trade Sunday evening opening, I am missing important data.
It looks like the only work around is an entirely new indicator, that simply drops a line at 4:00pm EST every week day. This is the only way I can get the cash close, without screwing up the chart.
I was really enjoying using this indicator, it's very nice.
Thanks to Sylvester and Fat Tails for all their help, trying to get this to work for me!
You do not need to leave out Friday evening's data. Just add a session to your session template. Did you try this one?
Alternatively, you can also use a session template, which has three sessions per day, and set the indicator to use the second session to display yesterday's high, low and close. In CalcFromIntradayData mode it will display all values from the second session only.
