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I use CQG and NT assured me the Daily bars are built from ETH data but when I use the amaPivotsDaily indicator I do not get the correct levels unfortunately. See attached.
Thank you,
Samir
Can you help answer these questions from other members on NexusFi?
You are tempting your luck, as you started with pivots on rollover day.
The pivots are always calculated from the prior day's high, low and close. On rollover day the prior day's high, low and close is the high, low and close of the prior contract. This means that you used data from the September contract to calculate pivots for the December contract.
This is feasible, if you use merged backadjusted data, that compensates for the rollover offset. However, you used merged non-adjusted data, and therefore the pivots shown on your chart are false, because the rollover offset has not been deducted.
When calculating pivots, you either need to use
- single month contract data
- or merged backadjusted data from several contracts
the merge-back adjusted option is checked in NT. I think I may not have been clear on what I'm trying to accomplish though.
When the US market opens today at 930am EST I want the Globex H/L on my chart from the close of yesterday until the open of today. Your indicator seems to look at yesterday's ETH session where as I just want the overnight hours of 430pm to 930am. Perhaps I can accomplish this with a custom session template?
I am 100% sure that the pivots shown on your chart were calculated from the September contract, but displayed for the December contract. This clearly points to a merged non-backadjusted chart (or a software bug).
The pivots indicator is designed to display floor pivots, which are calculated from yesterday's high, low and close. It is in no way designed to display today's overnight high and low. If you wish to display the GLOBEX high and low, you would simply need a different indicator.
The appropriate indicator would be an opening range indicator, which displays both the opening range and the pre-session range. I have posted a simple free version of the opening range indicator here:
Version 2.2 January 31, 2018
The Opening Range is the range obtained from the highest and lowest price of a security during the first minutes of daily trading activity. For example the opening range can be calculated from the first 5, 15 or 30 minutes.
The …
It comes with an option to display the pre-session range. It is possible to select a custom period, for example the period from 3:30 AM CT to 8:30 AM CT (exchange time, equivalent of 4:30 AM ET to 9:30 AM ET).
Please see chart attached below. In case that you do not need it, you may unselect the opening range and just display the pre-session range.