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Globex 24 hour session times for pivot points
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Globex 24 hour session times for pivot points

  #1 (permalink)
Melbourne, Australia
 
Trading Experience: Intermediate
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Globex 24 hour session times for pivot points

Hi,

I wanted to check what settings people use for session times in Sierra to assist with setting daily pivots for 24 hour globex sessions and in particular for trading index futures.

I have read the following two pages:

Pivot Points Study - Sierra Chart

and

http://www.cmegroup.com/trading_hours/equities-hours.html

However, they have left me rather confused.

If I use New York time as the time setting in the particular installation of SierraChart, is the Sierra page correct in stating that the session times for index futures should be from 16:15:00 to 16:14:59

I ask because it does not easily match the information on the CME page

Thanks

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  #2 (permalink)
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I agree this is a bit confusing at first

GLOBEX defines these sessions for the ES future contract:
1. from 17:00 to 15:15 CST
2. from 15:30 to 16:15 CST

Between brackets: this means of course, there is a break from 15:15 to 15:30 (15min) and another break from 16:15 to 17:00 (45min).


It is also probably wiser to convert these times to GMT; at least it makes more sense to me as for defining the daily candle, and out of curiosity, to also understand why GLOBEX chose these specific timings...

So in GMT for the same example as above, this would be:
1. from 00:00 to 22:15 GMT
2. from 22:30 to 23:15 GMT

Now, logically a day starts at midnight, right?

I believe it should be clearer as to what GLOBEX considers a day; to iterate it is from 00:00 GMT to 23:15 GMT.
Or back to the original time zone, from 17:00 CST to 16:15 CST.

This is what I also personally use to draw my daily charts. I believe most traders do so...

Since you are in Australia, you'd probably prefer reference to standard GMT for your time conversions, and then take it from there to define your local time, new york or other.

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  #3 (permalink)
Market Wizard
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Fadi View Post
I agree this is a bit confusing at first

GLOBEX defines these sessions for the ES future contract:
1. from 17:00 to 15:15 CST
2. from 15:30 to 16:15 CST

Between brackets: this means of course, there is a break from 15:15 to 15:30 (15min) and another break from 16:15 to 17:00 (45min).


It is also probably wiser to convert these times to GMT; at least it makes more sense to me as for defining the daily candle, and out of curiosity, to also understand why GLOBEX chose these specific timings...

So in GMT for the same example as above, this would be:
1. from 00:00 to 22:15 GMT
2. from 22:30 to 23:15 GMT

Now, logically a day starts at midnight, right?

I believe it should be clearer as to what GLOBEX considers a day; to iterate it is from 00:00 GMT to 23:15 GMT.
Or back to the original time zone, from 17:00 CST to 16:15 CST.

This is what I also personally use to draw my daily charts. I believe most traders do so...

Since you are in Australia, you'd probably prefer reference to standard GMT for your time conversions, and then take it from there to define your local time, new york or other.


I am sorry that this is not entirely correct. For futures there are contract specifications. This means that a trading day starts at a specific time and ends at a specific time. If you set up a trade and close it out within the trading day, simple margin rules apply. If you hold the trade over the end of the trading day, overnight margins apply. Overnight margins are based on the settlement price.

If you calculate Globex (full session) Pivots, there is only one way to do it. Take the data published by the exchange every day. The data published by the exchange always is

-> the high of the contractual trading day
-> the low of the contractual trading day
-> the settlement price which is determined at the end of the regular session

If you calculate Floor (regular session) Pivots, there is also only one way to do it. You would use the following data

-> the high of the regular (open outcry) session
-> the low of the regular (open outcry) session
-> the settlement price which is determined at the end of the regular session


Ways to obtain false pivots

(1) If you convert the times to GMT, you will run into disaster. The UK and the US have different daylight savings schedules. Never even dare to convert anything, as you will have to change your reasoning 4 times per year.
By the way, the conversion of the times above to GMT is false. The time difference between CT and GMT is six hours, not five.
(2) The reasoning that logically a day starts at midnight is also false. The stock market, which is the underlying trades in EST, the futures trade in CT. There is no midnight that applies.
(3) The idea to show daily candles in GMT is surreal. Daily candles are always shown in exchange time. The data published by the exchange should be used. This is what all professional traders and data suppliers do.


Simplicity, Example ES

-> The contractual trading day starts at 5:00 PM CT and ends at 4:15 PM CT(since November 2012)
-> The open outcry session starts at 8:30 AM CT and ends at 3:15 PM CT
-> The settlement price is calculated from all trades between 3:14:30 PM CT and 3:15 PM CT
-> Daily bars are built from the contractual trading day and the settlement price
-> Globex Pivots are calculated from the contractual trading day
-> Floor Pivots are calculated from the open outcry session


Sources, Example ES

For contract specifications, settlement times and daily data published by the exchange please see links below

https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_contract_specifications.html
http://www.cmegroup.com/market-data/settlements/settlements-details.html
https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_settlements_futures.html

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  #4 (permalink)
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Thanks to both of you for answering my question.

Many, many thanks to Fat Tails for providing simple illustrations to make it crystal clear for me.

Fadi, for Forex GMT is useful to me and does help as there is no exchange as such. Sierra also provides UCT, which is GMT.

For Futures, I want to try out both the Globex and Floor Pivots described by Fat Tails.

Thanks again

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  #5 (permalink)
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i'm been using https://www.sierrachart.com/index.php?l=doc/PivotPoints.html#PivotPoints_Daily but not sure if this is the right study/approach anymore...

after searching and trying so many methods, honestly i'm at a lost of what's "right" or "wrong"

as per https://www.sierrachart.com/index.php?page=doc/PivotPoints.html#PPDailyChartNumber, i'm referencing a daily historical chart (which i confirmed sierra historical chart ohlc are equal to with cme (https://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_settlements_futures.html)) to do the calc

however, i'm still not confident in the results

anyone else using sierra charts have the pivot points figured out willing to share their study settings or even the .cht?

thank you very much for your guidance and help

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  #6 (permalink)
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Hi what1thingnow,
I have also spent countless hours on figuring out the correct pivot levels using Sierra charts and this is what I found, hope it helps you.

FORMULA:
My aim is to use traditional classic pivot levels (rather then others like Camarila, Fib, Woddies etc) and the calculation formula for the classic is 0 (zero) in the Sierra chart study. There are 26 formulas to use as you probably know already and they explained here: https://www.sierrachart.com/index.php?page=doc/PivotPoints.html#PPFormulas

SESSION TIMES:
The legendary Fattails explains this very nicely here
https://futures.io/traders-hideout/40859-actual-floor-pivot-point.html#post607915

So for US centric contracts I use US session times and for more gloabaly traded contracts like commodities I use Globex times.
In Sierra for Globex session open a daily bar chart using Historical daily bars.
For US seesion open a daily chart using Intraday only and set the start time/end time.
Then get the pivot study to use one of these charts for the calculations.

You can also double check your levels using these two sites:
Pivot Points - Free Daily Pivot Points and Camarilla Levels (note that Indexes are not futures on this site)
https://www.investing.com/technical/commodities-pivot-points


Hope this helps

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  #7 (permalink)
Vancouver, BC
 
 
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cactus363 View Post
FORMULA:
My aim is to use traditional classic pivot levels (rather then others like Camarila, Fib, Woddies etc) and the calculation formula for the classic is 0 (zero) in the Sierra chart study. There are 26 formulas to use as you probably know already and they explained here: https://www.sierrachart.com/index.php?page=doc/PivotPoints.html#PPFormulas

same goal for me - good to know i'm using the right one


cactus363 View Post
The legendary Fattails explains this very nicely here
https://futures.io/traders-hideout/40859-actual-floor-pivot-point.html#post607915

For US seesion open a daily chart using Intraday only and set the start time/end time.
Then get the pivot study to use one of these charts for the calculations.

very interesting, i only trade the ES, NQ and YM

i was using daily bar chart using Historical daily bars because they are the actual values published by the exchange (globex pivots)

btw the other day, the market turned to the tick of the pivots calculated using the historical daily bars, so i'm thinking i'll move forward with floor pivots & GLOBEX pivots on my charts




since i'm only interested in futures, i guess the goal is to get it matching this

thank you for your help, cross fingers this will work

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  #8 (permalink)
Vancouver, BC
 
 
Posts: 31 since Dec 2015
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damn, still not matching https://www.investing.com/technical/futures-pivot-points DAILY

from https://futures.io/traders-hideout/40859-actual-floor-pivot-point.html#post607915

Quoting 
Personally, I use floor pivots for index and interest rate futures, but use GLOBEX pivots for currency and commodity futures. Again the only difference between them is the input:

- regular session high and low for floor pivots
- full session high and low for GLOBEX pivots

Both of them should use the settlement price as a substitute for the close.

settlement price...

according to https://quant.stackexchange.com/questions/2307/the-difference-between-close-price-and-settelment-price-for-future-contracts

Quoting 
For S&P and NASDAQ, the settlement price of the lead* month contract is the midpoint of the closing range determined based on pit trading activity between 15:14:30-15:15:00 Central Time (“CT”). For all other equity indices, the Volume Weighted Average Price (VWAP) of trades executed on Globex between 15:14:30-15:15:00 CT is used to determine the settlement prices for the lead month contracts. Back month contract months are settled to traded or quoted spread relationships. E-mini S&P and Nasdaq are settled to the value derived from the Big S&P and Nasdaq.

since the sc formula 0 for pivot is

Quoting 
Pivot Point (PP) = (Yesterday's High + Yesterday's Low + Yesterday's Close) / 3

yesterday's close won't be the settlement price

(i don't think setting the DAY SESSION time to end at 16:14:59 v.s. 15:59:59 will make a difference since neither of them will give us the settlement price)

hence there will always be a discrepancy between sc calculated floor pivots vs the sites?


-----------

i guess the good news is at least my globex ones (referring to daily historical chart) matches exactly to https://www.barchart.com/futures/quotes/ES*0/cheat-sheet

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  #9 (permalink)
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hugely helpful,tnx all

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