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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.
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
Can you help answer these questions from other members on NexusFi?
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.
Successful people will do what unsuccessful people won't or can't do!
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
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
SESSION TIMES:
The legendary Fattails explains this very nicely here
The floor pivots date back to a time, when no handhelds or PCs were available. It is based on the high, the low and the close(settlement) of the prior session. The advantage of the floor pivots was that they were easy to calculate and that they could …
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.
same goal for me - good to know i'm using the right one
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
The floor pivots date back to a time, when no handhelds or PCs were available. It is based on the high, the low and the close(settlement) of the prior session. The advantage of the floor pivots was that they were easy to calculate and that they could …
(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?
