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Pivot Point Calculation
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Pivot Point Calculation

  #21 (permalink)
Elite Member
Toronto, Ontario
 
Futures Experience: Advanced
Platform: NinjaTrader, Multicharts
Broker/Data: IB, IQfeed
Favorite Futures: ES, CL
 
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Posts: 203 since Oct 2009
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FYI, IB does set the close field to equal the settlement price. This applies to all the CRB components which I do calculate pivots for. I haven't confirmed iqfeed - not using their dde.




Fat Tails View Post
There is nothing correct in trading. It is a game of n market participants using n different approaches. The floor pivot was used by floor traders because they did not have calculators and computers. So they relied on information available prior to the session. For the floor pivots you would take the settlement price, not the close. The floor traders calculated their floor pivots using the RTH (floor) session.

Now floor pivots are nothing special. They work as a self-fulfilling prophecy. A gathering point for initiated traders to take the bus back into the valley after having enjoyed the panorama of the peak.

So the question is, which pivots are used by the majority of the traders, or let us say the traders, who make up for most of the volume. Professional traders tend to take the official numbers from the stock exchange, so the correct values for open high and settlement for ES can be found under www.cmegroup.com every day. The values published there refer to the trading session. A trading session is characterized by a common settlement date. Pay attention, there are a number of two-day-sessions around holidays, so you need to calculate the two-day-session pivots (5 days for ES per year). For ES the published high and low is the Globex full session high and low, the settlement would be the weighted average price of all trades during the last 30 seconds of the regular session, so for ES the settlement price is rarely more than 3 ticks off the close.

For bonds and agricultural commodities the settlement price is often a couple of hours earlier than the closing price. So there is a significant difference. I would opt for the settlement price.

For currency futures, however, I would not take the settlement price. The currency futures market is relatively small compared to the FOREX market, so it will follow FOREX anyhow and nobody cares about the settlement time of GLOBEX. The correct close for FOREX would be the New York close at 5 PM Eastern Time.

Practical Application to Trading

You cannot generate the settlement times easily from intraday data. You would need an indicator that "knows" the settlement period of each futures contract, stored in a data base, and calculates the settlement price from tick data by averaging all trades over the settlement period. Therefore all pivot indicators that work with intraday data take the close instead of the settlement price. This is fine for

- index futures (3 ticks off means that the pivots are only 1 tick off)
- currency futures and FOREX (you want the close anyhow)

but it is bad for

- bonds and commodities

If you want better than this, you have two options:

(a) you work (look up correct values on the website and enter them manually into the indicator panel)
(b) you pay for it (pay a decent data feed that delivers daily data with settlement prices)

In case you use Ninjatrader, and you are both lazy and poor, there is a third option:

You can use the free daily Kinetick data. As far as I have seen, it has the settlement price for bonds and commodities (you would need to check this).

Close all your intraday charts and open one daily default chart. Connect to Kinetick Daily Data. Reload the chart data. Your daily data now shows the settlement prices. Disconnect. Connect to your regular data feed. Now open intraday chart and apply the standard NinjaTrader pivots indicator or the SessionPivots indicator in DailyBars mode and you are done.


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  #22 (permalink)
Elite Member
Quebec
 
Futures Experience: Intermediate
Platform: NinjaTrader wt Rancho Dinero's profiling tools
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Fat Tails View Post
I have rapidly made the changes of the pivots indicator. Could you please test, whether it works properly?

I have not yet tested it myself, as I do not use NT 6.5. anymore. Thank you.

I tested it and it works as expected. I validated the outputs with the Excel file. Both provide the same values.

Can you tell me what this parameter means or does ?

Intraday Session = True/False

have not found a use for it.

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  #23 (permalink)
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Hi Snoop,

for all futures contract the daily data of IB does not use the settlement price, but the close. I just checked it again.

If you have found a secret button to display daily data with the settlement price, please let me know!



Snoop View Post
FYI, IB does set the close field to equal the settlement price. This applies to all the CRB components which I do calculate pivots for. I haven't confirmed iqfeed - not using their dde.


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  #24 (permalink)
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trendisyourfriend View Post
I tested it and it works as expected. I validated the outputs with the Excel file. Both provide the same values.

Can you tell me what this parameter means or does ?

Intraday Session = True/False

have not found a use for it.


Depending on your local time zone this condition has to be set to true of false, if you want to display RTH pivots. It is weakness of those piovts, as NT 6.5. does not have preconfigured sessions.

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  #25 (permalink)
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Fat Tails View Post
Depending on your local time zone this condition has to be set to true of false, if you want to display RTH pivots. It is weakness of those piovts, as NT 6.5. does not have preconfigured sessions.


I tried both options, ie, True and False and it does not seem to change anything.

My workaround to have the RTH pivots is to modify the parameter named "Session Begin GLOBEX index" and set its value equal to 08:30 Central Time. With all the new indicators you have done recently i am about to change to NT7. You deserve a big thank you.

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  #26 (permalink)
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trendisyourfriend View Post
I tried both options, ie, True and False and it does not seem to change anything.

My workaround to have the RTH pivots is to modify the parameter named "Session Begin GLOBEX index" and set its value equal to 08:30 Central Time. With all the new indicators you have done recently i am about to change to NT7. You deserve a big thank you.

That is not a workaround, it is just the required setting of the RTH session, as it starts at 8:30. With this setting you will get pivots calculated from the RTH high, RTH low and close. With RTH the indicator cannnot use the settlement price from daily data.

I am already thinking about a concept to further improve the indicator, but that will be NT7 only. Always learning a bit, in the end it will be perfect.

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  #27 (permalink)
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I have another question. What's the difference between both indicators:

CMIPivotsDaily and CMIPivotsDaySession.


Quoting 
I am already thinking about a concept to further improve the indicator

Something that is missing and that could be usefull for many indicators is a generic way to split a day for a specific instrument. For example, using text files to define what you want (could be created in Excel):

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With this flexible representation you could split any instrument in as many chunks as you want. Within the indicator parameters we would simply need to select which chunk we want to process. Nothing would prevent someone to define 3 or more chunks by instrument. one chunk to represent the overnight session, another to represent the RTH and another to represent the whole day going from 15:30 to 15:15. You could then rename your indicator "BetterPivots" ;-)

How to read a text file:
https://futures.io/free_downloads/ninjatrader-7/indicators/631-download.html?view


Last edited by trendisyourfriend; September 5th, 2010 at 04:53 PM.
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  #28 (permalink)
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trendisyourfriend View Post
I have another question. What's the difference between both indicators:

CMIPivotsDaily and CMIPivotsDaySession.


They are only two differences:

(1) The CMIPivotsDaySession is already preconfigured for the RTH session (including your "workaround").
(2) It plots dashed lines (in case you want both ETH and RTH session pivots.

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  #29 (permalink)
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Close field does = settlement for me. I trust you are looking at CLOSE and not LAST?

For example, let's pick 3 contracts: 1. ESU0 2. CLV0 3. ZCZ0
Straight from IB (API or TWS), the close are 1. 1103.50 2. 74.60 3. 464.50

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These prices are equal to the settlement listed at their related CME pages.


Fat Tails View Post
Hi Snoop,

for all futures contract the daily data of IB does not use the settlement price, but the close. I just checked it again.

If you have found a secret button to display daily data with the settlement price, please let me know!


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  #30 (permalink)
Elite Member
Berlin, Europe
 
Futures Experience: Advanced
Platform: NinjaTrader, MultiCharts
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Fat Tails's Avatar
 
Posts: 9,651 since Mar 2010
Thanks: 4,226 given, 25,600 received
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Snoop View Post
Close field does = settlement for me. I trust you are looking at CLOSE and not LAST?

For example, let's pick 3 contracts: 1. ESU0 2. CLV0 3. ZCZ0
Straight from IB (API or TWS), the close are 1. 1103.50 2. 74.60 3. 464.50

These prices are equal to the settlement listed at their related CME pages.

I do not know how to transfer prices straight from the API.

(1) A daily chart of TWS does not show the settlement price of 74.60 but the last traded price of the session at 74.34

(2) NinjaTrader connected to TWS: dito, last traded price is shown

I do not want to manually enter all the settlement prices in my NinjaTrader data base!


Last edited by Fat Tails; September 6th, 2010 at 07:14 AM.
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