this is long implemented with NT 7.0 You can define session templates that split the day into two or three sessions (night session, day session, after-session) The SessionPivotsV23 indicator for NinjaTrader will then calculate pivots based on the second session, if you select the correct settings. I am not going to play around with the half-dead NT 6.5. and back-implement something, which is already alive and working for NT 7.0.
Again the problem is the settlement price, which can not be correctly derived from intraday data.
For CME traded instruments this is the way to calculate correct floor pivots:
Monday's pivots are calculated from Friday's high, low and settlement price.
Tuesday's pivots are calculated from Friday's high, low and settlement price.
Wednesday's pivots are calculated from the high and low of the Monday/Tuesday two-day-session and Tuesday's settlement price.
For further information see CME Holiday Calendar.
Last edited by Fat Tails; September 6th, 2010 at 11:54 AM.
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The CMIPivots simply is an old indicator, which cannot cope with holidays. I will not modify it anymore.
NinjaTrader 6.5. had no concept for sessions, so I introduced these with the indicator. When NinjaTrader 7.0 came up with sessions, the next step was to introduce a holiday calendar to catch the two-day-sessions. So the SessionPivots indicator for NT 7 deals with them. I am sure that NinjaTrader 8.0 will have a holiday calendar as part of the master data of each instrument.
All this is gradually evolving. For the RTH session also the NinjaTrader7 indicator still has some weaknesses. It catches the close instead of the settlement, and it may not catch correct high and low on holidays either. I think one or two versions further, it will be close to perfect.
Last edited by Fat Tails; September 7th, 2010 at 09:33 AM.
Reason: chart added
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you are trying to lure me into MultiCharts. Singing the song. You may succeed.
Three years ago I used QuoteTracker, when it was still freeware. It already had sessions and a holiday calendar. Jerry was more attentively listening to his customers, although QuoteTracker is sort of a toy.
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