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Pivot Point Calculation
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Pivot Point Calculation

  #31 (permalink)
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trendisyourfriend View Post
I have another question. What's the difference between both indicators:

CMIPivotsDaily and CMIPivotsDaySession.



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


Hi Yvan,

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.

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  #32 (permalink)
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Floor Pivots on Labour Day

CME and NYMEX

All trades made on Sunday evening and Labour Day are for trade date Tuesday, so there is no session close on Monday.

NinjaTrader does not allow to enter holidays in the session manager, so it will display false sessions. This happens five times per year.


Floor Pivots (ETH)

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 12:54 PM.
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  #33 (permalink)
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What about if i plot pivots based on RTH only? Your description assumes we use the whole day. Do we need to use the highest peak and lowest peak reached during RTH Monday + Tuesday for Wednesday ?

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  #34 (permalink)
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trendisyourfriend View Post
What about if i plot pivots based on RTH only? Your description assumes we use the whole day. Do we need to use the highest peak and lowest peak reached during RTH Monday + Tuesday for Wednesday ?

The answer is simple. The RTH session is the floor session. The floor is closed on Labour Day. So you will calculate RTH pivots from Tuesdays session only.

Anyhow, holiday sessions are narrow range days, but you cannot count that as an inside day. So often both high and low of the holiday are quickly taken out on the following day.

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  #35 (permalink)
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Fat Tails View Post
The answer is simple...

That was a test ;-)

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  #36 (permalink)
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See picture.

The pivots for today work better using Wide, CalcFromIntradayData, and SessionBegin Globex Index: 08:30. Using Friday's values as you suggested do not fit the reality.

For some reason the Low shown is 1103.25. Don't know why this number !!!

EDIT: I have finally settled on this set of values:
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Pivot Point Calculation-20100907_es_pivots.jpg  

Last edited by trendisyourfriend; September 7th, 2010 at 10:01 AM.
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  #37 (permalink)
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trendisyourfriend View Post
See picture.

The pivots for today work better using Wide, CalcFromIntradayData, and SessionBegin Globex Index: 08:30. Using Friday's values as you suggested do not fit the reality.

For some reason the Low shown is 1103.25. Don't know why this number !!!


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.

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Last edited by Fat Tails; September 7th, 2010 at 10:33 AM. Reason: chart added
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Fat Tails View Post
I am sure that NinjaTrader 8.0 will have a holiday calendar as part of the master data of each instrument.

MultiCharts has a holiday calendar.

Mike

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  #39 (permalink)
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Big Mike View Post
MultiCharts has a holiday calendar.

Mike

Hi Mike,

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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Personally, I just use the figures from mypivots.com each day.

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