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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.
Can you help answer these questions from other members on NexusFi?
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.
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.
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:
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.
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.
You may succeed.