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CL #F - Quotes?
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CL #F - Quotes?

  #1 (permalink)
Elite Member
Nürnberg, Germany
 
Futures Experience: Intermediate
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Broker/Data: IB/Kinetick
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CL #F - Quotes?

Hi guys

Today I wanted to draw some lines on my contiuous Crude Futures contract chart (CL #F). I get quotes from Kinetick for the Ninja Trader and from eSignal. I opened a weekly chart on both platforms and noticed essentially different historical quotes. now I wonder what is wrong there ..

First is the NT chart, you see the High at about 180 and the low at about 60

Second picture is from barchart.com. It is the same chart that eSignal provides, High at 145 and low at 35. Completely different to Ninja.

The 3rd picture is from the CME website: Amazing to see that their High is at 145 which is like in the eSignal chart, but their low at 55 is like on the NT chart. Amazing.

Does anyone have an idea where this comes from and also which High and Low should be considered as the "one and only"?

Thank you!



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CL #F - Quotes?-1.jpg   CL #F - Quotes?-2.jpg   CL #F - Quotes?-3.jpg  
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  #2 (permalink)
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  #3 (permalink)
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Please read this thread first

https://futures.io/brokers-data-feeds/7574-crude-oil-low-correct.html


#F denotes a continuous futures contract. There are various ways of building such contracts. You will find non-merged backadjusted, mergebackadjusted and spliced contracts with various rollover dates. Some data providers such as Pinnacle use a fixed calendar day as rollover date, other use open interest or volume crossover, some use contract expiry.

So you will always have a selection of various values.

#F is a synthetic contract. Which type of synthetic contract you use depends on your timeframe and on what you are trying to achieve. For backtesting a spliced continuous contract is worthless, as it does not take into account rolling cost. It is up to you to select the tool that you need. Please read the documentation of your data provider.

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  #4 (permalink)
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Wonderful, thank you ...

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  #5 (permalink)
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PowerM View Post
Wonderful, thank you ...

Not what you had hoped for? CL ist actually one of the most difficult cases, because it rolls monthly and everybody uses different roll dates.

If you take bond, index or currency futures, roll dates are known and can be found on the exchange site. So the only difference is the method used to merge the contracts. But for CL things are getting more difficult as everybody has a different roll date.

https://futures.io/free_downloads/educational_manuals_ebooks_videos/628-download.html?view

I rolled into CL 03-11 on Monday. Due to Martin-Luther-King Day there is a combined session for yesterday and today, cannot cut that into two. Monday's volume is insignifcant, Tuesday's volume has already shifted to the new contract. Correct rollover date for volume crossover is therefore Monday. I guess that many will select a different roll date.

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  #6 (permalink)
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Fat tails, that "wonderful" was not ironical, i was only happy that someone could bring a light into my dark
Actually I just began with drawing lines into future charts, so i never noticed this issue before. I am trading on range charts with only 3 days back or so, so normaly no need to know what happened years before.
So I understand that this problem is mainly on CL but not on 6E or 6B due to their more clear rollover date.

By the way: concerning daily, weekly and monthly pivot levels I rely on eSignal who mentioned that they would get an "internal file" for the pivots, which as a consequence would have the advantage that the time zone does not influence the pivots at all. I suppose that monthly pivots dont make sense in futures trading, do you disagree? i know that it depends from one`s own preferences, but possibly it is nonsense to use them.

Also "mypivots.com" does not publish monthly numbers for them.

In general I only use or want to use pivots as S/R, same with highs and lows. And now I should think about following your link below ..


Fat Tails View Post
Not what you had hoped for? CL ist actually one of the most difficult cases, because it rolls monthly and everybody uses different roll dates.

If you take bond, index or currency futures, roll dates are known and can be found on the exchange site. So the only difference is the method used to merge the contracts. But for CL things are getting more difficult as everybody has a different roll date.

https://futures.io/free_downloads/educational_manuals_ebooks_videos/628-download.html?view

I rolled into CL 03-11 on Monday. Due to Martin-Luther-King Day there is a combined session for yesterday and today, cannot cut that into two. Monday's volume is insignifcant, Tuesday's volume has already shifted to the new contract. Correct rollover date for volume crossover is therefore Monday. I guess that many will select a different roll date.


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  #7 (permalink)
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PowerM View Post
...So I understand that this problem is mainly on CL but not on 6E or 6B due to their more clear rollover date.

Even if the rollover date is the same there are some differences between the continuous and individual contracts. For these different users the weekly pivots might be different during the week following the rollover. One week needs to pass before you can expect the same pivots in both groups.

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  #8 (permalink)
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PowerM View Post
By the way: concerning daily, weekly and monthly pivot levels I rely on eSignal who mentioned that they would get an "internal file" for the pivots, which as a consequence would have the advantage that the time zone does not influence the pivots at all. I suppose that monthly pivots dont make sense in futures trading, do you disagree? i know that it depends from one`s own preferences, but possibly it is nonsense to use them.

Also "mypivots.com" does not publish monthly numbers for them.

In general I only use or want to use pivots as S/R, same with highs and lows. And now I should think about following your link below ..

To get correct pivot levels you have to use the session times of the exchange. You can easily display correct pivots with NinjaTrader. Example: floor pivots for ES are calculated from settlement price, high and low of the floor session. Settlement is collected from daily data (intraday is not possible), so you need a data provider who has that settlement price in its daily (Kinetick EOD or ESignal). High and low of the floor session is collected from intraday data, but of course you need to set up appropriate sessions by using the Ninjatrader session manager first.

Today is a very nice example, because you have to calculate the pivots from Friday's value (no trading session with trading date of Monday). Friday's high, low and settlement for ES were

RTH 1290, 1277 and 1289.50 -> floor pivot PP = 1285.50
ETH 1290, 1274.25 and 1289.50 -> floor pivot PP = 1284.50

MyPivots only has the ETH pivots, that is 1284.50 for PP. These are not the original floor pivots.
PivotFarm only has the RTH pivots, that is 1285.50 for PP.
I do not know what ESignal displays.

For NinjaTrader you can get both, ETH and RTH pivots by using the correct template and the SessionPivots indicator.

I also use weekly and monthly pivots. No problem, if you use backadjusted contracts.

Attached Thumbnails
CL #F - Quotes?-es-03-11-30-min-18_01_2011-eth.jpg   CL #F - Quotes?-es-03-11-30-min-18_01_2011-rth.jpg  
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  #9 (permalink)
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*ARGH* I cannot display that chart here, as eSignal is running on my notebook, but their PP is clearly 1.284,58 on ES #F .. ok I will think about that .. thaank you!



Fat Tails View Post
To get correct pivot levels you have to use the session times of the exchange. You can easily display correct pivots with NinjaTrader. Example: floor pivots for ES are calculated from settlement price, high and low of the floor session. Settlement is collected from daily data (intraday is not possible), so you need a data provider who has that settlement price in its daily (Kinetick EOD or ESignal). High and low of the floor session is collected from intraday data, but of course you need to set up appropriate sessions by using the Ninjatrader session manager first.

Today is a very nice example, because you have to calculate the pivots from Friday's value (no trading session with trading date of Monday). Friday's high, low and settlement for ES were

RTH 1290, 1277 and 1289.50 -> floor pivot PP = 1285.50
ETH 1290, 1274.25 and 1289.50 -> floor pivot PP = 1284.50

MyPivots only has the ETH pivots, that is 1284.50 for PP. These are not the original floor pivots.
PivotFarm only has the RTH pivots, that is 1285.50 for PP.
I do not know what ESignal displays.

For NinjaTrader you can get both, ETH and RTH pivots by using the correct template and the SessionPivots indicator.

I also use weekly and monthly pivots. No problem, if you use backadjusted contracts.


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  #10 (permalink)
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PowerM View Post
*ARGH* I cannot display that chart here, as eSignal is running on my notebook, but their PP is clearly 1.284,58 on ES #F .. ok I will think about that .. thaank you!

That means that ESignal has ETH pivots, which were not rounded to the tick. So consider

ESignal, MyPivots -> display ETH pivots
Pivotfarm -> displays RTH pivots
NinjaTrader -> can display both at your choice (rounded to the tick), depending on data provider

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