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CA
Posts: 1 since May 2010
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Hi everyone,
I am trying to create a link between TradeStation and Excel for the following info to populate based on different symbols. That way it can populate a Zone in Tradestation based on the created info any help would be greatly appreciated:
Info to populate the data:
Open/High/Low/Close: The Daily, Weekly, and Monthly OHLC are obtained from Tradestation using the “Pit” session for each market unless otherwise noted. The closing price is the settlement price posted in Tradestation.
D2 High/Low: The High and Low from two days ago.
D3 High/Low: The High and Low from three days ago.
Pivots: The Price Guide uses the “Classic” formulas for calculating the floor trader's pivots. The “Pit” session is used for all markets unless otherwise noted. The Daily, Weekly, and Monthly numbers are derived from the same calculations. The formulas below are used to calculate the floor trader's pivots:
R3 = High + 2*(Pivot-Low)
R2 = P + (R1 - S1)
R1 = (2 x P) - L
Pivot (P) = (High + Low + Close) / 3
S1 = (2 x P) - H
S2 = P - (R1 - S1)
S3 = Low - 2*(High-Pivot)
JR1/JS1: These two numbers are derived from the Jackson Zone concept. The formula's are as follows:
BP = Balance Point (Pivot) = (Yesterday High + Low + Close)/3
Range = Yesterday High – Yesterday Low
JR1 = BP + (Range *.50)
JS1 = BP – (Range * .50)
Fibonacci Extensions: The Fibonacci price extensions are calculated as follows:
Range = Yesterday High – Yesterday Low
Yesterday 1.618 = Low + (Range * 1.618)
Yesterday 1.272 = Low + (Range * 1.272)
Yesterday 1.272 = High – (Range * 1.272)
Yesterday 1.618 = High – (Range * 1.618)
Yesterday's Midpoint: (Yesterday High + Yesterday Low) * .50
Market Profile: Market Profile is a graphical organization of price and time information. Market Profile displays price on the vertical axis and time on the horizontal axis. Letters are used to symbolize time brackets. These letters are called TPO's (Time-Price-Opportunity) (CBOT website definition)
The Value Area is the zone where approximately 70% (1 std deviation) of session's price action was recorded.
The Market Profile numbers displayed on the Price Guide are: The Value Area High (VAH), Point of Control (POC), and Value Area Low (VAL).
They are defined as follows:
VAH: The High of the Value Area.
POC: The longest row of TPO's or most common price.
VAL: The Low of the Value Area.
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