This does not make sense, as the future is not yet known.
As a consequence the Pivots indicator calculates pivot values from future data for CME traded instruments after a day without settlement.
In order to show the problem, I have coded a PriorDayOHLC indicator that uses daily data, and I have already examined the pivot values displayed by the pivots indicator that ships with NinjaTrader 8.
Monday, January 16 was a holiday (President's Day) with an early close, and there is no data in the daily data base, as expected. If I try to load daily data from Monday - which in fact is not existant - BarsArray[1].GetBars(Times[0][1]) will load daily data from Tuesday and already display it for the first price bar on Tuesday morning.
In fact the prior day OHLC and the floor pivots for Tuesday are calculated from Tuesday's daily data, although the close is only known in the evening. I will show the problem more in detail in the following posts and include a test indicator.
Comment