Pivot Question

[toddaclark]

Everyone - Thanks for the replies to my post... I really appreciate it.

Harry:
Here are some answers to questions/comments:
Regarding data provider:
I use zenfire data from Mirus futures. Since Zenfire doesn't provide daily data and I've selected "daily bars" in the CMI v6 pivot indicator settings, I'm not sure how the pivots are calculating. Without true daily data, my pivots are probably "false pivots", but I don't want to change them or delete them because they match the pivots that others have and they usually provide great support/resistance, which is the whole point of having them on the chart. However, the pivots are a few ticks off from chart to chart...sometimes up to 10 ticks off. BTW...I trade ES, CL, GC, 6A and 6B... On Friday, GC came down and bounced hard right off of S1... it was beautiful. See screenshot... http://screencast.com/t/MGU3YzY1YWYt


Regarding the lookback period on the format data series chart settings:
I have tried increasing the chart lookback period in the morning when I get the error message but that doesn't take away that message that I'm getting. I've tried reloading the historical data, increasing the lookback period, reloading the ninjascript but nothing gets rid of the message. I think the message about "not enough data to calulate pivots" has to do with the fact that I'm leaving the charts on live data starting around 5:30pm EST and they stay on over midnight and are on live data when I wake up around 5:00am EST. I'm pretty sure that leaving the charts on live data when the day changes at midnight has something to do with the problem. The fact that I only get this message when I wake up in the morning supports this idea.

Regarding CMI Pivots Version 6 vs Version 8.1:
I think you are saying that version 8.1 of the indicator wouldn't allow me to calculate the pivots using the daily bars with my zenfire data but instead would give me an error message. Am I understanding that correctly? I would be interested in a version 8.2 of the indicator that allows the false pivots which is apparently what I have now (even though they seem to be real). Let me know if I'm understanding that correctly.

If I upgrade to V8.1 or V8.2 do you think it will get rid of this daily morning message? That's really the issue I'm trying to solve. Are there other reasons to upgrade from V6 to 8.1 or 8.2?

Regarding charts not loading when I connect to zenfire data:
I noticed in another thread that you mentioned issues with charts loading. One of the key reasons that I don't want to restart ninja in the morning is because I often have to restart ninja and reconnect to zenfire data 3 or 4 times to get all of the charts to load once I've connected. Usually when I first restart ninja and connect to zenfire some of the charts will load but others will be blank... in fact, I use chart trader and in the blank charts I can still see the bid and the ask moving but nothing shows on the chart. So I'm forced to close ninja and try again... It's frustrating. I don't know if this is related to the pivot issue or not but I thought I would mention it.

Thanks for taking the time to read this and the help provided..

Todd

[Harry]

Hi Todd,

some answers to your last post:

Data Provider

Zenfire does not provide daily data. V6 just switched automatically to CalcFromIntraDay in case that it could not find daily data. In this case the indicator would not find the exact session close, but take the bar close of the last tick or range bar prior to the session close. If you have a 5 tick chart this will be pretty accurate, if you have a 500 tick chart this can be ways off. V81 does not switch automatically, because I have observed that the DailyBars loading can create a deadlock within NinjaTrader, so the automatic switching may also affect users that actually have daily data. These users would eventually suffer from false data, because of the deadlock switching the indicator to CalcFromIntraday mode, and are better off to refresh via F5 and thus get the accurate pivots. I have not permitted V81 to display in CalcFromIntraday mode on tick, range and volume charts on purpose, because of the error introduced by the difference between bar close and session close.

Lookback period

I suggest that you test this on V82 again. It is a minor problem that possibly will go away or can be easily tackled.

V82 versus V81 and V6.

You are not the only one who used the indicator on range and tick bars with Zenfire feed. So I will reopen this for V82 via an option that you can choose via indicator menu. I will define a property that takes the values "Accurate" and "Approximate" to choose from. Pivots in CalcFromIntradayData mode on range bars with then only work in mode "Approximate". Up to you to decide. The accuracy actually depends on the number of ticks, range size or unit volume chosen. Larger values will produce larger errors. Will try to publish V82 tomorrow.

Charts not loading

As Zenfire does not provide daily data, it is a non-sense to set the indicator to DailyBars mode. It then will try to collect something that does not exist. This can only cause trouble. So please use V82 exclusively in CalcFromIntradayMode with Zenfire. Then it cannot produce any problems. I think the loading problems are not related to pivots but the data base structure of NT 6.5 and think that there will be some improvement with NT7.

New Option with NT7

With NT7 you can export your minute data or tick data to any folder and then reimport it. When reimporting it, you can select the option to build daily data from the reimported minute and tick data. Prior to importing you need to set the correct session under instrument settings, telling NT7 how to build daily data from minute data. For example, if you use the standard RTH session for ES, you will get daily bars that reflect the day session only. If you use the Globex session template you will get OHLC of the daily bars based on the full 24h session. This is quite easy to do. You can then use DailyBars mode even with Zenfire data and get 100% accurate pivots for trading. I already tested this, and it is fast and easy.

Harry

[toddaclark]

Thanks Harry...

I look forward to trying out CMI Pivots V8.2

Question 1:
I noticed in V6 that you have previous high, low close and open as potential user inputs. Does previous day open come into play in any pivot calculation or do you just have that in case someone wanted to display it?

Question 2:
I know that I would need data from a minute chart to get accurate previous H, L, C to accurately calculate the pivots, S1, etc.

Here is the big question...
(You may have answered this already but I may not have understood your answer)
Is there a way to get the CMI pivot indicator to accurately store Previous Day High, Low and Close prices (say...from a 1 minute chart) and store those #'s in the pivot indicator settings (or somewhere) so when I switch the chart back to median renko or range bar or tick chart, etc..the pivots will calculate correctly?

I guess I could go to each chart for each instrument and manually enter the previous H,L,C but with 5 instruments and 3 charts each, that would be a pain.

Having accurate pivots is important and having the same pivots show up consistantly from chart to chart is important... Using V6, sometimes my 2 tick median renko chart pivot might be 5-10 ticks away from my 4 tick median renko chart and neither of them will match a 1 minute chart. I understand why this is the case. I'm just trying to figure out how to fix this.

Thanks again for your time and effort.
Todd

[Harry]

SessionPivots V81 has a bug, please use V82 when available

Hi Todd,

just discovered that with V81 I have introduced a small bug that prevents that it works on range, volume and tick charts, so I recommend not to use it. V82 will be available shortly.

1) Previous Open does not come into play, it is redundant.

2) CMIPivotsDaily can only access the current bars (i.e. , minute, range, tick or volume bars) and daily bars. With NT7 you can export minute data and reimport this as daily data. CMIPivotsDaily can then access the daily data created from minute data with use for range, tick or volume charts. This requires that you export the minute data of the last day after the close and then reimport it (pay attention to session settings for instrument). Or you pay yourself a decent data feed that includes daily data.

3) V82 will also work for tick, range and volume bars with CalcFromIntradayData, but it cannot be guaranteed that pivots are accurate -> message will be shown. However you could switch to a 5 min chart, check whether HLC is the same, and if this is correct go back to your tick chart.

Harry

Thanks Harry...

I look forward to trying out CMI Pivots V8.2

Question 1:
I noticed in V6 that you have previous high, low close and open as potential user inputs. Does previous day open come into play in any pivot calculation or do you just have that in case someone wanted to display it?

Question 2:
I know that I would need data from a minute chart to get accurate previous H, L, C to accurately calculate the pivots, S1, etc.

Here is the big question...
(You may have answered this already but I may not have understood your answer)
Is there a way to get the CMI pivot indicator to accurately store Previous Day High, Low and Close prices (say...from a 1 minute chart) and store those #'s in the pivot indicator settings (or somewhere) so when I switch the chart back to median renko or range bar or tick chart, etc..the pivots will calculate correctly?

I guess I could go to each chart for each instrument and manually enter the previous H,L,C but with 5 instruments and 3 charts each, that would be a pain.

Having accurate pivots is important and having the same pivots show up consistantly from chart to chart is important... Using V6, sometimes my 2 tick median renko chart pivot might be 5-10 ticks away from my 4 tick median renko chart and neither of them will match a 1 minute chart. I understand why this is the case. I'm just trying to figure out how to fix this.

Thanks again for your time and effort.
Todd

[toddaclark]

Harry,

Question 1:
Will V8.2 still have fields where I can manually input the previous H,L,C in case my tick charts don't match the 5 minute chart?

Question 2:
I've had opportunity to try NT 7 beta but haven't done it. In your opinion do the benefits outweigh the cost of switching over to NT 7 right now?

I thought I might want to wait a few months after they release it to everyone s so they have time to work out the bugs that will inevitably surface with that major rollout.

Todd

[toddaclark]

general question about session start times - for chart and indicator settings

Need some confirmation or correction on how I'm handing session start and stop times in 2 areas...

I trade or watch ES, CL, GC, 6a, 6b, 6e.

Regarding Chart Properties Session Start and Stop Time for all above:
On Chart Properties for each chart, I've got the session start time as 12:00am and session stop time also as 12:00am EST.

I've found that if you don't have the same start and stop time on chart properties that the chart will not show price action for the omitted timeframe. I want to be able to see all of the price action, that is why I make the start and stop time the same. Is that the correct way to set up the Chart Properties session start and stop times?

Regarding the Pivot Indicator Session Start and Stop Times:
ES - start at 9:30am EST and 4:00pm EST - because I want cash session
GC, CL, - start at 6:00pm EST, stop at 5:00pm EST
6a, 6b, 6e, - start at 6:00pm EST, stop at 5:15pm EST
Is this the correct way to set up the indicator session start and stop times?

Please advise.
Thanks,
Todd

[Harry]

1. Yes

2. NT7 is promising, but in my opinion you should wait a couple of months before trading real money. Current status is non-public beta. Next status will be public beta, which is still not good enough to put money one the line.

Harry,

Question 1:
Will V8.2 still have fields where I can manually input the previous H,L,C in case my tick charts don't match the 5 minute chart?

Question 2:
I've had opportunity to try NT 7 beta but haven't done it. In your opinion do the benefits outweigh the cost of switching over to NT 7 right now?

I thought I might want to wait a few months after they release it to everyone s so they have time to work out the bugs that will inevitably surface with that major rollout.

Todd

[Harry]

(1) Session times under chart properties:

You have to set these in your local time as per PC clock. If you do not want to lose information, and if you timezone is Eastern Time, best settings would be

ES: Session begins 16:30 ET, Session ends 16:15 ET (alternative setting: Session ends 16:30 ET)
CL, GC: Session begins 18:00 ET, Session ends 17:15 ET (alternative setting: Session ends 18:00)
6A, 6B, 6E: Session begins 18:00 ET, Session ends 17:00 ET (alternative setting: Session ends 18:00)

(2) Session times in the indicator menu.

You have to set these using the time zone of the exchange, GMT for FOREX. CMIPivotsDailyV82 is preconfigured for the electronic session, CMIPivotsDaySessionV82 is preconfigured for the day session of ES (8:30 CT to 15:15 CT). The settings of V82 are different from those of prior versions.

Please note: The pivot indicator uses the timezone of the exchange, so the correct settings for the ES cash session are 8:30 CT to 15:00 CT or 8:30 CT to 15:15 CT, if you want the close of the futures market. Case 15:00 CT you will need to change the value for Break Period Globex Index to 0 (indicator needs the information, whether the session end is followed by a break or not).

You will not get cash session pivots by using daily bars. So you would want to leave the indicator in CalcFromIntradayData mode for the cash session.

If you use the indicator in CalcFromIntradayData mode, ideally the session times under chart properties (9:30 ET to 16:00 ET for the ES cash session) should be identical with the session times in the indicator menu (8:30 CT to 15:00 CT for ES cash session). Now if you want to display the night session as well, that is no problem. Chart setting 16:30 ET to 16:00 ET is compatible with indicator setting 8:30 CT to 15:00 CT. However the session end of the chart (16:00 ET) needs to be identical with the session end in the indicator menu (15:00 CT). Otherwise you will get false pivots in CalcFromIntradayData mode.

Reason is that the chart session cuts off volume, tick and minute bars and provides the correct close for the indicator. I have done extensive tests today, and it is possible to use the indicator in CalcFromIntradayData mode on tick and volume charts with the correct settings.

However, the chart session does not cut off range bars - I do not know why -, so the indicator cannot be used in CalcFromIntraday mode on range bars. This is the only restriction. The typical error would be about half the size of a range bar, which is not acceptable in real trading. So for range bars the indicator can only be used in DailyBars mode -> you need daily data.

Need some confirmation or correction on how I'm handing session start and stop times in 2 areas...

I trade or watch ES, CL, GC, 6a, 6b, 6e.

Regarding Chart Properties Session Start and Stop Time for all above:
On Chart Properties for each chart, I've got the session start time as 12:00am and session stop time also as 12:00am EST.

I've found that if you don't have the same start and stop time on chart properties that the chart will not show price action for the omitted timeframe. I want to be able to see all of the price action, that is why I make the start and stop time the same. Is that the correct way to set up the Chart Properties session start and stop times?

Regarding the Pivot Indicator Session Start and Stop Times:
ES - start at 9:30am EST and 4:00pm EST - because I want cash session
GC, CL, - start at 6:00pm EST, stop at 5:00pm EST
6a, 6b, 6e, - start at 6:00pm EST, stop at 5:15pm EST
Is this the correct way to set up the indicator session start and stop times?

Please advise.
Thanks,
Todd

[toddaclark]

Harry,

As always, thanks for the detailed explanation..very helpful!

I contacted Mirus Futures to ask them why zenfire doesn't provide daily data. I've pasted their response below in quotes...

Quote from Mirus...
"The high, low and close are provided by the exchange and passed through the API. We can't force Ninja to use everything available in the API, that is something that we'll address with them."

Does that response make sense to you?

Todd

[Harry]

One of the problems of Ninjatrader is that it suffers from complexity. It is a jack of all trades - including everything from charting to order execution, automated trading and backtesting, and as close as possible for every broker worldwide. For each broker an interface needs to be implemented.

This means compromise. First priority is order execution and real-time data feed. Second priority is historical data from the broker. This is only for non-professional traders - those who cannot pay for quality...LOL

So you have to live with what you get.... either create daily historical data from minute data with NT7, or pay yourself something better.

Harry,

As always, thanks for the detailed explanation..very helpful!

I contacted Mirus Futures to ask them why zenfire doesn't provide daily data. I've pasted their response below in quotes...

Quote from Mirus...
"The high, low and close are provided by the exchange and passed through the API. We can't force Ninja to use everything available in the API, that is something that we'll address with them."

Does that response make sense to you?

Todd

[eDanny]

One of the problems of Ninjatrader is that it suffers from complexity. It is a jack of all trades - including everything from charting to order execution, automated trading and backtesting, and as close as possible for every broker worldwide. For each broker an interface needs to be implemented.

This means compromise. First priority is order execution and real-time data feed. Second priority is historical data from the broker. This is only for non-professional traders - those who cannot pay for quality...LOL

So you have to live with what you get.... either create daily historical data from minute data with NT7, or pay yourself something better.

I wouldn't accept what you are saying at all. If ZenFire is capable of daily data and we are not getting it then maybe NT has never asked them for a way to receive it. This would be hard to believe but you never know. This is something that is sorely needed and is what I have been thinking of asking the Zen people about. I couldn't understand why they would want to have an inferior product in this regard. Maybe the answer is we may be able to have a less inferior product if NT would put forth the effort. Obviously we as users have a lack of information about it.

[kumar]

Fred , Danny

Last time I asked NT about the daily data, they simply said that Zenfire does not provide it.

The other related data issue is the 'continuous contract' data which is essential for a constructing a meaningful volume-at-price profile like the one Fred (fwalton) is working on - again not sure whether this is an NT issue or a Zenfire issue.

Btw Fred, I just finished incorporating all the configuration details you provided for Todd; for a 16:30/16:00 session the v82 pivots are identical to NT pivots (both set to 'CalcFromIntradayData), I do not, however, see the point in going through this lengthy process when pivots for globex sesssion are not going to be any different from those for the cash session (always a possibility that I missed some something very subtle).

Cheers,
Kumar

[Harry]

Whether Globex pivots are different from those of the cash session depends on high, low and close. If the high or the low was made during the night session, the regular session will produce different pivots than the Globex session. If high and low occured within the regular session, they will be identical.

Some traders use Globex pivots, others use pivots from the regular session (8:30 CT to 15:15 CT) and others use pivots from the cash session (9:30 ET to 16:00 ET).

[T2020]

Request

Hello Harry .
I'd really like to see the previous sessions pivots as well as the current
session pivots plotted on the chart . Would be very useful on a 1 or 2
hour chart without having to scroll it back and forth . Just a request for
your consideration . thanks .

[Harry]

This is not difficult to code, but it would make the indicator even more complicated. Also I am not sure, what this can be used for?

Do you have some indicator coding skills?

Hello Harry .
I'd really like to see the previous sessions pivots as well as the current
session pivots plotted on the chart . Would be very useful on a 1 or 2
hour chart without having to scroll it back and forth . Just a request for
your consideration . thanks .