Pivot Question

[kumar]

I am using NT Pivots on one chart and CMI Pivots on another, the 2 values do not match.
Any thoughts on this?

Thanks

[NinjaTrader_JoshP]

Not sure what CMI Pivots are, but this is how NT pivots are calculated: http://www.ninjatrader-support2.com/...ead.php?t=4676

[Harry]

These are the differences

The standard Pivots of NinjaTrader do not take into account session times but will display Pivot values for a session from 0:00 to 24:00. So if you are located in Europe and trading Futures at CME this does not give correct pivots.

There are two workarounds for this that come with NinjaTrader:
- you may set your pivots to DailyBars method, in this case High, Low and Close are taken from the daily data of your data base (inconvenient: cannot calculate pivots for day sessions only, and pivots will be displayed for your local 0:00 to 24:00 session and not for the correct session, lines will start early or late)
- you may set session times under chart properties, but then you loose the out of session data and cannot use it with other indicators

As both workarounds are not satisfactory, the CMIPivots indicator allows you to set session times via the indicator panel for a number of futures contracts and FOREX. These session times should use the time of the exchange, unless you set the indicator to LOCAL mode, then you would set the session times in your local time.

We have currently winter time in Europe and summer time in the US. The CMIPivots indicator will automatically compensate for the difference for those exchanges listed in the indicator panel.

When using CalcFromIntradayData mode, the last bar close should be the session close, and the session end be chosen accordingly. Otherwise use DailyBars method. You also can take Pivots from any website (for example official information from the exchange) and enter it manually.

NT7 will have session times and time zones included with each instrument and therefore allow for a simpler calculation of correct pivots.

[kumar]

Pivots

Thanks Harry.

When I set the time to trading hours (EST) which is also my local machine time, the two indicators give the same values for daily pivots; this has help me use the CMI indicator set with confidence; since the CMI set has more features, I find it very useful.

Thanks again for taking the trouble at explaining it all.

[AnotherTrader]

Harry / Kumar / Josh / Ryan

You look like 4 guys "in-the-know" about the NT Pivots indicator. So, hoping you can help me ...

I am looking to use the NT Pivots indicator within a strategy.

I believe I understand how to call the NT Pivots indicator from within a strategy so that
a) it calculates the pivot levels from historical intraday data, i.e.
dPP = (Pivots(PivotRange.Daily, HLCCalculationMode.CalcFromIntradayData, width).PP);
[must have PeriodType.Minute or PeriodType.Tick]

b) or, that it calculates the pivots from historical daily bars, i.e.
dPP = (Pivots(PivotRange.Daily, HLCCalculationMode.DailyBars, width).PP);
[must have PeriodType.Day]

What I cannot figure out (and I cannot find documentation to help me), is how to CALL THE INDICATOR FROM WITHIN A STRATEGY so that it MAKES USE OF THE UserDefinedClose (and UserDefinedHigh, and UserDefinedLow) THAT MY STRATEGY WILL PROVIDE IT WITH.


In otherwords, I don't want to use either historical daily bars or historical intraday data. Instead I want to use userdefined H, L, & C, but I can not figure out how to pass these userdefined values from the strategy to the indicator ...



Any ideas? Is it clear what I am trying to do?

Thanks for any help you can give!



PS - once I can figure out how to pass these userdefined values from the strategy to the indicator, I am assuming that the indicator will do its stuff correctly if called from within the strategy as follows

dPP = (Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, width).PP);

... with PeriodType.Minute ....

[NinjaTrader_JoshP]

You could try:

Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).UserDefinedClose
Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).UserDefinedHigh
Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).UserDefinedLow

[AnotherTrader]

Thanks, Josh!

That did the trick!

I'm sobbing tears of joy ....

This is what I have used

Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 10).UserDefinedClose = Close[0];
Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 10).UserDefinedLow = SessionLow[0];
Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 10).UserDefinedHigh = SessionHigh[0];
dPP = (Pivots(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 10).PP);

[kumar]

I see that you have already got your answer - good for you;

btw, you are way ahead of me! I was only trying to get a consistent pivot values from 2 different indicator.

I am still formulating a reliable auto trader - going long is easy, but existing a trade or going short eludes me - work in progress.

good luck.

[AnotherTrader]

Hi, Kumar

Persistence pays dividends ... so hang in there!

[toddaclark]

need help - cmi pivot issue

I leave ninja on overnight running with live data but I don’t have any strategies running. Every morning when I wake up and come back to the computer, I see this message on all of my charts (if I hit a refresh button (f5) or change any indicator setting). See screenshot
http://screencast.com/t/NjA5YTgy

This message about not enough historical data to calculate pivots is weird. It shows up on all of my 10 charts in my workspace. This message was not there when I went to bed but it shows up every morning. I've got plenty of days loaded on each chart so that is not the issue. It seems to have something to do with me leaving my charts on overnight. Maybe the midnight rollover affects something?

In the morning, when I shut down ninja and restart it, the message goes away but I don’t really want to restart ninja when I first get up because there are normally trades that I want to take then and the restart, reconnect process takes several minutes and sometimes has to be done several times to get the charts to all come up again with data.

Here is a screenshot of my indicator inputs. I use dailybars.
http://screencast.com/t/Y2RhYTE5Y

Not sure what time I need to set my chart properties time or the cmi indicator settings tab but these pivots seem to already match the pivots that others are using and they provide good support/resistance so I haven't messed with the chart times or the indicator times. However that may have something to do with my issue.


I think lots of ninja users use this indicator. Not sure if anyone else is having this issue or not.

Any help you can give is appreciated.

Thanks,
Todd

[kumar]

Hello Todd,

You might find this thread useful

http://www.ninjatrader-support2.com/...ghlight=pivots.

Since I use Zenfire which does not provide daily bar data, the only way to get correct pivots is to enter the previous day's HLC manually.

Cheers,
Kumar

[AnotherTrader]

Hi, Todd

If you take last Friday as an example, in order to calculate Weekly pivots, you would need to have chart data loaded to at least as far back as Fri, 22nd Jan 2010.

For Monthly pivots, your chart data would need to run back at least to Thu, 31st Dec 2009.

You would get that message if you didn't have at least this much data loaded.

[Harry]

Hi Todd,

from your screenshots, I notice several things:

(1) You are using version V6 of the indicator. Up-to-date version is V81. Please load the newer version.

(2) Your first screenshot shows the Dash version of the daily pivots indicator. This version was meant as a parallel version to display day session pivots for index futures along with Globex session pivots. But it can be used without any problems for 6A.

(3) The first screenshot shows a tick chart. For tick charts you will only get accurate pivots when using DailyBars. DailyBars require daily data. Does your data provider supply daily data?

(4) The message "Insufficient historical data..." will disappear, if you increase the lookback period of the chart. The lookback period of your chart continously moves the chart along the time scale. At some point this may result in a conflict with the indicator, as the indicator moves to the next session in a discrete. non-continuous way.

(5) The latest pivot version V81 blocks the use of CalcFromIntradayData with tick, volume and range charts, because this may result in false pivots. So you would need daily data to use it on tick charts. I am thinking about a version V82 that would have an option "Tolerate inaccurate pivots", which allows to use the indicator on tick, range and volume charts without daily bars. Please let me know, if you are interested.

[eDanny]

We need to find an easy source of EOD data for index futures symbols. That would fix everything. Yahoo and Google don't seem to supply that data unfortunately.

[Harry]

Exactly. Can easily get daily data for stocks, indices and forex. But do not have daily data for continuous futures going back several years.

Sometimes using the free EOD versions of VisualChart IV and ProRealTime, but do not know how to export data from there....

We need to find an easy source of EOD data for index futures symbols. That would fix everything. Yahoo and Google don't seem to supply that data unfortunately.