Session OHLC and Pivots Beta for NT 6.5.8.

[Harry]

The pivots indicator of NT works fine for daily charts or intraday charts of stocks. But it does not work well for intraday charts of futures, because it takes the Midnight Close (of your local PC) instead of the Session Close of the respective markets. That means that the pivots displayed depend on your local time, which does not make sense at all.

Using existing NT indicators, I coded OHLC and Pivots indicators that use the Session Low, Session High and Session Close of a 24 hour session. The indicators should display OHLC, Pivots, Midpivots on Intraday Charts according to user defined session breaks with some limitations.

I have only quickly tested the indicators on NT 6.5.8. So I do not know whether they work on NT 6.0. Please let me know whether they work in your local time zone, and report any bugs or further suggestions. Please also read the small document attached before using them.

[NinjaTrader_JoshP]

Thanks a lot for the contribution Harry. I know some people were looking for these features.

[spyro]

thanks very much

[Harry]

Compare to new NT Beta 6.5.9 Pivots!

New Beta 6.5.9 Pivots Indicator uses daily bar information and gets more or less the same results. So you can use it as well. NT 6.5.9 was released today. If I had known it would give me clean Pivots, I might not have done the coding work.....

[NinjaTrader_Ray]

Sorry Harry for the extra work on your part...Your work in this area inspired us to try a different implementation...We did not know if we would include it in NT 6.5 which is why I did not mention it on the forum.

[Harry]

Ray, I don't mind the work. It is really great that you are very responsive to our suggestions. Whether Pivots, workspaces, IB Forex , NYBOT, you get done things! Congratulations!

[Greg1]

Pivot issue when using Weekly PivotRangeType

I believe I'm using the standard NinjaTrader pivot indicator (labeled Pivots in my indicator list). I am looking at $USDJPY data on a 60 minute chart with the Days Back set to 120.

If my Session Begins/Session Ends parameters are set from 9:30AM to 4:00PM the weekly pivot data appears.

But, for currency instruments I want to use Session Begins/Session Ends parameters from 5:00PM until 4:59PM. When I do that the weekly pivots disappear from my chart (but my daily and monthly pivots still remain).

Is this a bug or do I need to adjust something that I am doing?

[Harry]

Greg, which version of NT are you using? They have different Pivot indicators.

I just checked USDJPY Pivots with NT 6.5.9. and the new Pivots indicator that comes with it. If you want to use the standard session from 5 pm to 5 pm ET, you may just choose "Daily Bars" in the pivots menu, and NT will calculate Pivots from daily OHLC data. If your data vendor does not supply daily data you can enter the session times. I am using InteractiveBrokers Data, and as IDEALPRO pauses between 5 pm and 5:15 pm, I would use a session setting from 5:10 pm to 5:05 pm (just to make sure that the first and last bars are included).

Daily, weekly and monthly Pivots are correctly displayed on my chart together.

[Greg1]

I'm now using the latest version 6.5.0.9 with the PriorDayHLC value set to DailyBars.

I'm using the NinjaTrader servers for Forex data.

It does appear that by "tweaking" the session begin/end times the weekly pivots appear or disappear. What is odd is that the daily and monthly don't exhibit this odd behavior.

I tried the start/end times suggested of 5:10 to 5:05 but no weekly pivot (maybe an issue with the NinjaTrader forex data feed)? I played around with the time parameters more and by setting the begin/end times to 5:01PM and 5:00PM the weekly pivot now appears.

Thanks for your suggestion. I suspect there is a bug there but the workaround is fine.

[Harry]

Session Pivots and Session OHLC Indicator Update

Following release of NT 6.5.9 with new Pivots indicator (allowing to calculate Pivots from Daily Bars), I have integrated this feature into the indicators previoulsy published here.

- If you do not have Daily Data, these indicators allow to calculate OHLC and Pivots from Intraday Data using selectable session times for FOREX and 9 major futures markets
- OHLC and Pivots for FOREX and the futures markets are also displayed according to these session times
- PriorDay, PriorWeek and PriorMonth OHLC available
- Includes option to display Midpivots
- Narrow lines Monday problem solved (OHLC and Pivots were calculated from Sunday Intraday Data in IntraDayCalc Mode)

This indicator should only be used on intraday charts. On daily charts it still produces - as the NT 6.5.9 Pivots Indicator - wrong figures. I will try to find the bug.

Any further suggestions welcome.

[marketguy2]

Harry,
Thanks so much for your contribution. 2 things:

1. Could you possibly add the ability to see the prior day's mid and to label each of the lines?

2. What time do I set for the ES or ER?

Thanks,

Bryan

[Harry]

Hi Brian,

please find a newer version of the indicators. A few smaller bugs have been resolved, and I have added a midline. Please let me know, if it is what you wanted.

SessionBreak Time to choose for ES/ER (all times in Central Time / Chicago):

Case 1: If you have Daily Data, you should choose DailyBars under PriorDayHLC. In this case the value of OHLC/Pivots does not depend on session times, the session time settings will just tell the indicator where to display the OHLC and pivots. I would choose a setting between 3:15 PM and 3:30 PM Central Time, which is just after the market close.

Case 2: If you only have Intraday Data, it becomes more delicate. If you choose a 60 min timeframe for your chart there is no perfect solution. The 3:00 PM to 4:00 PM (Central Time) bars hides the close. So if you choose a session break before 3:00 PM you will get a market close at 3:00 PM, if you choose a session break after 3:00 PM, you will get a market close at 4:00 PM or later. To avoid this problem, either choose DailyBars or if you do not have them set the time frame of your chart down to 30 minutes or less. For a 30 minute time frame you can choose 3:30 PM, the bar from 3:00 PM to 3:30 PM would give you the actual market close.

The standard setting is 3:30 PM Central Tiime. Standard setting is perfect for DailyBars Method (all timeframes) and for CalcfromIntradayData method (timeframes < 30 min). For most of the other futures markets the session break is longer, so the setting is less cirtical.

[marketguy2]

Harry,
Thanks so much. You are a prince. I have been wanting for this for a long while. Seems to work fine. Thanks also for the detailed response on time settings.

Bryan

[Harry]

Hi Bryan,

just saw I mis-spelled your name. Sorry. Please do me a favor. I am using this for myself. If anything does not work, please report it. I am thinking about this daylight saving issue.

Harry

[marketguy2]

Will do my friend. I'll definitely let you know. BTW, you just made 10 people in the trading room I hang out in very happy with this indicator.

I was wondering if you could add the current day H/L/M to this indicator? Hope I am not requesting too much.

Thanks,

Bryan