I've determined that the calculations for monthly pivots in the Pivot indicator are off by one day which causes the monthly pivots to be different than expected. My Pivot indicator settings are as follows:
PivotRangeType: Monthly
PriorDayHLC: DailyBars
As an example, if I display monthly bars of the Aussie dollar futures contract built from historical daily data (example historical daily data attached), I get the following values for the month of March 09:
High: 0.706
Low: 0.6247
Close: 0.6924 (the close of 3/31/09)
The calculated pivot point is (0.706 + 0.6247 + 0.6924) / 3 = 0.6744.
What I've determined is that the Pivot indicator uses the daily close of 4/1/09 (0.6941) instead of the 3/31/09 close. The March 09 pivot calculation is done in OnBarUpdate on 4/2/09 rather than on 4/1/09. Using the 0.6941 close of 4/1/09 gives a different pivot point:
NinjaTrader monthly pivot point = (0.706 + 0.6247 + 0.6941) / 3 = 0.6749.
Since all other monthly floor pivots are based on the pivot point, the error grows with each pivot level calculation.
I think the problem is caused by these lines of code in the Pivot indicator:
if (pivotRangeType == PivotRange.Monthly)
currentMonth = RoundUpTimeToPeriodTime(Time[0].AddSeconds(-1).Date, PivotRange.Monthly);
which sets the currentMonth after the check for the month change is made. Since the currentMonth is set to the previous day (i.e. AddSeconds(-1)), the logic is always looking two days back when determining a month change.
Regards,
David
dbw451
PivotRangeType: Monthly
PriorDayHLC: DailyBars
As an example, if I display monthly bars of the Aussie dollar futures contract built from historical daily data (example historical daily data attached), I get the following values for the month of March 09:
High: 0.706
Low: 0.6247
Close: 0.6924 (the close of 3/31/09)
The calculated pivot point is (0.706 + 0.6247 + 0.6924) / 3 = 0.6744.
What I've determined is that the Pivot indicator uses the daily close of 4/1/09 (0.6941) instead of the 3/31/09 close. The March 09 pivot calculation is done in OnBarUpdate on 4/2/09 rather than on 4/1/09. Using the 0.6941 close of 4/1/09 gives a different pivot point:
NinjaTrader monthly pivot point = (0.706 + 0.6247 + 0.6941) / 3 = 0.6749.
Since all other monthly floor pivots are based on the pivot point, the error grows with each pivot level calculation.
I think the problem is caused by these lines of code in the Pivot indicator:
if (pivotRangeType == PivotRange.Monthly)
currentMonth = RoundUpTimeToPeriodTime(Time[0].AddSeconds(-1).Date, PivotRange.Monthly);
which sets the currentMonth after the check for the month change is made. Since the currentMonth is set to the previous day (i.e. AddSeconds(-1)), the logic is always looking two days back when determining a month change.
Regards,
David
dbw451
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