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How are the Pivot indicator values calculated?

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    How are the Pivot indicator values calculated?

    Pivot points are a popular way of determining short-term support and resistance and as such there are many websites that publish pivot values. These websites usually calculate their pivots based on the settlement prices reported by the exchanges. Since NinjaTrader itself is not a market data vendor, there is no way of knowing what the true settlement price is so the calculations for our Pivot indicator are based on the data available on your charts. If the data on your charts provides different high, low, close prices than the official settlement price there may be slight a slight disparity between the pivots shown within NinjaTrader and the pivots published on websites.

    Sometimes this can be mediated by paying attention to your chart’s session begin and end times. Because NinjaTrader calculates the pivots based on all the intraday data present on your chart for the previous day, removing pre-market and after-hours charting will leave you with a dataset that has HLC values that will more readily match settlement values.

    For NinjaTrader 6.5 users:

    1. Right click on the price pane of your chart
    2. Select Properties
    3. In the “Data series” section you will find the “Session begin” and “Session end” settings
    4. Adjust the time to match the market open and close times of your instrument (Note: Time based on your local PC time)

    For NinjaTrader 7 users:

    With NinjaTrader 7 we introduced the Session Manager to define session templates that you can apply to your charts. NinjaTrader comes pre-configured with a large selection of session templates. To manually select the session template for your chart please right click on your chart and select ‘Data Series’. Under the ‘Data’ section of the parameters section you will find the Session Template selection box. When selecting a session template for use, please note that RTH stands for Regular Trading Hours and ETH stands for Extended Trading Hours. You may also define your own or check on the starting time and end time of a pre-defined session template with the session manager, which is located in the NinjaTrader Control Center->Tools->Session Manager.

    Another method you can use to match NinjaTrader pivots with the pivots published is to use the daily bars option available in the NinjaTrader pivot indicator in version 6.5 or later. With this option, NinjaTrader will calculate the pivots based on the previous day’s HLC values as reported by your data provider’s daily bars. This approach will remove the need to fondle with the chart’s session begin and end times and will continue to allow you to chart pre-market and after-hours trading, but if your data provider does not support daily bars beware that the indicator will revert back to using session times for pivot calculations.

    If the numbers still do not match, you can use the user definable High, Low, Close variables also available in version 6.5 or later. When these values are set, the Pivot indicator will use these values instead of the HLC values determined by your chart settings. Setting these values to the settlement prices will provide you with pivots that should match those calculated by websites.

    The formulas used for calculations are:

    PP = Pivot Point
    PP = (High + Low + Close) / 3
    S1 = 2 * PP - High
    R1 = 2 * PP - Low
    S2 = PP - (High - Low)
    R2 = PP + (High - Low)
    S3 = PP - 2 * (High - Low)
    R3 = PP + 2 * (High - Low)
    Last edited by NinjaTrader_Brett; 04-24-2012, 12:52 PM.
    RayNinjaTrader Customer Service

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