6E and Forex Pivots

[JerryA]

I can't seem to come up with the published numbers even when I use the user defined values of high, low and close. Is there an indicator for Ninja which will calculate the correct pivots etc. for Forex? Thanks.

[NinjaTrader_Matthew]

Hello,

Can you please clarify who you connect to for data? This is displayed in the bottom left hand corner of the NinjaTrader Control Center.

What session template are you loading?

What values are you seeing when using Calculate from Daily vs Calculate from Intraday? What are the exact values you would like to see? Do you have a link to the source of the published pivots you are referencing? Do you know if these are floor pivots, woodies pivots, camarilla pivots?

[JerryA]

Connect with CQG. I'm loading the 24/7 6E. There's a huge difference between daily and intraday data - neither one is correct.
Here's a link to DailyFX. http://www.dailyfx.com/technical_analysis/pivot_points/ I checked several sites and they all match but the indicator is way off.

[NinjaTrader_Matthew]

JerryA,

I'm sorry - do you have a link to the CME FX EUR / USD Futures calculated and published pivots? The link you provided was for spot forex pair.

For example the spot Forex EUR/USD Pair close yesterday was 1.3284, but the 6E was 1.3290. As a result, you will not have the same pivot values when you compare the 6E and $EUR/USD

If you are looking for forex data to calculate your pivots, you will need to connect to another provider. You can use the Kinetick End of Day (free) connection for free Daily data for the $EURUSD, however intraday minute data would require a subscription.

In addition, the site you linked to uses 5:00PM to 5:00PM Eastern for their session open/close. You will want to use the "Forex" session template to match this.

Also please note that CQG daily data is regular trading hours only, so it will not include the overnight Highs and Lows. If this is needed in your calculation, please make sure you are using CalcuateFromIntradayData option in your pivots.

If you have not yet, please review our forum post on How Pivots are calcualted: http://www.ninjatrader.com/support/f...ead.php?t=4676

[JerryA]

Can you please clarify - I want the correct pivots for the 6E - I am getting intraday data from CQG. Which indicator will calculate the correct pivots and what inputs should I use? The difference between the FX and 6E is only 2 pips - it shouldn't produce a huge difference in the pivots. Regardless, I'm only interested in the 6E, so what is the appropriate indicator to use? Thanks.

[Harry]

All pivots are calculated from the high, the low and the close of the instrument for the trading day. Everything depends on selecting the correct high, low and close. For 6E the trading day is determined by the contract specifications as shown on the website of CME.

Trading Hours

ETH trading hours: 5:00 PM CT to 4:00 PM CT
RTH trading hours: 7:20 AM CT to 2:00 PM CT

If you want to calculate pivots for 6E, you will take the high, low and close from the CME website. Let us go through the process for Friday's pivots. You need to look at Thursday's high, low and close. For the front month contract 6E 03-12 you will find on the CME website

High 1.3325, Low 1.3216, Settle 1.3290

These are the values you want to calculate your pivots from! The last traded was a bid as indicated by B and is not used for calculating pivots.

High and Low

The high and low published are the ETH high and low. These need to be used for calculating the pivots.

Settlement Price

The difficulty is that the settlement price is the average weighted price of the settlement period. For 6E the daily settlement period last from 1:59:30 to 1:59:59 Central Time. The exact settlement price cannot be retrieved from intraday data. However, you could use the close of the 1-minute bar at 2:00 PM Central Time as a proxy.

Daily Data

Now that we have understood that the settlement price is used to calculate the daily pivots, we need to find a data provider who provides daily data with the settlement price. I use the free Kinetick EOD data feed, and I am very satisfied. Kinetick data feed is identical with DTN/IQ and it shows the settlement price.

To catch that daily data, I first-connect to free Kinetick EOD and second-connect to my broker feed. This way I make sure that I get the quality daily data and not the "false" daily data from my broker.

I do not know, whether CQG supplies the settlement price via daily data. If they don't you are in trouble, as you can only enter the high, low and close of the prior day manually. You can also try to combine Kinetick EOD and CQG intraday, but I do not know whether that works.

Session Template

You will never ever get correct pivots with a session template 24/7. The session template needs to reflect the trading hours of the instrument. You can use the template CME FX Futures ETH.

Holiday Sessions

There are six calendar days per year for 6E that are integrated into the next trading day. For this year these days are January 16, February 20, May 28, July 4, September 3 and November 22. You cannot calculate pivots from these "half-days". For example the pivots for January 18 are calculated from the combined session of January 16 and January 17. For quality daily data you should find only one daily bar for January 17 and none for January 16, because there is no trade date January 16.

SessionPivots

There are two indicators that can correctly display pivots for 6E all over the year. The SessionPivots indicator which you can find in the downloads, and the Pivot Zones indicator, which you can find at www.bigmiketrading.com. The holiday sessions are already preset.

Put it all together

So let us summarize, what is required to display correct pivots:

-> load data for 6E by using the correct session template CME FX Futures ETH
-> make sure that you have quality daily data showing the settlement price in your daily historical data base
-> apply the SessionPivots indicator with default or ETH settings in DailyBars mode

Check the results

The SessionPivots indicator displays the high, low and close of the prior day. If those values match the values published by CME, your pivots are good!

The chart attached shows the PivotZones Indicator with 6E 03-12 for Friday, February 10, 2012.

[JerryA]

I downloaded the PivotZones indicator - all settings match yours, but the output is still off. I guess it must be the data from CQG. I'll have to check with them.
Also, I could not find the SessionPivots anywhere in the forum. Can you please give me a link. Thanks for your help. Jerry

[Harry]

I downloaded the PivotZones indicator - all settings match yours, but the output is still off. I guess it must be the data from CQG. I'll have to check with them.
Also, I could not find the SessionPivots anywhere in the forum. Can you please give me a link. Thanks for your help. Jerry

The SessionPivots is here:

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=343

The indicators display high, low and close of the prior day. Please check those three values against the CME published values. You will quickly find the culprit. You can also edit your daily historical data with the Historical Data Manager and check it against CME data.

[JerryA]

Thank you.

[pev11]

Thank you! Any suggestions for VWAP indicator?

Thanks very much for the SessionPivots!

I'm currently looking for a vwap indicator (since NT7 doesn't include one). If it can display vwap bands (standard deviations) even better. Any recommendations would be greatly appreciated.

Thank you!

[Harry]

Thanks very much for the SessionPivots!

I'm currently looking for a vwap indicator (since NT7 doesn't include one). If it can display vwap bands (standard deviations) even better. Any recommendations would be greatly appreciated.

Thank you!

Difficult question: There are 3 free NinjaTrader VWAPs floating around.

(1) VWAP

http://www.ninjatrader.com/support/forum/local_links.php?action=sendtofriend&catid=4&linkid=335

This indicator calculates the VWAP by using the close. The formula for the standard deviation bands is flawed, for some days and instruments the bands are false. The VWAP itself is correctly calculated.

(2) hVWAP

Calculates the VWAP by using the close. The error introduced by the version above has been corrected. I do not remember, where this version was posted exactly, may be in this thread:

http://www.ninjatrader.com/support/forum/showthread.php?t=2767&highlight=hVWAP

(3) anaCurrentDayVWAPV38

Calculates the VWAP by using (high+low+open+close) of each bar, therefore has a higher accuracy, shows slightly different values for the VWAP compared to the first two indicators. For calculating the SD bands there are three options are available with this indicator

(a) a fast option using the variance of the distance of price from the VWAP (this is the default option, the indicator may calculate up to 100 times faster in real-time compared to the other ones, when this method is used)
(b) the classic standard calculation method as also used by hVWAP
(c) a quarter of the range of the current session

Methods (a) and (c) are also used by other charting software, such as Investor R/T or Ensign.

This indicator uses the session template to define start and end point for calculations. The indicator is available here:

http://www.bigmiketrading.com/download/ninjatrader-7/indicators/674-download.html

Summary:

-> Don't use the first VWAP, it does not calculate the SD bands correctly.
-> The hVWAP calculates correctly, but can be slow.
-> The anaCurrentDayVWAPV38 is the fastest, but requires an appropriate session template

More detailed information can be found here:

http://www.bigmiketrading.com/ninjatrader/11097-vwap-volume-weighted-average-price-bands-2.html

[pev11]

Thanks very much for that info Harry! That was very helpful.

I believe I tried running the HVWAP version a while back, but was having issues with it slowing down NT7 specifically when used to compute vwap in RTH session. So I had to discontinue using it. Is that what you mean by "it can be slow"?

I will check out that thread you provided over at bigmiketrading.

Thanks again.

[Harry]

Thanks very much for that info Harry! That was very helpful.

I believe I tried running the HVWAP version a while back, but was having issues with it slowing down NT7 specifically when used to compute vwap in RTH session. So I had to discontinue using it. Is that what you mean by "it can be slow"?

I will check out that thread you provided over at bigmiketrading.

Thanks again.

The hVWAP uses an algorithm which calculates back to the beginning of the session with each incoming tick. You need to set it to CalculateOnBarClose = true. In that case, it will perform only one (complex) calculation per bar.

The anaCurrentDayVWAPV38 uses a recursive formula and does not need to calculate back to the session begin, when set to "Variance-Distance" mode. This means that it can be used with CalculateOnBarClose = false setting as well.

If you look for an even faster VWAP which can be used on many instruments on a market analyzer, send me a private message.

Harry

[laredo78676]

fx on Instrument manager

not finding fx on instrument manager,version 9 ,nt 7 ?

[NinjaTrader_Matthew]

not finding fx on instrument manager,version 9 ,nt 7 ?

Can you please clarify who you connect to for data? This is displayed in the bottom left hand corner of the NinjaTrader Control Center.

Are you sure your data provider offers Forex data?

Click here to view more information on Historical Data and Understand the data provided by your connectivity provider


If your data provider does not offer Forex data, you will not see these products listed in the instrument manager.