PivotPoints IntradayValues vs DailyBars

[siroki]

Hi,

I'm using IB as a data provider and I'm wondering why it is that when calculating pivot points I get different results on the daily between IntradayValue and DailyBars calculation.

I've set the session correctly to 5 - 17 EST session times.

HLC should be the same between intraday and daily right?

Thanks

[siroki]

Never mind.. For some reason I see that IB provides different High and Low values between intraday and daily bars.. Maybe they clean up data points EOD ?? Somebody know of this?

[NinjaTrader_Jason]

Hello siroki,

When using the DailyBars calculation, it will calculate the Pivot Points from historical daily data that the connected data feed provides. IB provides historical daily data as per regular trading hours (RTH) which excludes the overnight session. IB does not change (clean up) their daily data.

[siroki]

Sorry I had to say it regards to Forex.. .So RTH should not be an issue right? It's all 5 - 17 EST?

[NinjaTrader_Jason]

Yes, that is not issue for forex. When I test the EURUSD on my end, I see the same High and Low values in a daily and minute chart for 6/3/2014.

Do you see the same?

[siroki]

Check out EURCHF for 2014/06/03 (yesterday) .. I have an intraday high 1.2225 and low 1.2211 .. Versus daily of 1.2226 and low of 1.2206

[NinjaTrader_Jason]

When I test EURCHF, I see the same High of 1.2225'5. However the Low is different - 1.2204 and 1.2211. I am not sure why there is a difference. I suggest to check with IB where the Low of 1.2206 comes from as per the daily data.

You can manually change it in the Historical Data Manager. Please see the link below for instructions.

http://www.ninjatrader.com/support/helpGuides/nt7/editing.htm

[siroki]

I just verified in TWS charts.. There is also a difference in the intraday versus daily High /Low..

I will send a message to customer support and ask them to explain the difference. For pivot point calculation I think it's therefor very important to use Intraday calculations versus DailyBars.

[Harry]

Hello siroki,

When using the DailyBars calculation, it will calculate the Pivot Points from historical daily data that the connected data feed provides. IB provides historical daily data as per regular trading hours (RTH) which excludes the overnight session. IB does not change (clean up) their daily data.

Interactive Brokers allows to display daily data as regular session data (RTH) or full session data (ETH). To display full session data (ETH) you need to select "Show data outside of regular trading hours" under chart parameters.

For FOREX instruments, Interactive Brokers always displays full session daily data.

[siroki]

Thanks for your reply Harry. I know about the sessions but there is just differences between the daily bar high/low and intraday high/low. This is also visible in their own TWS package. It's an IB issue, not NT.

[Harry]

Check out EURCHF for 2014/06/03 (yesterday) .. I have an intraday high 1.2225 and low 1.2211 .. Versus daily of 1.2226 and low of 1.2206

On my TWS chart I have

- an intraday high of 1.222600
- an intraday low of 1.221175
- a daily high of 1.222400
- a daily low of 1.221175

Only Interactive Brokers can tell you why those value do not match exactly. Call them!


On my intraday NinjaTrader chart I have

- an intraday high of 1.22255
- an intraday low of 1.22115

These are the intraday values provided by IB rounded to the half pip, as I have selected half pips under Control Center -> Tools -> Options -> Data -> "Quote currentices (FX) in".

[Harry]

Thanks for your reply Harry. I know about the sessions but there is just differences between the daily bar high/low and intraday high/low. This is also visible in their own TWS package. It's an IB issue, not NT.

You are correct. This has nothing to do with NT. FOREX is traded via different electronic communications networks (ECNs). I guess that the IB daily FOREX data is taken from a different source than intraday data. Intraday data probably reflects the IDEALPRO quotes.