Accurate Daily Pivots

[Harry]

Daily Pivots are calculated from daily high, low and close. To display correct Pivots, the daily close should be the close at the actual closing time of the market (and not 12 am), accordingly high and low would usually be taken from the 24-hour-period preceding the closing-time of the market.

To have one indicator that correctly displays the daily pivots for all instruments, it would be necessary to modify the instrument editor to allow the user to define market hours (at least market closing time, if possible exact market time for each of the days)

Then, an accurate indicator for the daily pivots could reference the market opening hours for each instrument and adjust calculation of pivots accordingly.

Because of the extreme importance of daily pivot levels, I cannot rely on NinjaTrader alone for charting. Actually I am using another charting program for daily pivots and NinjaTrader for weekly and monthly pivots, switching between the two programs

While I am writing this (13:44 Eastern Time) , I am just watching YM turning down at 12393 (accurate Daily Pivot S1 at 12390). NinjaTrader shows a daily pivot of 12404(system time set to CET), which is simply useless (see file attached)

Is there any hope that you ever adjust the daily pivot indicator accordingly?

I understand that it is possible to program customized daily pivots by using NinjaScript, but I do not really want different indicators for each instrument, because that would mean that I have to switch templates as well when switching instruments....

[NinjaTrader_Ray]

Please review this forum post for some insight.

http://www.ninjatrader-support.com/vb/showthread.php?t=4676

[Harry]

I just followed one of the suggestions and entered the session times into the properties menu of the chart.

Session times for YM would be (GLOBEX since this week)
session begin 22:30 CET (15:30 US Central Time)
session end 22:15 CET (15:15 US Central Time)

YM close on Jan 16 was 12485 (chart)
High was 12643 (also confirmed by Prior Day OHLC line)
Low was 12419 (also confirmed by Prior Day OHLC line)

Main pivot is calculated as 12515,67 (confirmed by my other charting program)

NinjaTrader shows 12523 Why???

See file attached (would nice if you allow up to 120 kB, JPEG is mor readable than GIF). So it does not seem to work here.

[Harry]

I now tried the user defined values with setting "true" in the daily pivot indicator menue. It works alright, but it is not very comfortable.

Definitely the best thing would be to attach the session times to the instruments, and allow for daily pivots to collect the close, high and low values.

[NinjaTrader_JoshP]

Thanks for the suggestion. We will add it to the list.

[Harry]

Just downloaded NT 6.5.8 and checked pivots

- user defined values under indicators/daily pivots worked
- entering session times has no impact on pivots, so this feature did not work

But this is definetely not a solution to the daily pivots question:

If I change the instrument in the upper left corner of the chart, I will also have to reenter session time or user defined values. This also applies to charts linked to the DOM or MA, so in the end this generates more confusion than it helps.

Also to enter user defined values under pivot indicators this way is confusing, because now you have one set of values for High, Low and Close to calculate the PIVOT indicator, and another set of values for High, Low and Close to calculate the PRIOR DAY OHLC indicator, thus creating a mess on the chart, because PRIOR DAY OHLC and DAILY PIVOTS are in contradiction!

So what I want to say is that both approaches are not logical and Ninja Trader is such a good product that you should not approve such a mess! OHLC values and sessions are a property of an instrument, not of a chart! They must be entered into the data base for instruments, it has nothing do with a chart!

I suggest that session times be entered under Tools/InstrumentManager/Edit/Session Times (to be added there to allow for appropriate time frames for each instrument). This would be pretty easy.

If you open any chart the PRIOR DAY OHLC and DAILY PIVOT indicator could then collect the open, high, low and close values according to specified session times for the chosen instrument. And everything would be fine.

User defined values that are needed to override daily high, low, open, close and volume figures of the data vendor if those are incorrect, could be also added under Tools/InstrumentManager/Edit/Daily Data with an option to be activated there to override false data.

I am sorry for raising this issue again, but I guess everybody knows the importance of daily pivots for trading. And I also believe in NinjaTrader because it is already such a good product.

[NinjaTrader_Dierk]

Thanks for your suggestion. We'll add it to the list of future considerations.

[trader65]

"So what I want to say is that both approaches are not logical and Ninja Trader is such a good product that you should not approve such a mess! OHLC values and sessions are a property of an instrument, not of a chart! They must be entered into the data base for instruments, it has nothing do with a chart!"

That is very true...

[pdawg]

Amen Harry, You hit the solution on the head.

[Harry]

Just to be fair: The new NT 6.5.9 release Pivots indicator now calculates Pivots form daily OHLC data, which would be the standard session.
By using this indicator I now get exactly what I was looking for: clean and accurate pivots. Great thanks to the development team of NinjaTrader!