Pivot Question

[Harry]

You just explained the advantages of the session manager.

Harry...

Thanks for your reply... you are awesome!

Let me clarify something..
I've got 2 ES charts

ES Chart #1
I use the standard ETH template - a globex chart 4:15pm closes every day and 4:30pm opens every day. Simple... no problem.

ES Chart 2 - my 4pm close chart
Ideally, I'd like to see price action on this chart starting at 4:30pm EST and running up to 4:00pm from Sunday night thru Friday. I would also take the price action visible from 4:00pm to 4:15pm but that's probably not possible and it's not really important. I'm assuming that the easiest way to work this chart pivot indicator is to create a custom session manager template with ETH start times with 4pm stop times for each day. For that to happen, I would need the pivot indicator to give me an option to use the Data Series session or pick a different one from a drop down menu. At least that is what makes sense to me.

Having the custom session template would keep me from messing up the normal ETH template which I need for ES Chart #1.

Does that make sense? Would you agree?

[NinjaTurtle]

User defined close

Hi Harry,

Playing around with the session manager and the templates, I realized that maybe you could solve the pivot problem (settlement price vs. close price) for all instruments if you could program your indicator to use a user defined close of a specific candle or a specific time as the close price.

As you know, the problem with the close prices is that we get different pivot points depending on the close price we use (high and low being equal). The session templates don’t solve this problem for all instruments.

The settlement price is calculated for each instrument at a different time (take a look at the following links please: http://www.cmegroup.com/market-data/...s-details.html and http://www.eurexchange.com/download/...9042010_de.pdf (page 3, no. 5)).

The time span to determine the settlement price is quite narrow, usually between 30 seconds and one minute. This means that being able to define in your indicator a specific user defined close time for the pivot calculation would get us as close as possible to the real settlement price, at the same time maintaining the actual high and low values of the defined session.

Examples: Using the session template CME US Index Futures works well in order to get the “real” pivot points. This session template ends for all days at 15:15 CT, which coincides with the calculation period of the settlement price for the indexes like YM, NQ and ES (15:14:30 – 15:15 CT). I checked for the last couple of days and we are always very close or right at the correct settlement price and therefore the right pivot point.

Now the trouble begins with those instruments, where the calculation period for the settlement price and the end time for the session differ a lot. For example the calculation period for all FX Futures is between 13:59:30 and 14:00 CT. But the session ends at 16:00 CT, leaving us with 2 more hours of trading, in which we can easily make new highs or lows and close prices. This of course leads to wrong pivot points. I checked it with a session template where all end times were set to 14:00 CT. This usually led to absolutely right pivot points in the last days. But in some cases there was still a lot of market movement between 14:00 CT and 16:00 CT, which led to wrong pivots. And of course, using this session template, I’d cut off 2 hours of trading in the charts, that could be important. It is even worse with Eurex instruments, since their calculation period is usually about 4.5 hours from the end time of the session, so that one can’t just cut off 4.5 hours just in order to get the right pivots. So this is not a sustainable solution.

The solution seems obvious to me: We need a user defined close instead of just a user defined session, allowing us to define a specific time and its price to use as the close price. This would allow us to see the full session, have the right high and low prices and get as close to the real pivots as possible.

I don’t know, if this is feasible for you or at all and if you feel like doing this work. I just hope that you or somebody else will find a solution.

[Harry]

Hi NinjaTurtle,

before I give you a solution, I need to understand what you really want.

With the Session Pivots Indicator V 2.2 you can easily calculate pivots from the RTH session or the ETH session. Let us take your FOREX example:

RTH session 7:20 AM - 2:00 PM
ETH session 5:00 PM - 4:00 PM

What is not possible is to calculate "mixed pivots", which take high/low from the ETH and the settlement from the RTH session. Also I am not aware that anybody uses them. If you need mixed pivots or other fancy pivots, the indicator already allows you to enter user defined values for the last day.

For ETH session pivots, you will just select the CME FX Futures ETH session template, and use the indicator in CalcFromIntradayData mode.

For RTH session pivots you need to define a new session template with three sessions per day, which are 5:00 PM - 7:20 AM, 7:20 AM - 2:00 PM (RTH) and 2:00 PM - 4:00 PM. If you set Prior Day HLC to "CalcFromIntradayData" and Day Session Pivots to "True", the indicator will calculate the pivots from the second session, which is the RTH session.

By changing Day Session Pivots from "True" to "False" you can toggle between ETH and RTH session pivots.

The indicator is preset to take into account all two day sessions for CME traded futures in 2009 and 2010 Some holidays do not have settlement, but trades are for trade date next day.

[NinjaTurtle]

Hi Harry,

Thank you for the fast answer and sorry that I couldn't make myself understood.

My idea is not to have a session pivot (ETH or RTH) or a mixed pivot between both. It is about getting as close to the settlement price as possible.

Therefore the indicator would have to take the close of a specific time, rather than the close of a session.

The result would be an ETH session pivot with the close of e.g. 14:00 for FX or the close of 15:15 for equity futures.

To achieve this, I would have to be able to tell your indicator to use the ETH session but instead of using the close of this session, use the user defined close of a specified time (new parameter).

There is something in the Strategy Wizard, that might help to get an idea. One can use a time value as a parameter. http://www.ninjatrader-support.com/H...helpguide.html

I hope you can do something with this info and ideas.

In any case, thanks for your time and effort.

[Harry]

NinjaTurtle, all this does not make sense.

If you want the close at a specific time, you need to have a bar that closes at this specific time, the indicator only takes the data from the data base, and if there is no bar close at this specific time, there will be no data.

The only way to get that bar, is to define a session that closes at this time. For your 15:15 close for ES you need to define a session that closes at 15:15. On a 30 min chart this session will cut off the last bar, so it will have the close 15:15. So just apply the standard pivot indicator to ES with the CME US Index Futures template, and you get what you ask for.

If you want a currency futures close at 14:00, you need to define a session that closes at 14:00. You can define multiple sessions per day. But again, the currency futures market is tiny compared to FOREX markets and it follows FOREX tick by tick. The FOREX market is not interested in any 14:00 CT close, so your 14:00 pivots are probably useless. The relevant close for FOREX is the 17:00 ET close at New York.

I definitely don't understand, why you want to use such funny mixed pivots that nobody else uses, with a settlement in the middle of a session.

Please have a look at other pivot sites such as www.mypivots.com or www.pivotfarm.com and compare.

Hi Harry,

Thank you for the fast answer and sorry that I couldn't make myself understood.

My idea is not to have a session pivot (ETH or RTH) or a mixed pivot between both. It is about getting as close to the settlement price as possible.

Therefore the indicator would have to take the close of a specific time, rather than the close of a session.

The result would be an ETH session pivot with the close of e.g. 14:00 for FX or the close of 15:15 for equity futures.

To achieve this, I would have to be able to tell your indicator to use the ETH session but instead of using the close of this session, use the user defined close of a specified time (new parameter).

There is something in the Strategy Wizard, that might help to get an idea. One can use a time value as a parameter. http://www.ninjatrader-support.com/H...helpguide.html

I hope you can do something with this info and ideas.

In any case, thanks for your time and effort.

[NinjaTurtle]

Harry,

It's not me wanting some "funny" pivots, its the market and the exchanges that define those pivots. If you have the courtesy to take a look yourself at www.mypivots.com and check each instruments close and compare these instruments closes with the exchanges official "daily settlement prices" which are determined at the times listed here http://www.cmegroup.com/market-data/...s-details.html, you will see, that they are indeed the same.

Examples for today:

Prior Settle according to CME and close from mypivots.com

• 6E | 1,2178 | 1,2178
• 6B | 1,4637 | 1,4637
• YM | 10258 | 10258
• NQ | 1897,75 | 1897,75
• ES | 1103,5 | 1103,5

and so on and on.

And this official daily settlement prices are determined at specific times like between 15:14:30 and 15:15 for the equities, 13:59:30 and 14:00 for FX etc. It has nothing to do with the end of a session. This close prices (daily settlement prices) are not determined by the end of a session. And as you can easily see, the calculation of the settlement price does lie in many cases in the middle of the session or somewhere in between. For the equities this just coincides by chance or any other reason with the session end. But the high and low values mypivots.com uses are the high and low values of the full ETH session.

So again, it's not me wanting a weird close price from somewhere in the middle. What I want is the real settlement price. But since zenfire doesn't provide that, the only solution for me is to get as close as possible.

As you already stated, you would need to have a bar that closes at this specific time. This is not a problem on a smaller timeframe like a 1or 5 Minute chart. You will always have a bar that closes at the required time. Other timeframes could run into problems, depending on the start time of the session.

If you are right and the only way to get that bar is to define a session that closes at this time, then I guess that's bad luck for me. And it is no solution to define a shorter session with the desired close, because then I would cut off several hours of trading in the worst case and still get the wrong pivots, because high or low values that might have emerged after that time won't be considered. And as I already said, the high and low values come from the full ETH session.

Sorry, if I still can't make myself understood. I can't explain it any better than I tried.If If I still couldn't get the idea across, please don't bother with it any more.

[Harry]

Let us go it case by case.

ES. The best proxy you can get for the settlement from intraday data is the bar close at 3:15 PM. For ES this is usually between 0 and 4 ticks off the settlement price. As the close enters with 1/3 into the pivot formula, this may create a pivot that is one tick off. If you take the standard CME US Index Futures ETH session, you will get the best proxy that is possible for the pivots.

Yesterday for ES settlement price was 1103.50, high 1105.25, low 1090.75, so the correct pivot PP would be 1099.83

If you take the close value of 1104.25 instead of the settlement, you get a main pivot PP of 1100.08, which is 1 tick off. This is the best you can get with the available data. See chart 1 below.

If you take 6E and you want to use RTH Pivots, you need to define a RTH session with session times 5:00 PM - 7:20 AM, 7:20 AM to 2:00 PM and 2:00 PM to 4:00 PM. Screenshot of session template shown below. In this case the pivot indicator will calculate pivots from the RTH session, when set to "Day Session Pivots = true". For yesterday the RTH high was 122.70, the low was 1.2152 and the RTH close 1.2178, so the main pivot displayed for the RTH session is 1.2200. See chart 2 below.

If you want Special Pivots with ETH high and low and RTH settlement, you need to enter HLC manually. You will get a main pivot of 1.2219. See chart 3 below.

If you want ETH Pivots, just use the standard CME FX ETH template, and you will have a high of 1.2328, a low of 1.2152 and a close of 1.2157, returning a main pivot of 1.2212. The result can be seen in chart 4 below.

Now you can compare the 3 different pivots generated for 6E. I find the ETH pivots most useful. The point here is that 6E has a small volume compared to the EURUSD FOREX market, and the latter has a close at 5:00 PM Eastern Time. So for EURUSD, I would always take the 5:00 PM close (www.pivotfarm.com also uses this). As the FOREX market leads 6E, which follows pip by pip, I cannot imagine the use of different pivots for 6E compared to EURUSD. I suggest that you compare the ETH and the special pivots for the last 30 days and have look a how the lines show up.

If you do not want to put in those values for the special pivots manually, somebody would have to code a new indicator to do that. It would further complicate the pivot indicator, as you would need to use the custom session template to retrieve that settlement bar. But of course, it can be done.

[Harry]

Thinking this settlement price through for a clean solution....

(1) User defined values are clean, but you need to enter them manually. Advantage is that you do not need to divide your session into sub-sessions, which may distort other indicators.

(2) If you want an automated solution for this, one option would be to define session templates that have a different settlement price for each contract. However, you would then probably have three intraday sessions: Night session (electronic), day-session pre-settlement and day-session after settlement. This would distort other indicators as NinjaTrader cuts off the bars at the end of each session, so 60 min bars may become 30 min bars, etc. - so this solution would be unsatisfactory.

(3) You could try to load minute data on top of the chart data and calculate pivots from that minute data by using the settlement time (average price of settlement period).

(4) You could try to download high, low and settlement from an external source and then use it within the indicators.

(5) You could import daily data (high, low settlement) and then use that daily data.

None of the solutions is easy to implement and this would become an entirely new indicator.

[NinjaTurtle]

Hi Harry,

thank you for your effort and thoughts.

What you describe under point 1 is exactly what I do each and every morning: I enter them manually. This is rather time-consuming and annoying. So I saw a chance here, to get rid of this work by maybe getting as closes to the settlement price as possible by using the close of a specific time.

About the special pivots: They aren't special at all. This is what mypivots.com provides every day. And they work for me. But considering the FX Market, I'll give your thoughts a try and see, if other pivots won't work even better. Maybe this way I will get rid of this annoying morning routine.

About Point 2: Apart from distorting indicators, it can also lead to wrong pivots, if a high or low value occurs outside of the relevant session.

About point 4: Would be great if I could do this automatically, but I have no idea how. Zenfire doesn't have the data and I have no idea, if and how I could download this from an external source. Same with point 5.

[Harry]

Hi NinjaTurtle,

just checking Kinetick feed. The daily bars use high, low and settlement as per exchange. So you just would need to set your pivots indicator to DailyBars mode and you will get the correct pivots you wanted with the settlement mid-session.

However for currency futures, these pivots do not make sense, as price seems to ignore them. So for currency futures you would set the indicator to CalcFromIntradayMode and take the session close at 5 PM Eastern Time.

[Harry]

here is a good daily pivot zone indicator by ana pivots
http://www.etradingforum.com/showthread.php?t=18&p=118#post118

I am the author. That forum just publishes indicators which they have copied (stolen) from
Big Mike Trading. If you want the last version of the indicator (V38), you can find it here:

http://www.bigmiketrading.com/download/ninjatrader-7/indicators/751-download.html?view

You should also read the thread "NT7 Toolbox for Floor Pivots" as the indicator will only yield correct results, if appropriate session templates are used.

You can also send me a private message to get the last copy of the indicator.

The indicator is near-identical with the SessionPivots indicator in the download section of this forum. The only difference: the Pivots are displayed as zones instead of lines.

[Harry]

etradingforum is a free forum dedicated to all newbie traders,..every thing is provided for free,..no need to copy anything form no body,.google free indicator for NT and you can get what you want!! its time new traders get some thing for free!!

I disagree. There seems to be only one guy, who has posted under 10 names and stolen a number of indicators. The forum does not help beginning traders, because there is no substance at all. If you look for a good forum for a beginning trader, you may go to

-> Elite Trader (www.elitetrader.com)
-> Big Mike's (www.bigmiketrading.com)
-> Trade2Win (www.trade2win.com)
-> Trader's Laboratory(www.traderslaboratory.com)

but don't promote a forum here that sucks. By the way, all posts you have written so far, were promoting etradingforum. Not difficult to know that you are the one who has written the posts and copied the indicators.

Too bad that I am the author of that indicator which you recommended, and of course I know, where I had it published.

[mate41]

Hello Harry,
I also don't like posting indicators that are not mine.
But many programs include parts from others. So, what is stolen and not?
I don't want re-invent the wheel to and many of my indicators are an assembly or parts from other indicators.
May they published or not ?

[Harry]

Hello Harry,
I also don't like posting indicators that are not mine.
But many programs include parts from others. So, what is stolen and not?
I don't want re-invent the wheel to and many of my indicators are an assembly or parts from other indicators.
May they published or not ?

I post indicators and of course they can be freely distributed. But the indicators require a description for best use. So if someone wants to publish them, a reference to the original source is a question of politeness.

I have also posted manuals or documents that were made available by other websites, but then I refer to the site, so that the reader can check the source.