Pivots not working

[FatCanary]

Harry

DailyBars still off. Who's your data provider?

[Harry]

Using Interactive Brokers. Do you have real DailyBars or those pseudo daily bars created from 1440 minutes? If you open a daily chart, is that in line with intraday charts?

Harry

DailyBars still off. Who's your data provider?

[FatCanary]

I did actually think Zenfire now gave proper daily bars but after checking a daily chart I'm not so sure. The daily bars do not cover the entire session's range.

This should probably be on another thread, but can someone from NT support tell me whether Zenfire should give 'proper' daily bars.

If I use IQFeed then pivots are correct for both CalcFromIntradayData and DailyBars. In fact, when using DailyBars, IQFeed picks up the settlement price which means the pivot levels are then spot on.

So, if I use IQFeed then NT pivots work great when using the CME ETH template.
This would point to Zenfire causing my issues with the pivots.

[Harry]

That's what I thought. Being GMT +1 I had to modify the indicator, just to replace the offensive bars.GetSessionDate() in line 324 of the indicator.

[FatCanary]

Upon further testing it would appear that pivots, calculated from DailyBars, are unreliable when using Zenfire as the data source.
Zenfire does not always record the correct high and/or low of the day session. This is evident from a daily chart and also the historical data manager.

I have, however, only checked this against YM. Other instruments may be recording correctly.

[Harry]

This, at least, has nothing to do with the indicators. It just confirms the common wisdom -> garbage in -> garbage out that applies to all indicators that use bad data.

Upon further testing it would appear that pivots, calculated from DailyBars, are unreliable when using Zenfire as the data source.
Zenfire does not always record the correct high and/or low of the day session. This is evident from a daily chart and also the historical data manager.

I have, however, only checked this against YM. Other instruments may be recording correctly.

[NinjaTrader_JoshP]

Zen-Fire daily bars are generated off of RTH session templates. It doesn't matter what session template you select as they are simply not recorded in the NT servers with those sessions.

[FatCanary]

Aha! Now it all makes sense.

And presumably Zenfire will not be supplying 'proper' ETH daily bars any time soon? ;-)

[NinjaTrader_JoshP]

FatCanary,

Thanks for the suggestion. Don't believe anything will change for the time being though.

[Harry]

Hi Josh,

did you finally check GetSessionDate() and GetSessionDateFromLocal() and have you modified the pivots indicator?

[NinjaTrader_Dierk]

Our expert will be back next week. We will get back to you. Thanks

[Harry]

Any news so far? As per post # 95 I had even coded an indicator to demonstrate that GetSessionDate() does not work as expected! If this does not work, it might be also responsible for other bugs.

Again the problem here is not only the false date of the sessions, but that Monday and Tuesday sessions easily get the same date, if the Monday session is shorter than the Tuesday session. Actually with Globex session and ES it returns two Monday sessions, if you are located in Central Europe. This creates false pivots, but what else?

[NinjaTrader_Dierk]

We're working on that issue and will get back to you as there is an update. Thanks

[Harry]

Hi Dierk, thank you for your reply.

[Harry]

NT 7.0.0.11 , now tested pivots.

I do not understand, how you modified GetSessionDate(), but during a quick test I made, I only found correct pivots, if the lookback period was large enough.

There is a minor point to mention that relates to weekly and monthly pivots:

If the pivots for the last day are not correct, because the data is insufficient (say weekly pivots on a chart with a lookback period of 8 days, so they are calculated from half the prior week only), the false pivots are displayed and a warning message is written. I would not display false pivots.

Moreover, if you have a chart with a longer lookback period and you scroll back to the beginning, usually the first set of pivots that is shown for the lookback period is false due to incomplete data - and there is no warning message popping up. So I would suggest to display the warning message there as well and not display the false pivots.