Pivots not working

[higler]

I'm posting this in case it might help identify what is going on with the Pivots indicator.
After the NQ "market close" (2:15 MST) I shut down NT 7.0.0.8 (64 bit) and deleted my NT 7 db files so I could start fresh. I then restarted NT 7.0.0.8 and did the following:

1. Connected to Barchart.
2. Opened a new NQ 1 minute chart, 5 days data, "Use instrument settings" template.
3. Applied the Pivots indicator with default settings.
4. Opened the data box so I could view the pivot values.

This was after the market hours for the selected template so the chart was not moving.
I put the cursor over the chart for today and left it stationary. I then repeatedly pressed F5 and I consistantly got the correct pivot values everytime.

I then started moving the cursor over today's chart while repeatedly pressing F5 and often got erroneous pivot values. The erroneous pivot values seemed to change at about the point where the moving cursor was when I pressed F5. They were erroneous before and after that point but they were different (kind of like a break point of bad values).

I then left the cursor stationary over the chart and repeatedly pressed F5. All good values again.

It seems strange to me that pivot calculations would change just because the cursor is moving during chart reloading/recalculating. This phenomenon is repeatable for me.

I don't know if this is helpful or not but I thought I'd share in case there are "darker forces at work".

[NinjaTrader_Dierk]

Thanks. I believe we isolated the cause of trouble and are working on a fix for next update.

[higler]

At what time should new pivots take effect?

As I have "played" with the various incarnations of the Pivots indicators, it seems to me that the Pivots indicators' values normally are calculated to take effect on a new day (after midnight). Is this the way that it should be (I'm not a pivots expert) and I am just wondering? Take for example the CME NQ. I believe that it closes on 3:15 P.M. Central Standard time at which time all the values should be available for the new pivots calculation (I don't know how soon the CME posts the "official" values or when the day's bar is actually available). Shouldn't the new pivots be in effect for the next 24 hours after that time and not wait until the next calendar day to calculate them? It doesn't really affect me since I wait for the regular trading hours of the following day, but for those who trade the extended hours, when should the new pivots go into effect. Perhaps pivots don't have much affect on extended trading hours, but I am just wondering about the principal of when new pivots should be considered to take effect.

There's lots of things that I definitely don't understand, like where does NT7 get the daily bar data that it uses for Pivot calculations. I'm assuming that it has access to the actual CME type of data for OHLC and not from the time frame of my charts since, when working, the Pivot values are dead on.

Thanks.

[FatCanary]

Hi Higler

Not sure if this answers your question but daily pivots are based on HLC of the previous day. Midnight should have no bearing as pivot values are derived from the normal market hours of the instrument. For example, ES closes at 4.15 EST so the pivots would be based upon HLC for that day, which ended at 4.15. So, today's pivots should 'reset' at 4.15 EST for ES.

Obviously for an hourly pivot the values are taken from the previous hour's HLC.

I'm wondering if this is a session template issue as I had no issues with daily pivots in NT6.5.

[higler]

So, today's pivots should 'reset' at 4.15 EST for ES.

So, when the ES "reopens" at 4:30 EST then it should be using the "new" daily pivots?

[higler]

Thanks. I'll just wait for the new version of the Pivots indicator. I just wasn't sure when the appropriate time was when new pivots were "deemed" to be in effect (after close of session or waiting until next calendar day)?

[FatCanary]

So, when the ES "reopens" at 4:30 EST then it should be using the "new" daily pivots?

That's my understanding as, at 4.30 EST, we are technically into a new trading day and the closing or settlement price should have been posted.

[Harry]

If you are talking about daily pivots for ES , there are 3 options

(1) Pivots for the 24 hour session

If you use the NT pivots in CalcFromIntradayData mode

(a) For NT 6.5. you need to select the appropriate session under chart properties. The electronic trading hours (ETH) of ES are 3:30 PM to 3:15 PM Central Time. Before entering this under chart properties, you will have to convert this to your local time.

(b) For NT 7 you need to define a session template and then select this template for the chart to display. Unlike NT 6.5. you need to enter the trading hours into the template in time of exchange, so do not convert to local time. The session template for electronic trading hours would be
Sunday 17:00 CT to Monday 15:15 CT, then for the next four days 15:30 CT to 15:15 CT following day.

(2) Pivots for the day session

If you use NT pivots in CalcFromIntradayData mode

(a) For NT 6.5. you will again enter the session times via chart properties, as above in your local time. Unfortunately the chart then will cut away the data of the night session, but you are rewarded with correct pivots for the day session. Session times are 8:30 Central Time to 15:15 Central Time.

(b) For NT 7 you can use the predefined session template CME US Index Futures RTH (real trading hours). This will also cut off the data for the night session, but reward you with correct pivots.

(3) Pivots for the cash session

Same as (2), but the cash session closes 15 minutes earlier, when the stock market closes.

What do traders use?

All of them.

In DailyBars mode the pivots indicator plots pivots calculated from the daily high, low and close of your daily data. Usually your data provider will provide 24-hour-bars for ES (case 1), eventually you will get RTH data (case 2).

The best solution for NT7

Create your own daily bars from intraday data: Export intraday data. Then change instrument settings to the session template that you want to use to create daily bars. Then reimport the intraday data as daily data. Now you have customized daily bars. Then reset your session template for ES to ETH. This allows you to have RTH pivots calculated from DailyBars and display all of the data!

Confused?

[higler]

Confused?

Yes, but I'll recover. Thanks all!

[higler]

Beta 9

Here is my experience with Pivots Beta 9. Maybe there is something wrong in my setup.

I am using the NQ, 1 minute chart, PivotRangeType Daily, PriorDayHLC DailyBars. Connected to Barchart.com data feed.

It seems to be calculating the daily Pivots correctly but it is plotting the previous day's pivots. For instance today's NQ pivot (PP) should be 1747.83 but it is plotting 1750.42 (correct value for yesterday). I've tried various session templates and I keep getting the same previous day's pivot values for today. I don't know if this is my settings or the Pivots indicator since the values seem to be correct, it's just plotting the previous day's pivot values. As I scroll the chart back in time it seems to consistantly be one day off.

[NinjaTrader_JoshP]

higler,

Can you please clarify how you achieved those results. Attached is my chart with pivots and it seems to work. Thank you.

[FatCanary]

Beta 9 pivots still exhibit the same behavior as previous versions, i.e. F5 'toggles' between correct values and incorrect values.

I've got a 2 min YM chart with pivots set to daily and dailybars. On connecting to Zen-fire the pivot levels were as they should be (bearing in mind the closing Zen-fire price does not always equal the settlement price). Pressing F5 3 times set the levels way off, they weren't even yesterday's levels.

So it appears that once the chart has the correct pivots just don't hit F5 or reload data!

[NinjaTrader_JoshP]

FatCanary,

I pressed F5 about 20 times in a row and my PP value is calculated as 9990 each time. Can you please clarify steps to reproduce? Thank you.

[Harry]

I just checked the pivots for ES with the Globex session.

They are yesterdays pivots as Higler already found. Please see screenshots below: Left chart : yesterday's pivots, right chart: today's pivots. The pivots are close because yesterday was an inside day, nevertheless they are false and show the pivots of Wednesday.

To reproduce: Default chart, then select Globex session. Globex session is the standard session for ES, NQ and YM. It is not included with the templates yet. Trading hours are Sunday 17:00 CT - Monday 15:15 CT, following for days form 15:30 CT - 15:15 CT next day. Apply pivots in DailyBars mode.

The indicator, as I already stated for NT 7.0.0.8 takes the wrong date and displays yesterdays pivots.

[FatCanary]

Hi Josh

Opened workspace > applied NT pivots to 2 min YM chart > connected to Zen-fire > PP 9990 > pressed F5 twice > PP now 9917.

I'm not doing anything fancy, honest ;-)

EDIT:
Have just tried with a fresh 60 min YM chart, no indicators other than NT pivots and no templates applied. I get PP 9990, press F5 twice and now I have 10008!