Pivots not working

[NinjaTrader_JoshP]

I will get back to you guys. Thanks.

Edit: FatCanary, I am unable to reproduce your issue. Please create a multi-time frame chart and add a Daily time frame underneath a 30 minute chart. Add your pivots to the 30 minute series and see the values being static regardless of pressing F5.

The values are calculated one day off as reported, but they do remain static. Is anyone else seeing what FatCanary is seeing? FatCanary, are you sure you are on 7.0.0.9?

[higler]

Thanks Josh. BTW, the daily NQ pivot (PP) value of 1746.33 on your chart in post #41for Feb 11 does not seem to be correct. The correct daily pivot value for NQ today should be 1747.83 which is what is calculated in NT 6.5 and also according to http://www.mypivots.com/dn/?symbol=252 I have found that NT 6.5 and the web link correspond exactly every day. The PP on your example doesn't seem to be today's or yesterday's or the day before for NQ.

I am going to see if I can reproduce any of FatCanary's observations.

[Harry]

Further findings

NT 7.0.0.9 used with TWS 900.6

Refreshing with F5: No problem with TWS, but Fat Canary's problem may be linked to Zenfire feed.

CalcFromIntradayData mode: There is also a number of cases, where the indicator takes high and low one day early. It can be seen best with the version of the indicator attached (have added prior high, low and close to check visually). YM's pivots with Globex session were correct for Monday and Thursday, but false for Tuesday and Wednesday (1 day off). The screenshot of YM in CalcFromIntraday mode for last Tuesday shows that the pivots were calculated from Friday's high, low and close.

DailyBars mode: ES, ZB with appropriate Globex session and all Currencies with standard FOREX version produce false values. These are all sessions that start prior to midnight. This is also the key to understanding, why MergeBackAdjusted did not work in those cases.

[higler]

I just changed the data series for my 1 minute NQ to Use Instrument settings and I get the correct pivot for today. If I switch to default 24/5 or default 24/7 based on Eastern Time then I get yesterdays value. If I change Default 24/7 to be based on Mountain Time zone then I get today's value. If I use Harry's Globex hours then I get yesterday's NQ pivot value. These are all based on NQ 03-10 1 minute bars with PivotRangeType Daily, PriorDayHLC DailyBars, 10 days data loaded chart.

[Harry]

The main culprit

Hi Josh,

these are the culprits: If I select YM with Globex session, both

Bars.GetSessionDate(Time[0].DayOfWeek
GetLastBarSessionDate(Time[0], Bars, pivotRangeType). DayofWeek


never return Friday. So they are flawed.

Now let me speculate about this, because I cannot verify it:

If you define the session date by the date of the beginning of the session, YM's Friday's session starts on Thursday and you will never geet any Friday. To correct the behaviour you would need to catch the end of the session and not the beginning. I do not know any session that ends after 12:00 PM local time of the session date, however I know lots of them that start prior to 0:00 AM. Hope this helps a bit.

[FatCanary]

Josh

Definitely using 7.0.0.9
Have done the multi-timeframe chart and the values do remain static and they are today's values, not yesterday's.

I've attached a screenshot just to make sure I've got the chart as required.

[Harry]

Also tested Bars.GetSessionBar. This one never returns Monday, if used with ES/YM/NQ and Globex session.

So the both Bars.GetSessionBar and Bars.GetSessionDate are flawed. This might have also caused the problem with the MergeBackAdjusting of contracts. Session template that cause false pivots are also merged incorrectly, which means merging takes place after the rollover session and not at the start of the rollover session as expeceted (did not test this for 7.0.0.9 but for 7.0.0.8).

[Harry]

Try this

Your chart uses the 24/7 template -> correct pivots.
If you use Globex template -> yesterday's pivots.

Josh

Definitely using 7.0.0.9
Have done the multi-timeframe chart and the values do remain static and they are today's values, not yesterday's.

I've attached a screenshot just to make sure I've got the chart as required.

[NinjaTrader_JoshP]

Harry and higler,

The incorrect dates issue that was original posted prior to my last post has been sent to development for investigation and I believe the latest posts from you guys are all tied in relation to the same original issue.

What is still pending is FatCanary's issue which I was unable to reproduce. Were you guys able to reproduce? Thank you.

[FatCanary]

Harry
Changed session to CME Global Index Futures RTH and got today's values. So, that's the same as I get with 24/5.

Josh
Just retried the multi-timeframe chart. It took about 30 (!) presses of F5 but PP went to 10008. This was what I was getting on a plain 60 min chart but with more presses of F5.

Man, I'm confused. ;-(

EDIT:
I'm not too fussed about the F5 thing but it would nice to be able to rely on the values the pivot indicator is providing. Otherwise I'll have to verify against my own calculations each time. If I'm going to do this I may as well use UserDefinedValues, which defeats the purpose of automation.

[Harry]

Fat Canary

I was not talking about real trading hours (RTH) session. This will get correct values. If you want to get false values, you need a session that starts the prior day, such as Globex (ETH) session. You need to enter the template, because it is not yet included.

FOREX causes similar problems, because the session ends at 10 PM GMT. At least I get false pivots with the FOREX session template for currencies.

[higler]

I have not been able to reproduce FatCanary's F5 issue under B9. Still trying.

[NinjaTrader_JoshP]

FatCanary,

Unfortunately I do not know what could be causing your issue. I suggest trying a 100% clean reinstall with the deletion of Documents\NinjaTrader 7 directory.

[FatCanary]

Josh

Just did a partial re-install which made no difference. I'll try 100% clean install but I don't want to lose my ATM Strategy templates. I've not been able to find these files, how do I back them up?

Thanks.

[NinjaTrader_JoshP]

FatCanary,

File>Utilties>Backup>check Database and that will save your ATMs. Suggest you retry from a clean reinstall before restoring any backups though.