Pivots not working

[NinjaTrader_JoshP]

Guys,

Close your NT, go to Documents\NinjaTrader 7\db and delete only NinjaTrader.sdf. Then restart NT and that will be a brand new DB.

[Harry]

Brand new DB with false pivots

Hi Josh,

did this. Created a new session template Globex with the brand new DB and put the brand new pivots indicator on -> false pivots as before. Now I am going to restore NinjaTrader.sdf (that will save me some time). Can't you just create that template, put the pivots on and check all Wednesdays?

Harry

Guys,

Close your NT, go to Documents\NinjaTrader 7\db and delete only NinjaTrader.sdf. Then restart NT and that will be a brand new DB.

[FatCanary]

Hi Josh

Great, I now have the ETH template. Unfortunately I still get incorrect pivots when using DailyBars on a 2 min YM chart. CalcFromIntradayData works fine.

When using DailyBars I get different (incorrect) levels between Zenfire and IQFeed connections.

[FatCanary]

Harry

I'm in the UK, so timezone is GMT.

I've checked Feb 22nd, 23rd, 24th, 25th and today's pivots. They all calculate correctly, using the Globex session and NT's new ETH session, when set to CalcFromIntradayData.

They are, however, incorrect when set to DailyBars.

[Harry]

Logic of GetSessionDate() flawed

Fat Canary, you will not observe the error because it is related to the time zone of the system clock. Here are the details:

I coded a small indicator attached below that displays the DayOfWeek for the value returned by GetSessionDate() for the first bar of the session. If I apply this indicator to ES / Globex template / system clock CET, it returns two Monday sessions (see chart below). Why is this?

The Monday session starts at 17:00 Central Time -> converted to CET this becomes Monday 0:00 -> GetSessionDate returns Date of Monday. The Tuesday session starts at 15:30 Central Time -> converted to CET this becomes Monday 22:30 -> GetSessionDate returns Date of Monday as well. So you get twice the same date, which creates the bug. Now in GMT you would have got Sunday and Monday -> you cannot observe the bug.

The problem here is that the Sunday session for ES is 1,5 hours shorter than the other sessions. Only way to get coherent session dates, is to take the session end time to qualify the date of a session. I have already pointed this out several times, but nobody listens.

My message to developpers again: The logic of GetSessionDate() is flawed. Not all sessions are of equal length. You need to reference the session end and not the session begin to avoid further bugs.

For the cases I tested, it was sufficient to replace bars.GetSessionDate() in line 324 of the pivots indicator with bars.GetSessionDateFromLocal().
This solved my problem for the futures that I trade. But if GetSessionDateFromLocal() also references the session begin, there may be a time zone further East for which the same problem is experienced.

[NinjaTrader_Dierk]

Josh isolated some issues which we'll analyze further. However, this will take a while since our expert is out next week. Nevertheless we'll get back to with our findings.

Thanks for researching and your continued support.

[Harry]

Hi Dierk,

thank you for your answer. To remove the bug from the pivots indicator, just replace bars.GetSessionDate() in line 324 with bars.GetSessionDateFromLocal(). Indicator tested and joined.

Again I have plotted the DayofWeek values of the dates that are returned by the two methods on the charts below. So you can see that the GetSessionDate() method does return the same DayOfWeek for two different sessions, where as GetSessionDateFromLocal() - as far as I could test it - returns the correct values for the session days.

Josh isolated some issues which we'll analyze further. However, this will take a while since our expert is out next week. Nevertheless we'll get back to with our findings.

Thanks for researching and your continued support.

[NinjaTrader_Dierk]

Thanks. We will get back to you as we have some findings.

[NinjaTrader_JoshP]

Harry,

Globex template is your own custom template. Please provide every single session definition you are using as you have defined it in the Session Manager so there is absolutely no confusion. Screenshotting it would be the easiest. Thank you.

[FatCanary]

Harry

Am I correct in assuming that your PivotsV2 is the NT version with the 'bug' removed?

For me this works just the same as the latest NT version. OK with CalcFromIntradayData but not with DailyBars.

Not sure if that helps at all!


EDIT: I have tested both versions with Harry's Globex template

[NinjaTrader_JoshP]

FatCanary,

Your issue in the GMT timezone is completely different than Harry's. We will respond after we have completed our investigation.

[Harry]

(1) Did you connect ES to Globex template under instrument settings?
(2) Was <instrument settings> selected for the data series?
(3) Can you show me a screenshot?
(4) Who is your daily data provider?

Harry

Am I correct in assuming that your PivotsV2 is the NT version with the 'bug' removed?

For me this works just the same as the latest NT version. OK with CalcFromIntradayData but not with DailyBars.

Not sure if that helps at all!


EDIT: I have tested both versions with Harry's Globex template

[Harry]

I set my system time to GMT to check the Pivots V2 -> DailyBar pivots correct, but CalcFromIntradayData are false (inverse to what FatCanary found) So at least 2 bugs.

I believe that these pivots are correct:

http://www.ninjatrader-support2.com/vb/local_links.php?action=jump&catid=1&id=271

Anybody willing to test it?

[FatCanary]

Harry

ES with Globex session using Zenfire.
The pivots are correct as per my manual floor pivot calculations that I rely upon every day.

Hope it helps.

[Harry]

You are absolutely right. The pivots are correct. Actually it was my mistake, because after changing my system clock, I forgot to reload data for ES and thus induced an unwanted displacement of the time series by 1 hour. After reloading I get correct pivots for both CalcFromIntradayData and DailyBars with the PivotsV2 indicator. Get the same pivots also with anaPivotsV14 indicator. So they all seem to be correct?

What about your Dailybars?

Harry

ES with Globex session using Zenfire.
The pivots are correct as per my manual floor pivot calculations that I rely upon every day.

Hope it helps.