Spurious error message from Pivots indicator

[MikeInMA]

This occurred when using the Pivots indicator to calculate weekly pivots, with the indicator configured to calculate from intraday data. (See image below for indicator configuration.)

Running an ES chart with the appropriate RTH template, I noticed the Pivots indicator placed an error message on the chart at the threshold where it had just enough data to compute the pivot correctly. The chart shown below was created on Monday, Oct. 4. The data in the chart span Monday, Sept. 27 through Monday, Oct. 4. That means the entire prior week – Sept. 27 through Oct. 1 – is available, so the weekly pivot can be calculated correctly. Therefore there shouldn't be an error message on the chart. (If the first day loaded is changed to Friday, Sept. 24 the error message goes away. But data from the prior Friday are not required to compute the weekly pivot correctly!)

[NinjaTrader_Jason]

Hello MikeInMA,

I am able to reproduce the error message and I have forwarded your findings to our Development team.

Thank you for reporting.

[NinjaTrader_Jason]

Hello MikeInMA,

Unfortunately the error message can occur in such a situation. 7 days of historical data is not enough in most cases.

The Pivots indicator will still display values as per the historical data that is present.

[MikeInMA]

Clearly the error message can occur because it does occur. The question is, Should it? I say no.

Let's not get hung up on how many days of data you need, because it's a moving target. The bottom line is, for a weekly pivot you need data going back to Monday of the previous week (or possibly Sunday if working from ETH data). Running on a Friday you'll need something like 11 days of data. But when running on a Monday 7 days should be enough.

Anyway, my original comment stands. If the first day of data in an RTH chart is the Monday from the week prior to the last day in the chart, there are sufficient data to calculate the weekly pivot. An error message saying there are insufficient data should not appear.

[NinjaTrader_JoshP]

The message should and will occur as expected. A weekly pivot calculation requires all data from the prior week. The only way to truly ensure all data from the prior week is available is to see data from the week before that. That means you need to load at least one bar from Friday the week before the prior week to fully ensure you have all data from the prior week loaded. When this is ensured, then the message will go away.This means loading to 9/24 which is the session prior to the Sunday session. Only when the indicator can clearly see that the session has switched over to the Sunday session without missing any data can it say it has enough data. This is the nature of using "CalcFromIntradayData". Everything relies on the charts including session determination.

[MikeInMA]

I see your point. With the advent of session templates, though, I would think the indicator could determine that it has all necessary data without having to go back an extra day. Because it's still true that it gives a warning saying insufficient data when the data are sufficient.

[NinjaTrader_JoshP]

I agree that under most scenarios using session templates and dates should suffice, but it is theoretically possible to define some very weird session templates with various segments which would not be possible to say all data was loaded for that week. The reliance on the session prior to the week is the most surefire way to ensure the data was loaded though and so that is what the indicator uses.