Pivot Question

[Harry]

The pivot indicator that I've loaded for NT7 shows up in my indicator list as "anaPivotsDailyV16". Please confirm that this is the latest version for NT7.
Todd

Correct.

I've got an ES chart open with the pivot indicator loaded. I want the pivots to calculate based on RTH 9:30am to 4:00pm EST but I want to be able to see the price move outside of those hours. Is that possible?

Can be done by modifying end times of Session Template CME US Index Futures ETH from 3:15 PM to 3:00 PM (Central Time) and set indicator to CalcFromIntradayData and Session Length to 6:30. You will not have data for the 15 minutes after the session close. You could also modify the start times, but there are other inconveniences. The cleanest solution is available with the next release of the indicator V20. I will send you a private message.

In NT6.5, I would accomplish this by using a chart properties start time of 4:30pm EST start time and a 4:00pm EST stop time. I would then have the pivot calculate the session as 9:30am EST to 4:00pm EST. But I don't know how to accomplish the same thing in NT7.

Use modified session template as explained above.

The anaPivotsDailyV16 indicator doesn't have any inputs for session start and stop time. I'm assuming that it's pulling the session time from the data series area but I don't know that for sure.

Correct, it pulls the information from the session manager, as the session manager stores the information in exchange time and then converts it as needed to the local time of your PC (taking into account issues like DST, which can be handled by .NET 3.5).

[toddaclark]

Getting ES to show price action during ETH but calc the RTH pivot (4pm close)

Harry,

The pivot indicator that I've loaded for NT7 shows up in my indicator list as "anaPivotsDailyV16". Please confirm that this is the latest version for NT7.

I've got an ES chart open with the pivot indicator loaded. I want the pivots to calculate based on RTH 9:30am to 4:00pm EST but I want to be able to see the price move outside of those hours. Is that possible?


In NT6.5, I would accomplish this by using a chart properties start time of 4:30pm EST start time and a 4:00pm EST stop time. I would then have the pivot calculate the session as 9:30am EST to 4:00pm EST.

But I don't know how to accomplish the same thing in NT7.

The anaPivotsDailyV16 indicator doesn't have any inputs for session start and stop time. I'm assuming that it's pulling the session time from the data series area but I don't know that for sure.

Please help.
Thanks,
Todd

[Harry]

Hi Todd,

I do not have a 64-bit environment and I am not a software developper, so I can only give you an incomplete answer. From my limited experience, there is still a considerable number of unresolved issues, but nevertheless I prefer NT 7 to NT 6.5, because the advantages outweigh the inconveniences.

Thanks, Harry...

Can't blame me for asking

Do you really think that NT7 is pretty stable now? I've been trying to get a sense of that from various NT7 users over this past weekend. As you might guess, the response I've gotten has been "mixed".

But NT Josh told me that they were dedicating all of their resources currently to getting the program stable so that gave me considerable pause.

What is your thoughts on NT7's current stability?

Todd

[toddaclark]

Thanks, Harry...

Can't blame me for asking

Do you really think that NT7 is pretty stable now? I've been trying to get a sense of that from various NT7 users over this past weekend. As you might guess, the response I've gotten has been "mixed".

But NT Josh told me that they were dedicating all of their resources currently to getting the program stable so that gave me considerable pause.

What is your thoughts on NT7's current stability?

Todd

[Harry]

Hi Todd,

I am sorry that the answer is no. As NT 6.5 does not truncate the bar - as NT7 does - the close to calculate the pivots is simply not included with the intraday data of the data base, and the indicator cannot invent a suitable close.

So you have to enter 'em manually, if you want 'em accurate. Or switch to NT7, which is pretty stable by now. Can't help you here.

[toddaclark]

A question about fixing a NT6.5 glitch - using the CMI6.5 pivot indicator

Harry,

Is it possible to programmatically tell NT to truncate the range bar or SBS renko bar at the end of the trading session so it will record a "prior day close" accurately - or almost identical to what I would see on a minute chart using "calc from intraday data"?

I know that NT changed something in NT7 to truncate the last bar so the pivots are accurate even with a range or renko chart. But since I'm guessing that they won't be willing to make any more changes to NT 6.5 is it possible to do that same thing within the CMI pivot indicator for NT6.5- programmatically?

I did load NT7 this weekend but I'm not yet comfortable trading live with it.

I'm probably just grasping at straws with this request but it would really help me since I spend about 15 minutes every morning manually entering prior day H,L,C values in my various range and renko bar charts.

Please let me know..
Thanks,
Todd

[dscurry]

Pivot Problem

Gentlemen,

I'm having a problem with the following strategy:

protected override void Initialize()
{
Add(ImperialDragon(NinjaTrader.Data.PivotRange.Dai ly, NinjaTrader.Data.HLCCalculationMode.UserDefinedVal ues, 20));

CalculateOnBarClose = false;
}

/// <summary>
/// Called on each bar update event (incoming tick)
/// </summary>
protected override void OnBarUpdate()
{

// Condition set 1
if (CrossAbove(GetCurrentAsk(), ImperialDragon(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).PP, 1))

EnterLong(2, "Going Long");
ExitLongLimit(ImperialDragon(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).TS11[0], "", "");


// Condition set 2
if (CrossAbove(GetCurrentAsk(), ImperialDragon(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).TS11, 1))

EnterLong(2, "GOING LONG");
ExitLongLimit(ImperialDragon(PivotRange.Daily, HLCCalculationMode.UserDefinedValues, 20).M6[0], "EXIT W/PROFIT", "");

Every time I initiate this strategy, I receive the following error message:

"Error on Calling 'OnBarUpdate' method for strategy 'DragonTrader': Limit price must not be 0.

Does anyone know how to fix this problem? All my variables are defined, and I've rechecked the calculations and everything appears to be correct.

[toddaclark]

Thanks, Josh

You are very responsive and I appreciate it.

Todd

[NinjaTrader_JoshP]

Selectable items is a new thing in NT7. If you do not want this you can bring up the Chart Properties and then set the "Allow selection..." parameter to false.

[toddaclark]

Would you agree that this is a new thing in NT7 or am I just imagining that?

Todd

[Harry]

This is true for all NinjaTrader indicators. If you select them on the screen, you can delete them without opening the indicator dialogue. The best suggestion I can make is to save your chart settings as a chart template, so in case you accidentially delete any indicators you have the options

- to restore the chart template
- or to re-add the indicator via indicator dialogue

I am not aware that there is a way to protect indicators against accidential deleting.

Harry,

In NT7 I'm finding that I can accidentally select a pivot line indicator line on the screen which "activates" all of the lines and then if I push another key it deletes the all the lines from the pivot indicator.

Is there a way to "lock" the indicator so I can't do that or do I just need to be more careful where I'm clicking on my chart?

With NT6.5, you can't grab the pivot lines on the screen by clicking on them..they seem locked, if that makes sense.

Todd

[toddaclark]

Harry,

In NT7 I'm finding that I can accidentally select a pivot line indicator line on the screen which "activates" all of the lines and then if I push another key it deletes the all the lines from the pivot indicator.

Is there a way to "lock" the indicator so I can't do that or do I just need to be more careful where I'm clicking on my chart?

With NT6.5, you can't grab the pivot lines on the screen by clicking on them..they seem locked, if that makes sense.

Todd

[Harry]

The source for the settlement prices is the exchange where it is traded.

http://www.cmegroup.com/trading/equity-index/us-index/e-mini-sandp500_quotes_settlements_futures.html

All other sources are secondary, not primary sources.

I agree with you on FDAX. EUREX closes at 10:00 PM, but my data provider adds the settlement prices between 10:05 PM and 10:10 PM. So all I needed to do is to extend the EUREX session, I use a session from 7:50 AM to 10:10 PM now, and it automatically catches the settlement price.

If you use NT7, there is another option. Export intraday data and reimport it as daily data. Then replace the relevant closes with the settlement manually. Once you are at this stage, you can add open, high, low and settlement manually every day. Takes a few minutes, but the pivot indicators of all your charts can then catch the settlement prices in DailyBars mode.

Since you had all the close and settlement prices for ES last week, would you tell me your source?

[NinjaTurtle]

Thank you for the very detailed answer.

Unfortunately I use Zenfire (which has other advantages), so I have to continue entering the settlement prices manually, as I do every morning.

Since you had all the close and settlement prices for ES last week, would you tell me your source?

In my experience, it is not only a question of a tick or two. In the FDAX today for example there is a difference of 5.4 points (settlement 5722 vs. 5706), FGBL has a difference of 3 Ticks, FESX 3 ticks.

Now of course one can argue, that this is not so important. Well, it depends on the actual values. I quite often have really big differences, depending on the evening action (evening in Central Europe, afternoon session in the states), after the settlement price was set . If there's a lot of action in the american markets, the pivots based on settlement or actual close prices will of course differ. Sometimes more, sometimes less.

And I like to trade the FX Futures. In my opinion they generally run quite well to their pivot levels. So I need to have reliable pivots. And since this is an almost 24 hour market (the cash market is), you have to find a generally accepted close price. As I see it, this is the settlement price, calculated at 14:00 CT for FX Futures. If one would use the close at 16:00 CT, one would get data from a very low volume period, where small volume can lead to bigger changes and therefore lead to more or less "wrong" pivots.

But all of this is more a theoretical discussion and other traders can and may have another opinion of course. What counts in the end is what the majority does, since it is not very helpful to have ones own "little secret" values that nobody else has. In the end nobody will trade them.

[Harry]

The settlement price is daily published by the exchange. It is not the close, but it comes very close .

If you use intraday data, the last price traded within a session is the close of the session. So you will never get a settlement price from intraday data, and Pivots in CalcFromIntradayData will always get you the pivots calculated from the close.

If your data provider supplies daily data to NinjaTrader - which is not the case for Zenfire - the daily data may contain the settlement price instead of the close. You have to check this with your data supplier.

So the pivots indicators will normally display pivot lines that are slightly off the theoretically correct pivots calculated from the settlement price. Now let us have a look at the error caused by substituting the settlement price with the close. For example during the last week, which was extremely volatile, the close and settlement prices for ES 06-10 were:

Monday: Close 1198.50, Settle 1198.50
Tuesday: Close 1171.75, Settle 1172.50 -> +3 ticks
Wednesday: Close 1163.75, Settle 1164.00 -> + 1 tick
Thursday: Close 1122.75, Settle 1122.50 -> -1 tick
Friday: Close 1107.50, Settle 1107.00 -> - 2 ticks

If you take the pivot formula, the close enters with a factor 1/3 into this formula, so if you took the pivots calculated from the close for last week, your pivots (PP, R1, R2, S1 and S2) would have been off by

Monday: 0 ticks
Tuesday: + 1 tick
Wednesday: + 0.33 ticks
Thursday: - 0.33 ticks
Friday: -0.66 ticks

The average error is about half a tick. So for practical purposes the pivots calculated from the session close are quite accurate and can be taken as a proxy, except if you are a subtick precision trader.

It is your choice: For 100% accuracy you need to enter your high , low and settlement values manually, for more comfort you can leave this to the indicator by accepting a small error < 1 tick.

Pivots are always session related, so the most important thing is to select the appropriate session, personally I do not bother about the difference between close and settlement price.

Harry,

I have one more question. Since you worked a lot on the pivots, you of course know what a settlement price is. And that it is very widely used as the actual close price in pivot calculations. Do you know if Zenfire or NT provide that price by now and if so, how to make it available in the indicators.