Pivot Question

[kumar]

Hello Harry,

Is there a way to publish your configuration notes on this forum so that one can access these quickly without having to hunt through the posts (and also not needlessly bother you).

Cheers,
Kumar

[Harry]

There is a simple difference between NT 6.5. and NT7 -> the NT 7 session (session template of chart) cuts off the range bar, the NT 6.5 session (as per chart properties) does not.

As a consequence, if you apply pivots in CalcFromIntradayMode to range charts in NT7 you will get exact values, in NT 6.5. you will not. In DailyBars mode both NT7 and NT 6.5 should give you accurate values, but these are not session related, because they use daily data directly from your data supplier.

So if you do not want to put in all values manually -> either buy yourself daily data or switch to NT7.

Harry,

I may load Ninja 7 this weekend. Can you explain again the steps you take in Ninja7 to use minute data for the pivots on a range bar or renko bar chart?

Would it be easy/possible for Ninja to create this kind of functionality in Ninja 6.5?

Right now I'm having to manually enter the previous day's high low close on all of my renko and range bar charts every morning. That is 10 charts...it's a pain!!

Thanks,
Todd

[Harry]

I might write some notes for the NT7 version of the indicator. I do not mind being bothered. Last time I was bothered, I detected a false default setting of the indicator and fixed it.

Hello Harry,

Is there a way to publish your configuration notes on this forum so that one can access these quickly without having to hunt through the posts (and also not needlessly bother you).

Cheers,
Kumar

[symphys]

Is a NT7 version already available?

[Harry]

SessionPivots indicators for NT 6.5 and NT 7.0 can be found here:

http://www.ninjatrader-support2.com/vb/local_links_search.php?action=show&s=&literal=1&search=SessionPivots&desc=1&keys=1&ents=1

[NinjaTurtle]

Help needed with Pivots - Prior Day Open

Hello Harry,

I need your help if you find the time. I tried to adjust your Session Pivot indicator for NT7. In earlier versions (NT 6.5) you had the prior day open included. As I want to see the prior day open, I tried to adjust your indicator. The result is, that I get some Pivots without price markers. And even this only works with the indicator window open and when I click "Apply". As soon as the next tick comes, everything disappears again.

I won't bother you with my dreary attempts. But if you find the time it would be nice, if you could add the Prior Day Open to your indicator.

[Harry]

Indeed I have left this out, as it is not needed. The open of the current session can be displayed via anaCurrentDayOHL, but as I understand that is not what you want.

For what instruments do you use the prior open, do you want to use it as a proxy for the close 2 days ago?

Hello Harry,

I need your help if you find the time. I tried to adjust your Session Pivot indicator for NT7. In earlier versions (NT 6.5) you had the prior day open included. As I want to see the prior day open, I tried to adjust your indicator. The result is, that I get some Pivots without price markers. And even this only works with the indicator window open and when I click "Apply". As soon as the next tick comes, everything disappears again.

I won't bother you with my dreary attempts. But if you find the time it would be nice, if you could add the Prior Day Open to your indicator.

[NinjaTurtle]

Hi Harry,

thanks for the fast answer. You're right, it's not important for the pivot calculation. I just use it as a general information on every chart. Just another reference point. I use it on all instruments I trade, which are mainly the Eurex and CME/CBOT futures.

[Harry]

Don't you think that the close 2 days ago would be more important than yesterday's open? If at all yesterday's opening range would me tell more than the open....

Hi Harry,

thanks for the fast answer. You're right, it's not important for the pivot calculation. I just use it as a general information on every chart. Just another reference point. I use it on all instruments I trade, which are mainly the Eurex and CME/CBOT futures.

[NinjaTurtle]

Yes, you're right. It's rather subjective. I guess I'm just used to it as another reference point I watch. And since it was in your older versions which I use for quite a while now, I thought that it would be nice to have it back. But I don't mean to bother you. If it's just a matter of minutes to implement it and you find the time, it would be nice. If not, I guess/hope I could also live without it. Old habits are hard to break.

[Harry]

Let me better focus on making it work, there are still two problems, both NinjaTrader bugs -- that affect the working of the indicator. It throws occasional exceptions in CalcFromIntradayData mode at Bars.GetBar(ChartControl.LastBarTimePainted) which is only needed for error messages. Also it does not work on Renko bars, because Bars.FirstBarOfSession does not work as expected. But these are small Beta problems, which will quickly disappear.

Yes, you're right. It's rather subjective. I guess I'm just used to it as another reference point I watch. And since it was in your older versions which I use for quite a while now, I thought that it would be nice to have it back. But I don't mean to bother you. If it's just a matter of minutes to implement it and you find the time, it would be nice. If not, I guess/hope I could also live without it. Old habits are hard to break.

[NinjaTurtle]

Absolutely. After all it's of no use if it doesn't work right permanently. The Beta's seem to be still full of bugs. I just couldn't make a backup, some indicators don't behave absolutely right etc. Well, I remember one of Ray's posts in which he wrote that they were about half done. According to my calculation from back then we should end up somewhere around Beta 25. In the end it's not a Beta phase, they just disguised their normal development phase as a Beta phase. After all they're so late, they had to give their customers something. Business as usual.

So, if it's not a big deal and you manage to implement it without a big effort, I would be grateful. Have a nice evening.

[Harry]

NT development has a bit underestimated the task of reshaping NinjaTrader. Some competitors, such as MultiCharts are moving much faster. But there is no question that it will work in the end, it is already pretty stable.

Absolutely. After all it's of no use if it doesn't work right permanently. The Beta's seem to be still full of bugs. I just couldn't make a backup, some indicators don't behave absolutely right etc. Well, I remember one of Ray's posts in which he wrote that they were about half done. According to my calculation from back then we should end up somewhere around Beta 25. In the end it's not a Beta phase, they just disguised their normal development phase as a Beta phase. After all they're so late, they had to give their customers something. Business as usual.

So, if it's not a big deal and you manage to implement it without a big effort, I would be grateful. Have a nice evening.

[NinjaTurtle]

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.

[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.