Pivots and Prior Days OHLC Problem

[stargazer]

Looking at a YM chart (OpenTick) set to 24 hour data. The PivotPoint and Prior Days studies are computing for today(Monday) based on the Sunday night session (open through 12 midnight), rather than based on fridays data.

Pls fix....thnx

[NinjaTrader_Dierk]

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Try ExcludeWeekEnd=True on the chart properties.

[stargazer]

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That works but then cuts out the "Overnight" session data from the normal opening and starts first bar after midnite. Would like to display all data. Is there a way to define exchange correct session times for intruments?

[NinjaTrader_Ray]

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Currently the pivot indicators based its calculations on the prior session which can only be set within a calendar day. We will be adding user defined session management that spans calendar days sometime in the future.

Ray

[stargazer]

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O.K. thnx. That renders those 2 critical studies, for me, unusable at present. In my view this should be a high priority for traders to want to define session times to correspond with exchange traded hours. And with flexibilty to use "RTH' session only as well as combine "Overnite" and RTH sessions. Traditionally the pivot point study was always calculated (pit traders) on the RTH session hours only. Ideal would be to have total flexiblity (i.e. calculate pivots with RTH data but on Combined session or RTH charts) I believe Esignal and Ensign allow this to be user definable.

[Greg1]

Just putting a vote in for fixing this also. Having accurate pivot numbers is critical and the pivot #'s between ESignal and Ninja Trader just do not match at this point. So I have to use Ninja Trader for some chart stuff and ESignal for other chart stuff.

For example today, the ER2 pivot # in ESignal is 847.8 but its 848.3 in Ninja Trader

I've been doing some further reading on this and I think I understand why it is not that easy to "fix". Stock pivots are easy. Closing time is always the same. Futures pivots are not easy because closing times are different. ESignal handles this I believe by having a time parameter of "regular hours" and behind the scenes their software knows the regular hours for each of the futures symbols. Chapter 7 in John Carter's book "Mastering the Trade" has a good explanation of the correct way of calculating pivots for futures symbols. A link for the CME products and their settlement prices is http://www.cme.com/trading/dta/hist/....html?type=idx This link could be used to verify that the correct prices are obtained when working on an updated version of the pivot indicator. CBOT also has a web site link for the E-Mini Dow futures product.

Hopefully this additional info helps in terms of what is needed for correct pivot #'s. Also, there are 4 other things really needed in relation to the pivot indicators:
1) Weekly pivots (uses data at the end of the prior week)
2) Monthly pivots (uses data at the end of the prior month)
3) Ability to have more support/resistance points (S3/R3/S4/R4)
4) Ability to enable/disable midpoint resistance levels on the daily pivot numbers (people that trade off pivots a lot use these midpoint #'s but people that don't use them as much wouldn't want them). Thus the desire to have this a user option

[pdawg]

I Think the only work around for this is going to be having user definable OHLC inputs on the pivot indicator, Thats a pain but I don't see any other way at this point.

[Greg1]

I'm pretty sure there is a way of fixing this as ESignal gives accurate pivot #'s and they do it automatically. Basically, behind the scenes they know the closing hours of each future contract and get the correct prices based on that behind the scenes knowledge.

[pdawg]

Maybe Ray can chime in on this, accurate floor trader pivots are pretty crucial for day trading futures.

[NinjaTrader_Ray]

Yes, user defined inputs or you have to write an indicator that retrieves values from some other source.

Remember, NinjaTrader is not a market data vendor so we do not have "behind the scenes" access to floor settlement prices and thus we can only base pivots off of historical data/session times.

[pdawg]

Ray,

What other sources can be used to get values from?

[NinjaTrader_Ray]

Unfortunately I don't know, otherwise I would have changed our implementation. Ideas welcome.

[pdawg]

Not sure if this is feasible, could something be added to be able to parse the info from a web page, like the CME's site?

[NinjaTrader_Ray]

Screen scraping sites is possible. You could create a custom indicator yourself. At this time, we will not do this since we would have to do it for all possible instruments, find sources that hopefuly do not change their format often etc...