Synchronicity of daily bars within intraday charts

[NinjaTrader_Bertrand]

Thanks, yes just checking - development is looking into currently.

[kumar]

Fib Cluster Ver 9.1

Hello all,
I don't know if this is a Harry issue or NT issue.

I imported the new ver yesterday. It would not work for Range bars regardless of whether intraday or dailybars was selected; F5 did nothing, but seemed to work fine with minute charts.

I increased the days back to the and suddenly the pivots (daily dash) showed up on the range chart, but chart controls were frozen, I could not change either the instrument or the time frame.

Just now started NT and lo and behold I have a see the same problem on 5/3 minute charts, "Loading of daily data is incomplete .....", F5 does nothing, reloading historical data did not help.

Is there an issue here or am I not configuring the indicator correctly.

Thanks folks.
Cheers,
Kumar

[Harry]

Are you talking about Pivots or Fibonacci?
Which version of NínjaTrader do you use?
Who is your data supplier?
What instrument did you use it for?
What are the chart settings, what was the lookback period?
Post a screenshot please.

Hello all,
I don't know if this is a Harry issue or NT issue.

I imported the new ver yesterday. It would not work for Range bars regardless of whether intraday or dailybars was selected; F5 did nothing, but seemed to work fine with minute charts.

I increased the days back to the and suddenly the pivots (daily dash) showed up on the range chart, but chart controls were frozen, I could not change either the instrument or the time frame.

Just now started NT and lo and behold I have a see the same problem on 5/3 minute charts, "Loading of daily data is incomplete .....", F5 does nothing, reloading historical data did not help.

Is there an issue here or am I not configuring the indicator correctly.

Thanks folks.
Cheers,
Kumar

[kumar]

Are you talking about Pivots or Fibonacci?
Which version of NínjaTrader do you use?
Who is your data supplier?
What instrument did you use it for?
What are the chart settings, what was the lookback period?
Post a screenshot please.

Thanks for the response Harry.

Talking about Pivots - Daily Dash
Using NT 6.5 (current version) powered by Zenfire
Instruments: ES, GC, 6E ; typically range bar charts
Days back 15 ( increased it to 30 just to see whether that would resolve the problem)

I tried it again but this time NT just locked up, both the processing and memory went through the roof, eventually windows put up the message "Not responding - Synchronicity ........", so no luck with the screen short, will try again tomorrow - I like having the blue dashed lines on the screen.

The older version worked fine, and this version seems to work so long as I do not use the dialybars options.

It could be that with several charts open, the initial processing takes longer to compute than a typical indicator, and could be that I did not wait long enough for the calculations to complete.

Any how, I will try again tomorrow and keep you posted.

Cheers,
Kumar

[Harry]

As far as I know, Zenfire does not supply daily data. If you set the indicator to DailyBars: no daily data -> no indicator value. It should plot an error message.

The prior version of the indicator automatically went to CalcFromIntradayData mode, when no daily data could be loaded. The new version does not. This is to make the indicator values more reliable, because in some cases the CalcfromIntradayData approach should not be used and will give false values.

In particular, for range bars CalcFromIntradayData does not make sense for calculating pivots - i.e. giving false values, so the new indicator version should block it.

Please try to understand, how the pivot indicator works. It looks for high, low and close from the prior session.

Option A: Use DailyBars, so it takes the high, low and close from the daily data as provided by your data provider.

Option B: Use IntradayData, so it looks for the high, low and close of the session defined via indicator panel. Now comes the catch: There is usually no range bar that shows the session close, so the indicator would have to rely on the close of the last range bar prior to the session close. This produces an error, and depending on the size of your range bars, you will have slightly or considerably false pivots.

So for range bars you should definitely use option A. If you do not have daily data this simply does not work.

The version 8.0 of the session pivots indicator actually did plot values for a range chart with CalcFromIntraday data, but depending on your range size, these would be more or less false. Do you want to trade off false pivot lines?

[kumar]

Thanks so much for explaining it all.
I have a much better understanding of the issue today. Since Zenfire does not provide the daily data, it is not possible to get the pivots based on prior session. I know this but was somehow was misled bu NT implementation. The only real choice is to put in the prior days HLCO values manually.

Thanks again.

[Harry]

Absolutely. If you are trading real money, you would like Pivots to be accurate. It is better to enter HLC manually.

Theoretically the historical download manager of NT7 would allow you to build daily bars from minute data. Practically, however, it does not work yet.

Thanks so much for explaining it all.
I have a much better understanding of the issue today. Since Zenfire does not provide the daily data, it is not possible to get the pivots based on prior session. I know this but was somehow was misled bu NT implementation. The only real choice is to put in the prior days HLCO values manually.

Thanks again.

[kumar]

Cheers Harry

[Harry]

Hi Kumar,

good news. If you have intraday data, NT7 will allow you to export this data via the Historical Data Manager. You can then reimport this as daily data.

I just tried this with the intraday data of EURUSD, which goes back to 2006 and created daily data from it. Once the daily data is there, the pivot indicators can access it.

Once you have created you historical daily data base, you can edit this and add one line every day with the daily open, high, low, close and volume. This is better than using the UserDefinedValues, because you will also get weekly and monthly pivots.

[kumar]

Hello again Harry,
Today I tried 'user defined values' with yesterday's HLC values and was pleasently surprised to find that these match the Pivots provided by NT using 'dailybars' - a difference of 1 tick on a 3 min chart for ES_F (this can result from slight differences in measurements), so all in all the Pivot indicator provided by NT works - not worth the trouble of using userdefind values - IMHO.

Thanks for all your insight,
Kumar

[Harry]

If you use the NT pivots indicator, it automatically switches to CalcFromIntradayData without giving you notice, if there is no daily data. If you use this on range charts - after you selected the correct session under chart properties - the indicator will collect the high, low of the session and the close of the last range bar that closes within the session. High and low will be usually correct, but the close can be one range off. For the main pivot you get

Maximum error 33% of the range (in rare cases this can be more)
Expected average error 16.5% of the range.

If your range is 6 ticks, your expected error is one tick. If you have a 20 range chart expected error is 3 ticks, maximum error 6 ticks.

Hello again Harry,
Today I tried 'user defined values' with yesterday's HLC values and was pleasently surprised to find that these match the Pivots provided by NT using 'dailybars' - a difference of 1 tick on a 3 min chart for ES_F (this can result from slight differences in measurements), so all in all the Pivot indicator provided by NT works - not worth the trouble of using userdefind values - IMHO.

Thanks for all your insight,
Kumar