Pivots in different places

[sandman]

What could cause the NT Pivots for the same instrument in two different time frames to show up in different places? See attached for CrudeOil today. One is a 1Min chart, the other one is a 15 Minute chart. DaysLoaded is 5days in both charts.

Higher time frames like the 60Min, 120Min show the Pivots in the same place as the 15Min chart. So it's only the 1Min chart which seems to be out of sync.

sandman

[NinjaTrader_Brandon]

Hello sandman,

Thanks for your post.

Please exit NinjaTrader and open the following directory in Windows
Documents\NinjaTrader 7\db\cache
Delete the contents within this folder
Restart and test

[Harry]

What could cause the NT Pivots for the same instrument in two different time frames to show up in different places? See attached for CrudeOil today. One is a 1Min chart, the other one is a 15 Minute chart. DaysLoaded is 5days in both charts.

Higher time frames like the 60Min, 120Min show the Pivots in the same place as the 15Min chart. So it's only the 1Min chart which seems to be out of sync.

sandman

Both charts are false. The values of the pivots depend on your datafeed and the session template. Let us calculate the pivots for CL 07-14 for June 18

Globex pivots (full session pivots):

-> daily high = 107.18, daily low = 106.01, settlement price = 106.36 (values from prior day)
-> pivot PP = (107.18 + 106.01 + 106.36)/3 = 106.52 (rounded to the full tick)

To display Globex pivots on your chart you need to

-> select the proper session template NYMEX Metals/Energy ETH
-> only set the pivots indicator to DailyBars, if you data feed supplies full session daily data (for example Kinetick, but not CQG or Rithmic)
-> set the pivots indicator to CalcFromIntradayData otherwise

In fact, if you calculate pivots from intraday data, you will not be able to catch the correct settlement price, therefore it will only be an approximation

Floor pivots (regular session pivots):

-> daily high = 107.18, daily low = 106.11, settlement price = 106.36 (values from prior day)
-> pivot PP = (107.18 + 106.11 + 106.36)/3 = 106.55 (rounded to the full tick)

To display floor pivots on your chart you need to

-> select the proper session template (either NYMEX Metals/Energy ETH or NYMEX Energy RTH)
-> only set the pivots indicator to DailyBars, if you data feed supplies regular session daily data (for example CQG or Rithmic, but not Kinetick)
-> set the pivots indicator to CalcFromIntradayData otherwise and select the NYMEX Energy RTH template

It is important to understand which data is used by the indicator to calculate the pivots.

Below are three charts that show correct Globex and floor pivots for June 18.

The first chart shows GLOBEX pivots calculated from ETH high, low and settlement.
The second chart shows FLOOR pivots calculated from RTH high, low and settlement.
The third chart shows FLOOR pivots calculated from RTH high, low and regular close.

The pivots on the third chart are identical with the pivots on your 15 min chart. In case that you used the pivots with default settings (= DailyBars), I conclude that you do not use Kinetick as datafeed, but probably Rithmic or CQG, as they supply regular session daily data. However that data comes with the regular session close and not with the settlement price. Therefore the floor pivots on your 15 min chart are a few ticks off.

[sandman]

Harry. Thanks for the detailed response. I hope others will read this as well. I am aware of there being a difference between chart closing price and the actual settlement price at the exchange and how that effects pivots. I am only using the NT pivots as a general guideline and not as part of any entry or exit strategy so my primary interest was and is that the NT Pivots with its default settings actually show up in the same place in all charts.

sandman