[Fat Tails]

Some points to think about:

(1) Session times: Do you want ETH pivots, RTH pivots or cash session pivots? Session times should be expressed in local time of the exchange. In case your software displays local time (PC clock) they need to be converted to local time, taking into account daylight savings rules. Is this done by your software?

(2) Holidays. On holidays you will have two day session. and pivots need to be calculated for and from two-day-sessions. So you need to enter the holidays somewhere. Example February 15 was a holiday. Globex was open for settlement February 16. Take HLC from Friday for pivots for February 15 and 16, then calculate pivots for February 17 from the prior two day session.

(3) Data to use: Who is your data supplier? Can your softeware use daily data for calculating pivots on intraday charts?. Daily data mostly refers to the ETH session and sometimes contains the settlement price in lieu of the close. Daily data is less prone to error, as it usually has the correct values for OHL. If you calculate pivots from intraday data, a problem may arise, if the session does not correctly off the last bar of the chart. This typically occurs with range or volume bars. In this case the close of the last bar within the session might not be the session close and your pivots will be off the correct value.

(4) Pivot formula to use: There are two different formulae for floor pivots (they vary for levels > R3 and < S3). You also may want to calculate Camarilla, Woodies or Fibonacci pivots, which is easy, once you have solved questions 1) to 3).

Good luck. I have gone through this for NinjaTrader, but do not have the answer to the above questions for MultiCharts.

[chloe31]

Hello Fat Tails,

Thank you for your reply.

1) I use the Session times expressed in local time of the exchange in Multicharts. As an exemple, for CL, I use the session times for Nymex: from 6.00 p.m to 5.15 p.m (Nymex local time).
So, to calculate the standart pivots (pivots from J.Carter), for the session that opens on Thursday at 6.00 p.m and closes on Friday at 5.15 p.m, I need the following inputs:
- High and low of the previous session, which opened on Wednesday at 6.00 p.m and closed on Thursday at 5.15 p.m)
- close of the previous session, so close on Thursday at 5.15 pm

These inputs are easy to get for sessions that opens à 0.00 a.m and closed at 11.59 p.m the same day.

3) My data provider is Interactive Brokers
4) Pivot formula = J.Carter's formula, with calculation up to R4/S4

I understand that you have coded this kind of calculation for NinjaTrader. Would you be kind enough to provide me with your code ? I will try to re-write your code in easylanguage.

Many thanks in advance,

Best regards,

Chloe

[Ranger]

Chloe

Can you modify the other code that we worked up that covered your session times to include the calculation for your pivots???

RANGER

[chloe31]

Hello Ranger,

I tried several times to modify my initial code (see page 1), taking into account all the comments / remarks received on this forum, but without any success for the time being
So, I am still working on that code !

Chloe

[Ranger]

Hi Chloe

This is the code that was modified by forum members. Can you get this code to work on your session times - do you see the Camarilla lines?




{Plots previous day Hi/Low/Close - Open {x} Out below}
{Plots Camarilla Lines}
{Rev date 07Aug09}


input: SessStart(1803),SessEND(1 615);

variables:
var0( 0 ) ,
var1( 0 ) ,
var2( 0 ) ,
var3( 0 ) ,
var4( 0 ) ,
var5( 0 ) ,
var6( 0 ) ,
var7( 0 ) ,
var8( 0 ) ,
SessReset( False ) ,
CamarillaReset( False ) ;


SessReset = t = SessEnd;
CamarillaReset = t = SessStart;

if SessReset then
begin

var0 = var0 + 1 ;
var1 = var2 ;
var3 = var4 ;
var5 = var6 ;
var7 = Close;
end;

if CamarillaReset then
begin

var2 = Open ;
var4 = High ;
var6 = Low ;
end

else
begin
if High > var4 then
var4 = High ;
if Low < var6 then
var6 = Low ;
end ;
condition1 = var0 >= 2 and BarType < 3 ;

value10 = ((var3 - var5)*(1.1/2)) + var7 ; {H4}
value20 = ((var3 - var5)*(1.1/4)) + var7 ; {H3}
value30 = ((var3 - var5)*(1.1/6)) + var7 ; {H2}
value40 = ((var3 - var5)*(1.1/12)) + var7 ; {H1}
value50 = var7 - ((var3 - var5)*(1.1/12)) ;{L1}
value60 = var7 - ((var3 - var5)*(1.1/6)) ;{L2}
value70 = var7 - ((var3 - var5)*(1.1/4)) ;{L3}
value80 = var7 - ((var3 - var5)*(1.1/2)) ; {L4}

if condition1 then

begin
Plot1( var1, "Y-O" ) ;
Plot2( var3, "Y-H" ) ;
Plot3( var5, "Y-L" ) ;
Plot4( var7, "Y-C" ) ;
Plot10( value10, "H4" ) ;
Plot20( value20, "H3" ) ;
Plot30( value30, "H2" ) ;
Plot40( value40, "H1" ) ;
Plot50( value50, "L1" ) ;
Plot60( value60, "L2" ) ;
Plot70( value70, "L3" ) ;
Plot80( value80, "L4" ) ;
end ;

[Fat Tails]

Hi Chloe,

the code is attached below. One is an indicator for NT 6.5., the other one for NT 7. I do not think it will be very easy to translate this. Unfortunately I am neither a user of TradeStation nor MultiCharts, so I only will be of little help.

Both are zipped files. To open the code and display it properly you need an editor for C#. If you do not have NinjaTrader, I would recommmend to download SharpDevelop 3.0 and then use it to display the indicators.

Originally Posted by chloe31 »

Hello Fat Tails,

I understand that you have coded this kind of calculation for NinjaTrader. Would you be kind enough to provide me with your code ? I will try to re-write your code in easylanguage.

Many thanks in advance,

Best regards,

Chloe

[chloe31]

Hello,

@Ranger,

Yes, I used the code you have posted, and I tried to replace the Caramilla's formula by the Carter's formula, but the code did not work. I think I made a mistake, so I will try again, I will try to find my mistake.

@Fat trails

Thank you for your code. I have NT 6.5, so no problem to import the code.

So, many thanks to you, Ranger and Fat trails.

I will keep you informed

Regards,

Chloe

[Ranger]

Post the code, if you get a chance and the magical formulas...

RANGER