Wrong Pivot points on Futures NQ and DJ

• 02/05/2024 at 5:04 AM #227405
  Jerome888

  Hello,

  I display the native PRT montly pivot points and I compare them with some calculated one (base on the same formula).

  • on futures nasdaq NQXXXX and dowjones YMXXXX (I did not test others): I have some deltas of 10 or 20 points between the native and calculated ones
  • NQXXXNG or YMXXXXNG (i.e. without GLOBEX sessions): no delta
  • stocks : no delta

  So it appears that GLOBLEX sessions introduce problems. Do you understand where it can come from and ?

  Thank you

  

  Jerome888

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  02/05/2024 at 11:17 PM #227446
  JS

  Hi @Jerome888

  The non-Globex sessions run from 15:30-22:15 (UTC+01:00) so the regular trading hours.

  The Globex sessions run from 00:00-00:00 (UTC+01:00) so also outside regular trading hours.

  These different times can give different values for Open, Close, High, and Low.

  Due to the different values, you also get differences in the calculation of the pivots.

  

  JS

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  02/06/2024 at 5:26 AM #227450
  Jerome888

  Hi jS,

  Thank you. Perhaps I was not clear, let me try to reformulate:

  When I compare the pivot points I calculate (probuilder)  with the PRT’s native pivot points, I have no difference on futures without globex or on equities. However, there is a difference (between the pivot points I calculate and those native to PRT) on futures with globex.

   

  

  Jerome888

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  02/06/2024 at 9:48 PM #227494
  larouedegann

  Sur les futures, la cloture de PRT est différente de celle de globex.(dernier tick pris en compte)
  voir graphique

  

  larouedegann

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  02/06/2024 at 9:51 PM #227496
  larouedegann

  le dossier a déjà été traité
  https://www.prorealcode.com/topic/points-pivots-probleme-de-cloture/

  1 user thanked author for this post.

  Jerome888

  

  larouedegann

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  02/07/2024 at 7:00 AM #227503
  Jerome888

  Merci.

  Tu as réussi finalement à trouver une solution ?

  

  Jerome888

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  02/07/2024 at 8:01 AM #227504
  LucasBest

  Jerome888 wrote:

  Hi jS,

  Thank you. Perhaps I was not clear, let me try to reformulate:

  When I compare the pivot points I calculate (probuilder) with the PRT’s native pivot points, I have no difference on futures without globex or on equities. However, there is a difference (between the pivot points I calculate and those native to PRT) on futures with globex.

  Can you add the code you are using to calculat the pivot points ? It would be easier for others to help you…

  

  LucasBest

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  02/07/2024 at 8:08 AM #227505
  Jerome888

  Sure, thank you.

  Month and day are corrected because of PRT bug on (some) futures (day increases only at 7:00)

  MaxDayInFeburary=29 myTime=Time myDay=day myMonth=month if myTime>=000000 and myTime<= 065959 then myDay=myDay+1 if myMonth=1 and myDay>31 then myMonth=2 myDay=1 elsif myMonth=2 and myDay>MaxDayInFeburary then myMonth=3 myDay=1 elsif myMonth=3 and myDay>31 then myMonth=4 myDay=1 elsif myMonth=4 and myDay>30 then myMonth=5 myDay=1 elsif myMonth=5 and myDay>31 then myMonth=6 myDay=1 elsif myMonth=6 and myDay>30 then myMonth=7 myDay=1 elsif myMonth=7 and myDay>31 then myMonth=8 myDay=1 elsif myMonth=8 and myDay>31 then myMonth=9 myDay=1 elsif myMonth=9 and myDay>30 then myMonth=10 myDay=1 elsif myMonth=10 and myDay>31 then myMonth=11 myDay=1 elsif myMonth=11 and myDay>30 then myMonth=12 myDay=1 elsif myMonth=12 and myDay>31 then myMonth=1 myDay=1 endif endif //PRC_MonthlyPivotPoints | indicator //26.10.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //adapted from PRT original indicator //select mode of calculation of the Monthly pivot points (0,1,2) mode = 0 If myMonth<>myMonth[1] then MonthlyHigh = Highest[max(1,BarIndex - lastMonthBarIndex)](High)[1] MonthlyLow = Lowest[max(1,BarIndex - lastMonthBarIndex)](Low)[1] lastMonthBarIndex = BarIndex If mode = 0 then MonthlyPivot = (MonthlyHigh + MonthlyLow + Close[1]) / 3 Elsif mode = 1 then MonthlyPivot = (Open + MonthlyHigh + MonthlyLow + Close[1]) / 4 Elsif mode = 2 then MonthlyPivot = (MonthlyHigh + MonthlyLow + Close[1]*2) / 4 Else MonthlyPivot = (Open*2 + MonthlyHigh + MonthlyLow) / 4 Endif MonthlyR1 = 2*MonthlyPivot - MonthlyLow MonthlyS1 = 2*MonthlyPivot - MonthlyHigh MonthlyR2 = MonthlyPivot + (MonthlyHigh - MonthlyLow) MonthlyS2 = MonthlyPivot - (MonthlyHigh - MonthlyLow) MonthlyR3 = MonthlyR1 + (MonthlyHigh - MonthlyLow) MonthlyS3 = MonthlyS1 - (MonthlyHigh - MonthlyLow) Endif return MonthlyPivot as "Monthly P", MonthlyR1 as "Monthly R1", MonthlyS1 as "Monthly S1", MonthlyR2 as "Monthly R2", MonthlyS2 as "Monthly S2", MonthlyR3 as "Monthly R3", MonthlyS3 as "Monthly S3", MonthlyHigh, MonthlyLow

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80

  MaxDayInFeburary=29 myTime=Time myDay=day myMonth=month if myTime>=000000 and myTime<= 065959 then myDay=myDay+1   if myMonth=1 and myDay>31 then myMonth=2 myDay=1 elsif myMonth=2 and myDay>MaxDayInFeburary then myMonth=3 myDay=1 elsif myMonth=3 and myDay>31 then myMonth=4 myDay=1 elsif myMonth=4 and myDay>30 then myMonth=5 myDay=1 elsif myMonth=5 and myDay>31 then myMonth=6 myDay=1 elsif myMonth=6 and myDay>30 then myMonth=7 myDay=1 elsif myMonth=7 and myDay>31 then myMonth=8 myDay=1 elsif myMonth=8 and myDay>31 then myMonth=9 myDay=1 elsif myMonth=9 and myDay>30 then myMonth=10 myDay=1 elsif myMonth=10 and myDay>31 then myMonth=11 myDay=1 elsif myMonth=11 and myDay>30 then myMonth=12 myDay=1 elsif myMonth=12 and myDay>31 then myMonth=1 myDay=1 endif endif       //PRC_MonthlyPivotPoints | indicator //26.10.2016 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge //adapted from PRT original indicator   //select mode of calculation of the Monthly pivot points (0,1,2) mode = 0   If myMonth<>myMonth[1] then MonthlyHigh = Highest[max(1,BarIndex - lastMonthBarIndex)](High)[1] MonthlyLow = Lowest[max(1,BarIndex - lastMonthBarIndex)](Low)[1] lastMonthBarIndex = BarIndex If mode = 0 then MonthlyPivot = (MonthlyHigh + MonthlyLow + Close[1]) / 3 Elsif mode = 1 then MonthlyPivot = (Open + MonthlyHigh + MonthlyLow + Close[1]) / 4 Elsif mode = 2 then MonthlyPivot = (MonthlyHigh + MonthlyLow + Close[1]*2) / 4 Else MonthlyPivot = (Open*2 + MonthlyHigh + MonthlyLow) / 4 Endif MonthlyR1 = 2*MonthlyPivot - MonthlyLow MonthlyS1 = 2*MonthlyPivot - MonthlyHigh MonthlyR2 = MonthlyPivot + (MonthlyHigh - MonthlyLow) MonthlyS2 = MonthlyPivot - (MonthlyHigh - MonthlyLow) MonthlyR3 = MonthlyR1 + (MonthlyHigh - MonthlyLow) MonthlyS3 = MonthlyS1 - (MonthlyHigh - MonthlyLow) Endif return MonthlyPivot as "Monthly P", MonthlyR1 as "Monthly R1", MonthlyS1 as "Monthly S1", MonthlyR2 as "Monthly R2", MonthlyS2 as "Monthly S2", MonthlyR3 as "Monthly R3", MonthlyS3 as "Monthly S3", MonthlyHigh, MonthlyLow

  

  Jerome888

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  02/07/2024 at 8:21 AM #227506
  Jerome888

  I just tried with timeframe 1 month instead, same problem

   

  timeframe(1 month) Ht = High[1] Bs = Low[1] C = close[1] Pivot = (Ht + Bs + C) / 3 Res3 = Ht + ((Pivot - Bs)*2) Res2 = Pivot + Ht - Bs Res1 = (2 * Pivot) - Bs Sup1 = (2 * Pivot) - Ht Sup2 = Pivot - (Ht - Bs) Sup3 = Bs - ((Ht-Pivot)*2) return Pivot as "Monthly P", Res1 as "Monthly R1", Sup1 as "Monthly S1", Res2 as "Monthly R2", Sup2 as "Monthly S2", Res3 as "Monthly R3", Sup3 as "Monthly S3"

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  timeframe(1 month) Ht = High[1] Bs = Low[1] C = close[1] Pivot = (Ht + Bs + C) / 3 Res3 = Ht + ((Pivot - Bs)*2) Res2 = Pivot + Ht - Bs Res1 = (2 * Pivot) - Bs Sup1 = (2 * Pivot) - Ht Sup2 = Pivot - (Ht - Bs) Sup3 = Bs - ((Ht-Pivot)*2)   return Pivot as "Monthly P", Res1 as "Monthly R1", Sup1 as "Monthly S1", Res2 as "Monthly R2", Sup2 as "Monthly S2", Res3 as "Monthly R3", Sup3 as "Monthly S3"

   

  

  Jerome888

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  02/07/2024 at 8:31 AM #227507
  Jerome888

  It loooks like end of session (so also end of the month) considered by PRT is the close at 22:15 not at 00:00.

  So timframe 1 month cannot be used since we shall detect the close at 22:15.

  

  Jerome888

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  02/07/2024 at 9:06 AM #227508
  LucasBest

  There is problem with month prt instruction (as well as with day, or dayofweek), look at the pictures (in 1 hour time frame and daily time frame).

  Those instructions change the day at midnight and with 1 hour of the sunday (midnight to 1h AM) things can get very wrong…

  So using dayofweek, month, or week instructions only will not give the good pivot points as the bgining/end (and so the high/low/close) are not the same!

  

  LucasBest

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  02/07/2024 at 9:13 AM #227512
  Jerome888

  Thank you.

  Do you know the hours used by PRT for their native monthly pivots ?

  

  Jerome888

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  02/07/2024 at 9:29 AM #227516
  LucasBest

  For daily pivot point i did this (that i already posted several times here).

  For Daily Pivot Point

  IF (DAYOFWEEK=DAYOFWEEK[1] and DAYOFWEEK<>DAYOFWEEK[2] and dayofweek>1) or (dayofweek<DAYOFWEEK[1]) then IF dayofweek <> 1 or (dayofweek<DAYOFWEEK[1]) THEN PivotDuJour = (DHigh(1) + DLow(1) + DClose(1)) / 3 Elsif dayofweek = 1 then PivotDuJour = (DHigh(2) + DLow(2) + DClose(2)) / 3 endif drawvline(barindex) endif Return PivotDuJour

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  IF (DAYOFWEEK=DAYOFWEEK[1] and DAYOFWEEK<>DAYOFWEEK[2] and dayofweek>1) or (dayofweek<DAYOFWEEK[1]) then IF dayofweek <> 1 or (dayofweek<DAYOFWEEK[1]) THEN PivotDuJour  = (DHigh(1) + DLow(1) + DClose(1)) / 3 Elsif dayofweek = 1 then PivotDuJour  = (DHigh(2) + DLow(2) + DClose(2)) / 3 endif drawvline(barindex) endif   Return PivotDuJour

  Give me few minutes / 1 hour, i am looking at it for monthly/weekly pivot point

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  Jerome888

  

  LucasBest

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  02/07/2024 at 9:30 AM #227517
  Jerome888

  Thank you very much

  

  Jerome888

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  02/07/2024 at 11:27 AM #227525
  LucasBest

  Daily and Monthly Pivots

  ONCE DayH = high ONCE DayL = low ONCE DayC = close ONCE FullDay = 0 ONCE FullMonth = 0 IF (OpenTime=010000 and dayofweek<>1) or (dayofweek<DAYOFWEEK[1]) THEN if dayofweek <> 1 or (dayofweek<DAYOFWEEK[1]) THEN PivotDuJour = (DHigh(1) + DLow(1) + DClose(1)) / 3 elsif dayofweek = 1 then PivotDuJour = (DHigh(2) + DLow(2) + DClose(2)) / 3 endif Monthi = Month MonthH = max(MonthH,DayH) MonthL = min(MonthL,DayL) MonthC = DayC pDayI = DayI pDayH = DayH pDayL = DayL pDayC = DayC DayI = Day DayH = High DayL = Low DayC = Close If FullDay then DayPivot = (pDayH + pDayL + pDayC)/3 Else DayPivot = undefined FullDay = 1 Endif If DayI < pDayI then pMonthH = MonthH pMonthL = MonthL pMonthC = MonthC MonthH = High MonthL = Low MonthC = Close If FullMonth then MonthPivot = (pMonthH + pMonthL + pMonthC)/3 Else MonthPivot = undefined FullMonth = 1 Endif drawvline(barindex) Endif ENDIF DayH = max(DayH,high) DayL = min(DayL,low) DayC = close Return MonthPivot

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  ONCE DayH = high ONCE DayL = low ONCE DayC = close ONCE FullDay = 0 ONCE FullMonth = 0   IF (OpenTime=010000 and dayofweek<>1) or (dayofweek<DAYOFWEEK[1]) THEN   if dayofweek <> 1 or (dayofweek<DAYOFWEEK[1]) THEN PivotDuJour  = (DHigh(1) + DLow(1) + DClose(1)) / 3 elsif dayofweek = 1 then PivotDuJour  = (DHigh(2) + DLow(2) + DClose(2)) / 3 endif   Monthi = Month MonthH = max(MonthH,DayH) MonthL = min(MonthL,DayL) MonthC = DayC   pDayI = DayI pDayH = DayH pDayL = DayL pDayC = DayC DayI = Day DayH = High DayL = Low DayC = Close   If FullDay then DayPivot = (pDayH + pDayL + pDayC)/3 Else DayPivot = undefined FullDay = 1 Endif   If DayI < pDayI then pMonthH = MonthH pMonthL = MonthL pMonthC = MonthC MonthH = High MonthL = Low MonthC = Close   If FullMonth then MonthPivot = (pMonthH + pMonthL + pMonthC)/3 Else MonthPivot = undefined FullMonth = 1 Endif   drawvline(barindex)   Endif   ENDIF   DayH = max(DayH,high) DayL = min(DayL,low) DayC = close   Return MonthPivot

  

  LucasBest

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