PivotPointAll.efs and Eurex

[ozfader]

Originally posted by JasonK
Hello Alan,

You are most welcome. You may also want to check out this post from earlier today regarding the Eurex settlement. I believe this will resolve this issue as well. Try the Prev Close.efs after Aug 11 and let us know if this resolves the issue as well.

Hello Jason,(and anyone else who cares to add an opinion)

I waited dutifully for Aug 11 to come around so that I may have some confidence in the pivots and gap, but so far no dice.

The workaround you sent me for correcting the gap fixes Prev Close.EFS (much appreciated), but I need one to fix PivotPointAll.efs so that they are calculated off the last traded price rather than daily settlement, at least until the powers that be implement the promised changes.

I know this doesn't interest many in the US, but it's a critical issue for traders in the antipodes trading Eurex because of the time zone.

If anyone has an idea, please respond.

Many thanks,

Alan

[ozfader]

Eurex Settlement workaround?

Hello,

Is this TOO simple or TOO difficult?

I need a workaround so that the pivots (and opening gap) are calculated off the LAST ACTUAL TRADED PRICE rather than the DAILY SETTLEMENT PRICE (Eurex only).

JasonK referred me to GrantD's post http://forum.esignalcentral.com/show...threadid=19175 but as you can see, there is still a major problem.

JasonK kindly sent me a workaround for PrevClose.efs, but I'm still looking for a solution to the pivot calcs in PivotPointsAll.efs.

Any help gratefully appreciated.

AlanV

PS: Someone answer please, I'm getting a complex!

[eSignal_JasonK]

Hello Alan,

To base the pivots on the last traded price of the day, you need an EFS that does not look at the daily interval to perform the pivot calculations. The EFS needs to collect the HLC data from the bars loaded in the chart. There have been a couple studies developed that have options to base the pivots on the chart data rather than the daily bar. See this thread and try the PivotPointAll2.efs that Alexis wrote. You could also try the PivotConsole.efs developed by Chris Kryza.

By the way I found these by doing a forum search on the keyword phrase, Pivot* AND Eurex.

[ozfader]

Once again I'm very grateful to you Jason - I will check out your suggestions today. I already use Chris' excellent PivotPointConsole.efs, but it unfortunately is affected as per PivotPointAll.efs. Hopefully I'll have better luck with Alexis' formula. I'll let you know.

Many thanks,

Alan

[ozfader]

Jason and Alexis, you are true Knights of the EFS!

The pivotpointsall2.efs formula fixes my problem with the Dax and Eurex. At last I can get some sleep.

Thanks again,

Alan