Calculating Pivots on DAX via Previous Close

[ser-E]

Hi,

On the Daily chart of the DAX futures "AX 1!-DT" eSignal is calculating the settlement price as the close price.

(for those who dont know about it, Just look at the last intraday bar close of the day and compare it to the daily)

I know that this is not a bug in eSignal but the way of how the exchange work.

Anyway, I want my Pivot Points formula to use the real close price and not the settlement price.

What will be the best programming way to get yesterday close price for this case ?

[asiatrader1]

HI Ser_E, Hi posted a very similar question to yours on the 'data enquiries' forum a while back. I'm still waiting for any kind of a reply. I also spoke to eSignal customer service about it as well. Because of the reference time point that Eurex uses to set the settlement price for these contracts the actual close can be far removed from the actual close (the reference point is 4.5 hours before the market close). The effect, as you noted, can be inaccurate pivot point levels, plus it can also effect any price oscillators as well. I asked if there was any way the actual close price could be used, as opposed to settlement, and the reply was 'no, can't be done' plus 'that's the way eSignal has always done it' and ' we haven't had any comments from other European based customers'. It was also suggested to email [email protected]. I did this and I still await a reply.

Probably, like you I am new to eSignal with a view of whether to switch from my current software. So far I have not been overly impressed with the customer service/help provided, especially for european customers. I also found that eSignal does not provide Level 2 data for Eurex products either. My current data and charting provider seems to be a bit more responsive to its customers. It actually listened to its European customers and switched to using the actual close for Eurex products as opposed to the settlement price.

As much as I might like eSignal it is things like this that mar the product. I will be very interested to see if you get any other sort of reply.

[ser-E]

Hi asiatrader1,

Thanks for your replay, I will try to find a way to solve our issue and let you know.

Anyway, I wonder whats working better, The Pivots that calculated by the close price or by the settled price.

I'm still checking that. It seems like both Pivots working on the chart pretty good, But I don't want to look at both becuase this will cause a messy chart with too many lines on it. I wonder what the majority/pro's look at.

I have a great idea for a formula that will help to check that but first I need a better way to get the prev close than

var vClose = (writing the close price myself);

[ser-E]

I saw a post by "jarrodb" in this forum:Futures OHLC

He Wants to get the 16:00 close of yesterday instead of the daily close.

If we can do this, It's a way to solve the issue.

[asiatrader1]

DAX + DJ Eurostoxx 50

Hi Ser_E,

Will be interested to see what you come up with. I've since written to the customer service manager ( [email protected] ) about our problem. Have asked if eSignal could switch to using the actually close as opposed to the settlement. GenesisFT had so many complaints from its European customers over exactly this issue that they switched from using the settlement price to the actual close price. No reason really why eSignal can't do the same or provide the option to choose which price to use.

Friday's (11 Apr) actual close (22:00 CET) for the Eurostoxx 50 was 3590, the settlement price was 3622 (base on the 17:30 CET reference time). Here's an example from Friday of how the difference between the settlement price and actual close price will effect Monday's pivots for the DJ Eurostoxx 50:

Close Price (3590) Settlement (3622) Diff = 32 ticks

R3 = 3849 3849
R2 = 3763 3773
R1 = 3676 3698
PP = 3630 3640
S1 = 3543 3565
S1 = 3497 3507
S3 = 3410 3432

As you can see, some large errors are incurred using the settlement price as opposed to the close (close should always be used). The affects are minimal when the two are within a couple of ticks of each other. When the gap is larger, like on Friday or any good trend day, the induced error makes the resultant pivot points worthless.

Being new to eSignal I know little to nothing about programming EFS or Java script for that matter. I'm presently working with a programmer to see if they can come up with a solution should eSignal fail to address the matter. Will keep you posted. Saying that, I did modify an existing EFS pivot file to include the R3, S3, and mid-pivot points. I have attached it as well as uploaded it to the EFS Studies forum as PivotPointsAll3.efs. One idea I am looking at is incorporating the facility to add the pivot points automatically, if the difference between the settlement and actual close is minimal, or to input the high, low, close manually when there are large differences. I've been told it can be done but let's hope eSignal will solve the problem by switching to using the actual close.

Cheers, All

[ser-E]

Hi asiatrader1,

In the meantime until eSignal will fix our problem.

You can use this line to produce the actual yesterday's close price:

if (hour() == 2 && minute() < 1) 
    {
    var vClose = close(-1);

This will produce the closing price of the last intraday bar of yesterday for your Pivots formula.

If someone have a better programming way to produce it, Please post.

Kind Regards,
ser-E

[Guest]

Hi ser-E,

Just a pointer, regarding the hour and minute functions, you should include the bar index in the parenthesis. See this link. As I remember, what you have will work (EFS2 backward compatibility w EFS1), but without a bar index, a series object is returned, which is not as efficient.

if (hour(0) == 2 && minute(0) < 1)

[ser-E]

Hello stevehare2003,

Thank you for your post and for the link.

I didn't find how I can improve the Hour/Minute lines.

But actually there is a problem with that, When I plot it on the chart, It's flickering on every tick and It's really annoying.

And when I check the "Make all formulas compute on close" it doesn't show on the chart at all. It's like the software is calculating the close price every second, How can I avoid that ?

[asiatrader1]

Hi Ser_E,

I've attached a revised Pivot Points study which now rounds off the values to the nearest whole number. It is better suited for plotting on the FESX (DJ Eurostoxx 50). I will try to post another one tomorrow which rounds to the nearest .50 for the DAX.

Where in the attached formula do I need to insert the code in your post for grabbing the actual close price?

Thanks for the help.

[ser-E]

asiatrader1,

Above function main, Add this:

var vPP;
var vMidR1;
var vR1;
var vMidS1;
var vS1;
var vMidR2;
var vR2;
var vMidS2;
var vS2;
var vMidR3;
var vR3;
var vMidS3;
var vS3;

Now, Below

if(Type == "Standard"){

Add this:

if (hour() == 2 && minute() < 5) 
    {

And after the last calculation of the floor pivots which is this

vS3 = vPP - (vR2 - vS1);

Add this:

}

It's working.

Anyway, If someone have a better way of adding it to the formula It'll be great to see it and learn.

[asiatrader1]

Hi Ser_E,

Thanks for sending the code. I have programmed it into PivotPointsAll4Eurex2.efs which is attached for your reference. Unfortunately it still returns pivot point levels based on the settlement price instead of the actual close. I tried various permutations, e.g. changing hour to minute and 5 to 1, etc, but still the same incorrect values based on using the settlement for the close. I suspect the problem (aside from eSignal insisting on using the settlement in the first place for Eurex close) may lie in the part of the code under Function Main which says:

var vClose = xClose.getValue(-Lookback);

I am wondering if this tells the program to get eSignal's settlement close price. Any ideas?

I have also attached PivotPointsAll4DAX: pivotpointsall4dax.efs This now rounds to the nearest 0,50 for you.

Cheers

[asiatrader1]

Ser_E,

Here's the DAX EFS attachement.

[ser-E]

asiatrader1,

Remove the

;

after the hour/minute line.
And add

var vClose = close(-1);

It should look like this:

if(Type == "Standard"){
        if (hour() == 2 && minute() < 5) 
    {
    var vClose = close(-1);

[ser-E]

off topic

From where this guys is taking the close value ? Futures Pivot Points

It's not the intraday close and not the settled from what I see in my eSignal..

[asiatrader1]

Hi Ser-E,

In the quote board each day eSignal's settlement prices have been matching those given on the Eurex website. I've been calculating the pivots using both settlement and actual close price for comparison purposes but I plot strictly using the actual close price. I always compare these against what the program plots for accuracy and to make sure they match.

Cheers