PivotPointAll.efs pivots incorrect because of bad closing price for previous day

[j.r.walker]

I've noticed that on some days the pivots produced for ES #F by the distributed study PivotPointAll.efs do not agree with pivots from other sources. Some research showed that these small differrences are cause by PivotPointAll using incorrect closing prices for the previous day.

For example, the CME website showed the closing price on 1/27/2005 as 1174.25 and when I placed the cursor on the last bar of the day for a chart from 9:30 - 16:15 the close was also 1174.25. However, a daily chart for the same day showed a closing of 1174.75 and this incorrect closing value was also used by PivotPointAll.efs.

A one minute Globex chart for 00:00-24:00 showed the 01/27/05 16:14 bar had a closing price of 1174.25 with volume of 5139 but it was followed by a bar at 01/27/05 16:21 with volume of 1 and all prices of 1174.75. This bar after the daily close and before the evening session was used for the daily 01/27/05 close and therefore by PivotPointAll to calculate the pivots for 1/28/05.

Question: How can PivotPointAll.efs be modified to use the closing price of the previous day's 16:14 bar as the closing price of the day.

[ACM]

j.r.walker

For example, the CME website showed the closing price on 1/27/2005 as 1174.25 and when I placed the cursor on the last bar of the day for a chart from 9:30 - 16:15 the close was also 1174.25. However, a daily chart for the same day showed a closing of 1174.75 and this incorrect closing value was also used by PivotPointAll.efs

Actually on its web site the CME is showing a close of 1174.75 for 1/27/05 (see enclosed image taken from the CME site) which is the same as reported by eSignal on its daily charts



The reason you see 1174.25 on a 9:30-16:15 chart is because that reflects the last trade at 16:14:59 and does not include the settlement which is transmitted by the CME usually within 10 minutes of the close of trading. BTW the settlement is that single trade you see at 16:21.
Daily charts instead correctly reflect the close of the day inclusive of the settlement (which is the same shown by the exchanges)
Alex

[j.r.walker]

My mistake. PivotPointAll is correct. I will inform the author of the third party efs that does not agree with PivotPointAll.