Daily OHLC and Pivots using charted data only (also for Tick Replay)

[ACM]

The attached efs will plot the previous day's Open, High, Low and Close based on the Time Template in use. In other words it uses the data on the chart to define those values rather than referencing the Daily bar which is how the PrevDayDailyBar.efs in the OHLC folder works.
What this means is that it can be used to determine the OHLC of the day session only for those securities that do not have a day session only symbol such as for example YM or AB.
To illustrate what it can do see the following two images. In the first one I am using the day session only symbol for ES (ie ES M4=2). In the chart I have loaded PrevDayDailyBar.efs.and you can see the values both in the Cursor Window and in the Y-Axis labels



In the next chart I am instead using the all session symbol (ES M4) with a 9:30-16:15 EST Time Template. As you can see the OHLC values for the previous day are the same as those shown in the prior image despite the fact that the symbol used is the one for all sessions.



Another feature of this efs is that it can be used in Tick Replay where the equivalent EFSs available in the OHLC folder will not work. In the following image you can see the OHLC values for the prior day for the symbol $Playback



In closing a few comments regarding the efs.
The efs cannot be used with Time Templates that span across midnight as it relies on the date change between sessions to define the days.
Sometimes there may be a slight discrepancy between the previous day's Close as reported by the efs and the one on the daily bar (which includes the settlement). This is because the efs uses the close on the chart for reasons explained earlier. However if one is not using the efs in Tick Replay it is possible to reference the previous daily bar Close as that option is already built in the efs and only needs to be enabled (comments on how to do it are included in the efs)
Alex

[ACM]

Using the efs posted in the prior message one can now build day session Pivots for those instruments that do not have a day session only symbol or if one want to base the Pivots exclusively on intraday data so as to avoid the Settlement (as is the case with Eurex futures)
In the attached efs, only the traditional Pivots are calculated but the option to include the current Open is already built in for those who want to use it in alternative Pivot calculations (see comments in the efs). Also available is the option to use the daily bar's Close that includes the settlement (see closing notes in the prior message)
In the following two images you can again see how the efs can determine the Pivot Points based on the charted data and not the daily bar. In the top image is ES M4=2 using the PivotPointAll.efs available in the Pivots folder of Formulas. In the bottom image the same pivots can be obtained even when using the all session symbol.
Note that this efs cannot be used with Time Templates that span across midnight as it relies on the date change between sessions to define the days. However, like the PrevDay-OHLC.efs posted in the prior message it can be used in Tick Replay
Alex