Discrepancies in Daily Pivot Point Values

[dcash]

I just noticed that the values for YH, YL, and YC do not match the corresponding values as displayed in the daily snapshot bar of my charts. This is for the ES symbol. My broker's data shows the same values as the daily snapshot bar and their pivot points use these values.

I have attached a screen shot showing this behavior. Could someone explain this seeming discrepancy to me? Thanks.

[Larry Marchman]

Hey Dan,

Let's see if the short answer in words, without pictures, will suffice.

ES's "day" runs from 16.30 thru 16:15, and the trading activity during this time span is reflected in the Daily bar.

Pivots for All Sessions ES chart, like in your screenshot, is currently based on 24 hours of intraday values from midnight (00:00) thru midnight. The Daily bar values are not in play.

imho, ES All Sessions pivot lines for a new day should begin at 16:30, not midnight.

Jay...comments?

LAM

[dcash]

Larry,

I've been doing some experimenting and cannot seem to change the default values for Daily Pivot on the Studies->Preferences choice from the main menu. I tried to click the radio buttons to set a start and end time which corresponds to RTH, but it did not "take," even after saving the workspace, exiting QCharts and then restarting. Is there something I am missing in trying to change these defaults? I would like to display "all sessions" for my futures charts but use RTH times to calculate the pivot points.

-Dan

[Larry Marchman]

Hey Dan,

Good idea to play with the specific hours setting.
It seems to work OK for me. And it's saved OK in the workspace, and there on reload of the workspace.
So...hmmm on what you're saying.
I've sent the little test workspace used for the screenshot to you.

oh...I didn't try setting the "default" since the setting in the chart is chart and symbol specific. Just set up the workspace and saved the workspace.

LAM

[dcash]

Larry,

I replicated your test workspace, including the 09:30 to 16:14 time settings, and everything seemed to work O.K. for today, Monday 3/29. Going back further in time, however, things still appear to be having some problems as the pivot values are no longer the same; close, but not the same as is the case for Monday, 3/29. A screenshot of my charts is attached

-Dan

[dcash]

Larry,

I sent the other screen shot before I realized you sent me a copy of yours. I have attached your workspace to this message. It looks to me like it has the same "slightly off" issues as my workspace has.

-Dan

[Larry Marchman]

Dan,

Yep, there are slight differences All Sessions vs RTH.
I noticed that before, but had not run down as yet exactly what was up.
Here's the 411.
It's not a pivot issue.
Rather it's a bar formation glitch in QCharts.
The pivot is correct, but it's picking up a bad bar unrelated to pivots.
The screenshot here should tell the tale.
The screenshot has no pivots applied, yet the bad bars here reflect in pivots when pivots are turned on.

Also, it was this glitch that initially had me using the 9:30-16:14 time frame. Change it to 16:15. This won't fix anything, but it's logically more correct.

LAM

[dcash]

Larry,

Thanks for the explanation. If I understand you correctly, QCharts is basing its value on the time stamp of the trades, as opposed to looking for a "settlement" transaction in the trade stream that contains the closing price. Well, I guess in this case, close enough is going to have to do.

-Dan