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Rollover HLC on ES U6 to Z6


When I checked the pivots on rollover day Sep 7 06, I could not determine where the HLC values were recorded. I went back to the ES Z6 and found the RTH high was 1320.25. Why the vast difference?
This is the HLC data that I have for ES Z6 for today. I show a high of 1325.75 for 6 Sep - is this what you're talking about?

Date Open High Low Close
08/29/06 131500 131850 130875 131650
08/30/06 131625 132000 131525 131650
08/31/06 131650 131950 131450 131700
09/01/06 131625 132500 131625 132400
09/04/06 132225 132775 132225 132750
09/05/06 132225 132775 132150 132600
09/06/06 132575 132575 131200 131400
09/07/06 131350 131400 130400 131000
Yes. This is the data I am talking about. I did not see on my eSignal chart where the price got higher than 1320.25 that day. Where did the high of 1325.75 come from? I show the opening minute as
open 1319.50
high 1320.25
low 1319.25
close 1320.00

I do not see your open and high of 132575 that you are showing.
Around that date there were 3 possible charts that you were looking at:
ES U6
ES Z6
ES #F

(I assume that you're using eSignal right?)

The ES #F is a mixture of the two other symbols. ES #F show the figures for ES U6 up to 9/6 and then shows ES Z6 from 9/7 onwards.

Let me know if this is what happened with you?
I checked all 3 charts and could not find any trade at the prices you referenced. The prices I quoted in the previous post are from the ES Z6 chart.
What charting package are you using gatorguy? What is you data source?
I think that I can see where the confusion comes from. You are looking at the regular trading session and the data that I posted above is from the all sessions trading sessions. Here are the data point using the RTH data settings:

Date Open High Low Close
08/29/06 131500 131850 130875 131650
08/30/06 131675 132000 131550 131650
08/31/06 131775 131925 131525 131700
09/01/06 132175 132500 131775 132400
09/05/06 132450 132750 132150 132600
09/06/06 131950 132025 131200 131400
09/07/06 130900 131375 130400 130750

Does this match what you have?
That matches what I'm showing. I thought that the pivots at the DeltaT1 site only used intraday data. Seeing the pivots based on 24 hour data that one day really confused us.
gatorguy: Yes they do. Using those numbers was a mistake. We are working on a new system which should overcome this sort of problem - especially around rollover. Our apologies.

The ES and NQ use RTH and the ER2 and YM use continuous.