No registration required! (Why?)

pivot calculation open high low close


when i look in my data from the esm7 (esmini) i have difficulty
in understanding what open and what close values are used for the classic pivot calulation. the website fills in the open en close for the previous day for which they calculate the pivots but i have different data all together when i look up open and close in my data. what time stamps are used to find the open and the close values. Can anyone help me with that?
kind regards and thanks for your help

skippie
help i looked it up on a german website for the esu7 pivots for 14/6/07 and i get really frustrated now. they say that the base values for the calucation are: Berechnungsgrundlagen

Open v. 13.06.2007 1515,00
High v. 13.06.2007 1531,70
Low v. 13.06.2007 1512,50
Close v. 13.06.2007 1530,00

what can i do now because they are completely different to the data in mypivots. do we compare here apples with pears?
please help!
I have noticed that different data feeds will have slightly different info, also your computer`s clock can have an effect on your charts. I always go to the CME web site to get the correct numbers and edit my charts. Here is a link; http://www.cme.com/trading/dta/hist/daily_settle_prices.html?type=idx
Hi there, mwald.

I can understand there are some time discrepancies due to computer clock, but for the 13/06/07, for example, on the link:

http://www.mypivots.com/dn/archive.aspx?symbol=11&date=06/14/07

Says there is an open of 1493.25 for the 13th. In my data I cannot find any price that goes this low in all of ESU7!

Additionally - can anyone highlight the difference between the link above and this link:

http://www.mypivots.com/dn/archive.aspx?symbol=26&date=06/14/07

Both are titled "E-mini S&P500 September 2007 for 14-Jun-2007", except the "symbol" on the URL is different and so are the prices for the 13th.

Is someone able to clarify the situation?

Thanks!
quote:
Originally posted by mr_universal

I can understand there are some time discrepancies due to computer clock, but for the 13/06/07, for example, on the link:

http://www.mypivots.com/dn/archive.aspx?symbol=11&date=06/14/07

Says there is an open of 1493.25 for the 13th. In my data I cannot find any price that goes this low in all of ESU7!

Additionally - can anyone highlight the difference between the link above and this link:

http://www.mypivots.com/dn/archive.aspx?symbol=26&date=06/14/07

Both are titled "E-mini S&P500 September 2007 for 14-Jun-2007", except the "symbol" on the URL is different and so are the prices for the 13th.

Is someone able to clarify the situation?

If you look carefully at the titles of the pages (top middle in big print) you will see the following:

E-mini S&P500 June 2007 for 14-Jun-2007

E-mini S&P500 September 2007 for 14-Jun-2007

As you can see, the first is the June and the second the September contract. i.e. ES M7 and ES U7.

That could also be the confusion with the other comments in this thread. Make sure that you're looking at the right contract.
Aye carumba! Thanks very much, Daytrader. I was driving myself insane! I'm checking out the values now and it's all making more sense
thank you very much day trading! now i have solved my cmplete problems.

I looked it up for some other dates and it is all sound. The formula is as we always thought:

Pivot for date X
Date x-2 @ 15.30 CST = open
Date x-2 till x-1 chose the high + low
Date x-1 @ 15.15 CST = close
For Mondays open will be date-1 @ 17.00 CST = open because that is when the market starts after the weekend....

However for the DAX and ESTX it will be as follows:

Date x-1 @ 8.00 = open
Date x-1 between 8.00 till 22.00 chose high + low Date x-1 @ 22.00 = close For Mondays you use the Friday situation.

When there is a roll over it all solves automatically because at roll over time we start using another ticker name which solves that problem automatically. Immediate at the start of the roll-over day it backfills 5 or 10 days before so you have sufficient data before the roll over in your data file.

Furthermore we probably need for the buy and sell orders to have a parameter for the starting date and the stopping date from where it should start buying and selling. For example if the practical starting date for esu7 is Thursday 7 June the file will contain data probably starting in may already. So we do not want trades before 7th of June in that data set. A parameter could easily help to stop those trades we do not want! The roll over date for the es is different from the roll over date for the dax and probably other markets we want to trade in future.


thanks again and bi 4 now
steve
Skippie: One thing that you need to watch is the anticipated closing date of the trade if you're not day trading. i.e. if the trades that you open are going to close several days after rollover and you are now sitting a few days before rollover then you might be better opening your position in the new contract even though it is not the current contract.

You will still need to plan for rolling over contracts that you are carrying at rollover that will carry past expiration but you will want to minimize this because the rollover will cost in terms of (1) transaction costs and (2) spread costs for each contract that you rollover.
thanks day trading, you helped us a lot and will be able to turn this info into gold lol.
these are 24 hour pivots. do you think a lot of people will use as well the daytime opening hours pivot let us say from 8.30 open / h/l/ 15.15 close on the esmini? why is that never mentioned?
kr skippy.
I suppose that the answer to the question "which do traders use most - the all session or the RTH numbers?" is to test both of them side-by-side and whichever "works" better might lead you to conclude that more traders use that method. That's based on the assumption that the more traders that use a method the more it will work by weight of transactions at those levels.

Here's a theory about the Globex v. RTH question. For now, RTH metrics tend to dominate, but this is a legacy thing, a holdover from the days when RTH was all there was. I've noticed, over the past year it seems, Globex-established levels having a greater impact on the RTH session. Eventually -- perhaps not so far into the future -- the pits will be gone, and Globex will set the tone for everything.
I didn't know that poster - thanks for the update. I do know that I've done considerable research on when the pit is going to disappear and I think that it will be gone (at least in its current form) within the next few years.