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

The close value is the settlement value which is often the same as the last traded value at 16:15 EST and the open value is the next session's first traded value which is about 16:30 EST on the previous day (except for Sundays when it's about 18:00 EST). Remember that Monday's trading session starts on Sunday evening and runs through to 16:15 EST on Monday. Tuesday trading session starts at 16:30 EST on Monday and runs through to 16:15 EST on Tuesday.

skippie - do you also trade the SFE's SPI futures index?

hi daytrading, thank you very much for your prompt reply. i will check it out. the sfe-spi is not a very tradable product i believe. there are more gaps than what you brealistically can accept and because there are not enough contracts it can be manipulated too easy! don't burn your fingers as many did!

hi daytrader,
do you know how to find the details for trading the gap as well?
kr
skippie

You're welcome. How does the liquidity of the SPI compare to the ES during Aussie trading hours? If you want to be an Aussie day trader you'd have to trade products like the SPI otherwise if you're trading the ES you're going to be a night trader...

We don't have the 9:30 EST figures on this web site anymore so we don't have gap stats in the Daily Notes. With instruments such as the ES which have continuous trading you are now trading a type of simulated gap if you trade that strategy. With that in mind, you can select any start time as your start time and measure the gap from 16:15 EST the previous session.

I've done gap study back testing using gaps that start at 8:30 EST (as opposed to the "official" pit open of 9:30 EST) and the can prove to be more profitable for periods of time than the "official" gaps.

If you're going to trade the gaps then you need to work out when best to pick your start time. It's my opinion that you can actually vary the start time for gap plays based on news/economic reports that are being release in the morning. If, for example, there's a report being release at 8:30am on Tuesday morning then play the gap from then and if it's at 9:15 on Wednesday then play the gap from that time. As I said, it's my opinion as I haven't tested this theory.

Hi Daytrader,
better trading at night than going bankrupt lol! we want to trade all markets 24 hours a day!
why is people so easy talking about NY time (EST) as you do. CME time is one hour earlier and that is the official time for th Globex. it is a bit weird that people do not want to know about Chicago time isn't it? how should i organize my charts on the screen CME time or NY time and why?

Good question!

I do see CST quoted sometimes (for example the CME and CBOT websites almost always quote times in CST) but I think that because New York is the financial center of the country that most people use EST as the "reference" time zone for US trading.

No matter what time zone I am living or travelling in I always set my machines to EST and leave them at that. I find that it's a lot less confusing when discussing trade setups and looking at charts if I just pretend that I'm in the EST time zone than trying to add or subtract hours the whole time.

If I was you I'd set my computers to EST if you're trading the E-mini markets. I know that some charting packages have had problems when the computers were set to other time zones and with you guys being a day ahead you might find that you have similar problems which you don't want to be dealing with when you're trying to trade.

hi daytrading, still there?

i am checking at the moment what you said for e-mini on 14th of June in the esu7 contract. in mypivots it says for 13th june open high low close = 1493.25 / 1517.00 / 1489.25 / 1515.50. for each of them open and close what time do they refer to because in my data i cannot find these values! please help!

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.