I've heard wisdom of both, but what do you use? Full session: 3:30pm of the previous day to 3:15 of the current day. RTH: 9:30 am to 4:15pm. Thanks!
I use the 9:30 - 4:15 Session for PP calculation. I believe most other ES traders do as well. Just use the SPM/ "Big Contract" for H L C values. ebo
http://www.elitetrader.com/vb/showthread.php?s=&threadid=21377&highlight=pivot http://www.elitetrader.com/vb/showthread.php?s=&threadid=26385&highlight=pivot
Yet eSignal uses the CME's full session #'s in their calculations. I don't use eSignal, but a lot of people do.
It's pretty much a no-brainer you've got thousands of traders watching the traditional calculations. (8:30-3:15 central) Go ahead and calculate the numbers using overnight data and draw them on your charts or however you keep them and watch them. If you see noticable jumps in volume around the pivots, then you can probably trade them. That's what makes the pivots work. Thousands of traders all watching the same thing.
Plot/keep track them both for a week or two and then decide for yourself. That's what I did. I used to use the RTH classic pivots (H+L+C)/3, but found that getting the numbers off the CME's website was so convenient that I gave the all session data a try. The numbers are usually very close, except the all session ranges between pivot lines tend to be a bit larger, because the RTH will sometimes not take out either the previous overnight session's high or low. When it takes out both overnight high and low, then RTH and all session pivots are identical. FWIW, I think the settlement sheets they post around the CME are virtually identical to the settlement page on the CME's website, which as you stated is all-session data.