Hi all, I am programming my trading / charting system to plot pivot points. However, I am not sure what to do on rollover day / week? When April Rolls into May on a continuation chart, do you think I should be plotting: Daily pivots using yesterdays April candle or yesterdays May candle? This only causes a potential issue for one day, as from then onwards "yesterday's" candle will always be a 'May' candle. The bigger issue comes when we apply this to the weekly pivots. For one week I could either look at April Pivots based on May flat price, or move straight onto May Pivots on roll over? My head is telling me I should roll the calculations to look back at May data from the instant I choose to rollover, as although historically the data on the chart will largely be that of April, the price action occuring will be in the May contract and therefore will respect May pivots more? I don't think equalizing the data is right as pivots tend to be self fulfilling and therefore most people will be looking at basic April / May / continuation charts?.... Any thoughts guys? Thanks Papa.
This really shouldn't be a pivot calculation issue. Merging the data should be done before it is passed to the chart. Then the pivots should be calculated on whatever data the chart has. That way the pivot calculation will be totally independent of the data source or type.
Hi there. Thanks for the reply. But even after the chart is merged, unless you are equalising closes (which I'm not), then last week will be 'April', yesterday will be April, Today will be May, and going forward will be May? p.s. the pivot points aren't a standard tool in the package I am using (CQG), so I have coded them, and I need to specify whether to look back at April until a week later when the candles will all be May candles, or force it to look at May from the get go?
I assume when you refer to April and May you mean data from the April or from the May contract. The thing is that once you merge the data, you don't have 2 different sets of data to even look at. You just have one continuous set of data, and the pivot point calc just looks at that - same as for a stock historical data set. As for how to handle the overlapping data when merging the two contracts, I would suggest looking at how some of the other packages do it - eSignal, IQFeed - and comparing the data from the April and May contracts to the data that is returned for the continuous symbol. Also, the data providers may document how they create the continuous symbols.
Yes. Exactly. I was getting confused. Itâs because last weeks data on a continuation chart is part made up of May, and part made up of April? and so the weekly chart forms a mix of the two datas and pivots are calculated from that. Sorry was being stupid. Got it now. I think my rather poorly articulated question then is; Do you think the weekly pivot points S1,S2 etc from a continuation chart (especially seeing as there are several ways to roll (when volume is more in the second month, x days before settlement, on expiry etc), would hold less validity than the weekly points calculated from last weeks data in the May contract, and that I should force my weekly pivot points that I plot on the continuation chart to be calculated from the May weekly data which is 'real' rather than the 'hybrid' weekly continuation candle?