The SessionPivots family consists of 6 indicators. The anaCurrentDayOHLV33 plots the open, high and low of the current session. It cannot plot a close, because the current session is not closed yet.
What you look for is the prior day's high, low and close. These are the values used to calculate the
pivots. So to display them, you can just use the anaPivotsDailyV33 indicator and set all pivots and the prior day midline to transparent.
Example
It is best to use an example to show how the pivots work. Let us take ES 06-11. For ES, I use a session that divides the trading day into two subsessions, the Globex night session and the regular trading hours (
RTH). Session template is attached.
I understand that you want to show yesterday's HLC for the regular session. In this case you need
- to set the indicator to 'RTH' (regular session)
- to inform the inidcator that the second session of the day is the RTH session ('Session # for RTH = Second')
For the close the indicator also has two options. You can either display the close from your daily historical data base. In this case you need to set the indicator to'DailyBars'. Or you can set it to 'CalcFromIntradayData'. In this case the close is the last traded price of the selected RTH session.
I personally want to see the settlement price for ES. My
EOD datafeed is Kinetick, which shows the settlement price, not the close. So I always use the indicator in 'DailyBars' mode.
The chart below shows yesterday's high, low and close. Chart attached. The indicator also shows the
VWAP for Friday.
Special Case: Adapting to Trade Dates of CME and NYMEX
CME has double day sessions which have single trade date. Let us take Memorial Day as an example. On coming Monday, the night session for ES will open as usual at 5:00 PM Central Time. However, trading will be halted during most of the day session, and there will be no close for Monday. All trades executed on Monday are for trade date Tuesday, as the session starts on Sunday evening and closes on Tuesday afternoon.
If you want to display yesterday's high, low and close, you will need to
-> display high, low and close of Friday's session on Monday
-> display high, low and close of Friday's session on Tuesday
-> for
ETH display high, low and close of the Monday+Tuesday session on Wednesday
-> for RTH display high, low and close of the Tuesday RTH session on Wednesday
-> display Pivots in line with rules for high, low and close
This is what the indicator does. For other exchanges, such as ICE, Nybot, EUREX there are no double day sessions, so the indicator will only use this method for the CME and NYMEX traded instruments.
Settlement on the last business day of the month
On the last business day of the month there is a larger difference between the settlement and close of index futures. The fair value procedure that is used, will produce a settlement calculated from the index close at 3:00 PM Central Time, while the close will show the future price at 3:15 PM.So do not be astonished, if the settlement is further off the close on coming Tuesday.
Indicator Attached
You can best use the anaPivotsDailyV33 indicator. Alternatively I attach an indicator anaPivotsT33 which
-> has the colors serialized separately and makes it easier to set the pivots to transparent
-> displays the
pivot range (set opacity to 0 if you do not want it)
