Rollover HLC on ES U6 to Z6
When I checked the pivots on rollover day Sep 7 06, I could not determine where the HLC values were recorded. I went back to the ES Z6 and found the RTH high was 1320.25. Why the vast difference?
This is the HLC data that I have for ES Z6 for today. I show a high of 1325.75 for 6 Sep - is this what you're talking about?
Date Open High Low Close
08/29/06 131500 131850 130875 131650
08/30/06 131625 132000 131525 131650
08/31/06 131650 131950 131450 131700
09/01/06 131625 132500 131625 132400
09/04/06 132225 132775 132225 132750
09/05/06 132225 132775 132150 132600
09/06/06 132575 132575 131200 131400
09/07/06 131350 131400 130400 131000
Date Open High Low Close
08/29/06 131500 131850 130875 131650
08/30/06 131625 132000 131525 131650
08/31/06 131650 131950 131450 131700
09/01/06 131625 132500 131625 132400
09/04/06 132225 132775 132225 132750
09/05/06 132225 132775 132150 132600
09/06/06 132575 132575 131200 131400
09/07/06 131350 131400 130400 131000
Yes. This is the data I am talking about. I did not see on my eSignal chart where the price got higher than 1320.25 that day. Where did the high of 1325.75 come from? I show the opening minute as
open 1319.50
high 1320.25
low 1319.25
close 1320.00
I do not see your open and high of 132575 that you are showing.
open 1319.50
high 1320.25
low 1319.25
close 1320.00
I do not see your open and high of 132575 that you are showing.
Around that date there were 3 possible charts that you were looking at:
ES U6
ES Z6
ES #F
(I assume that you're using eSignal right?)
The ES #F is a mixture of the two other symbols. ES #F show the figures for ES U6 up to 9/6 and then shows ES Z6 from 9/7 onwards.
Let me know if this is what happened with you?
ES U6
ES Z6
ES #F
(I assume that you're using eSignal right?)
The ES #F is a mixture of the two other symbols. ES #F show the figures for ES U6 up to 9/6 and then shows ES Z6 from 9/7 onwards.
Let me know if this is what happened with you?
I checked all 3 charts and could not find any trade at the prices you referenced. The prices I quoted in the previous post are from the ES Z6 chart.
What charting package are you using gatorguy? What is you data source?
I think that I can see where the confusion comes from. You are looking at the regular trading session and the data that I posted above is from the all sessions trading sessions. Here are the data point using the RTH data settings:
Date Open High Low Close
08/29/06 131500 131850 130875 131650
08/30/06 131675 132000 131550 131650
08/31/06 131775 131925 131525 131700
09/01/06 132175 132500 131775 132400
09/05/06 132450 132750 132150 132600
09/06/06 131950 132025 131200 131400
09/07/06 130900 131375 130400 130750
Does this match what you have?
Date Open High Low Close
08/29/06 131500 131850 130875 131650
08/30/06 131675 132000 131550 131650
08/31/06 131775 131925 131525 131700
09/01/06 132175 132500 131775 132400
09/05/06 132450 132750 132150 132600
09/06/06 131950 132025 131200 131400
09/07/06 130900 131375 130400 130750
Does this match what you have?
That matches what I'm showing. I thought that the pivots at the DeltaT1 site only used intraday data. Seeing the pivots based on 24 hour data that one day really confused us.
gatorguy: Yes they do. Using those numbers was a mistake. We are working on a new system which should overcome this sort of problem - especially around rollover. Our apologies.
The ES and NQ use RTH and the ER2 and YM use continuous.
The ES and NQ use RTH and the ER2 and YM use continuous.
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