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PC-SPAN
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Created: by ron99 Attachments:111

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PC-SPAN

  #101 (permalink)
Elite Member
Steubenville Ohio
 
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enderqa View Post
@Dudetooth, Maybe we can start small.

enderqa,

Here's my attempt to break down the SPAN process. Hope it helps.

***Edit: A few minor edits ... I guess I should have read through the CME material a little more closely before I posted this. I think I have everything correct now.

Attached Files
Register to download File Type: docx SPAN Process Edit.docx (20.2 KB, 60 views)

Last edited by Dudetooth; December 4th, 2013 at 01:19 PM.
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  #102 (permalink)
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Dudetooth View Post
I read through some of their material when I was researching the script language, but I somehow missed this part. With everything spelled out like this, I think you could eventually get Excel to do everything that PC-SPAN does.

You mention the standard record layout, but as I pointed out to Ron, this is not the correct file structure. The correct structure is the "expanded" record layout. Note the length of the Commodity (Product) Code. In the standard format, the Commodity Code has a length of 2, but the expanded format shows the Commodity Code having a length of 10.

The expanded "layout guide" matches what we see in the .pa2 files.

Here is a link to that page: http://www.cmegroup.com/confluence/display/pubspan/Type+8+-+Expanded

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  #103 (permalink)
Market Wizard
Cleveland, OH
 
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Wow. I inadvertently had a wrong thing in columns A-D. Program locked up. Got it out of that and it still wouldn't work.

Found out that the Temp sheet had over 5,000 lines from the data array in it. Copied a correct Temp sheet over the incorrect one and that fixed it.

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  #104 (permalink)
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mu2pilot View Post
You mention the standard record layout, but as I pointed out to Ron, this is not the correct file structure. The correct structure is the "expanded" record layout. Note the length of the Commodity (Product) Code. In the standard format, the Commodity Code has a length of 2, but the expanded format shows the Commodity Code having a length of 10.

The expanded "layout guide" matches what we see in the .pa2 files.

Here is a link to that page: http://www.cmegroup.com/confluence/display/pubspan/Type+8+-+Expanded

Sorry, you are correct. The general point was just that I was unaware that CME had such a detailed description of the risk arrays and armed with that info it could be possible to have Excel do everything PC-SPAN does (though it would take a lot of time and effort to do it all).

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  #105 (permalink)
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ron99 View Post
Wow. I inadvertently had a wrong thing in columns A-D. Program locked up. Got it out of that and it still wouldn't work.

Found out that the Temp sheet had over 5,000 lines from the data array in it. Copied a correct Temp sheet over the incorrect one and that fixed it.

I had that happen when I was testing (multiple lines in the risk array that match the search criteria). I tried to put some code in to prevent it from writing more than one line for each chunk of data that it was searching for, but I guess there are still holes. Do you remember what the values in columns A-E were?

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  #106 (permalink)
Market Wizard
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Dudetooth View Post
I had that happen when I was testing (multiple lines in the risk array that match the search criteria). I tried to put some code in to prevent it from writing more than one line for each chunk of data that it was searching for, but I guess there are still holes. Do you remember what the values in columns A-E were?

I had inadvertently copied the header (rows 1-3) down into cells below row 3.

Rows 1 & 2 of the header were blank. Row 3 had the headers (text) plus the popup for column E (Net).

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  #107 (permalink)
Market Wizard
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datahogg View Post
I noticed there is a $10.00 charge to download the PC Span. Are there any other charges for the data used
for calculating span??

WOW. When I bought mine (2009) it cost $500 and if you wanted a hard copy it cost an extra $35!

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  #108 (permalink)
Market Wizard
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SMCJB View Post
WOW. When I bought mine (2009) it cost $500 and if you wanted a hard copy it cost an extra $35!

Same here. And you would think that a multi-billion dollar company would rewrite 25 year old code when charging $500!!!

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  #109 (permalink)
Trading Apprentice
Moscow Russia
 
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Dudetooth,

I tried both versions of your software. When I enter a date and click the 'Download Risk Arrays' button it downloads, unzips and saves the risk arrays. But when I enter position data and click the Portfolio or Single Position buttons, nothing happens, just blank gray field in the Main Tab and almost all Zeroes in the Temp Tab. Am I doing something wrong?

Thank you in advance.

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  #110 (permalink)
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vp62 View Post
But when I enter position data and click the Portfolio or Single Position buttons, nothing happens, just blank gray field in the Main Tab and almost all Zeroes in the Temp Tab.

Can you show me what are you entering in columns A:E? It may be an issue with the contract or strike (the spreadsheet is a little finicky).

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