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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,409 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old January 4th, 2014, 05:40 PM   #131 (permalink)
Market Wizard
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Futures Experience: Advanced
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Dudetooth View Post
Can you give a few examples of options you were looking to calculate (month/strike)?

EW G4 ES H4 P 1600 -1
EW1G4 ES H4 P 1600 -1

OK I just got it to work by changing the Under Month to EW H4 or EW1H4 instead of ES H4.

Should it do that?

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Old January 4th, 2014, 06:04 PM   #132 (permalink)
Market Wizard
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I haven't downloaded v3 because it doesn't display SPAN IM.

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Old January 4th, 2014, 06:15 PM   #133 (permalink)
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ron99 View Post
EW G4 ES H4 P 1600 -1
EW1G4 ES H4 P 1600 -1

OK I just got it to work by changing the Under Month to EW H4 or EW1H4 instead of ES H4.

Should it do that?

The code is looking to the underlying contract when creating the search string. By changing to EWH4 the code goes to the EW section for creating the search string rather than the ES section.

If you add the following code under the ES section in the original code you could use 4 or 5 characters in column A (e.g. EWG4 or EW1G4 ... you'll still need EWH4 in column B) without changing any other code and it should calculate properly:

ElseIf con1 = "EW" Then
If Len(c1) = 5 Then
str1 = "CME" & Left(c1, 3) & " ES OOF" & cp1
strSearch4 = "B CME" & Left(c1, 3) & " OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
Else:
str1 = "CMEEW ES OOF" & cp1
strSearch4 = "B CMEEW OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
End If
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 SP"
strSearch3 = "4 SP"
imm2 = 1
v1 = 0.5

There are 7 spaces between " and ES in the 3rd line ... spaces stripped when posted.

To get the correct expiration date you'll have to change the strSearch4 as well. Code above is one way to do it.


Last edited by Dudetooth; January 4th, 2014 at 06:33 PM. Reason: added some code
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Old January 5th, 2014, 12:30 AM   #134 (permalink)
Market Wizard
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Dudetooth View Post
Here's the latest spreadsheet (v3) with a few updates (just in time for the Holidays):

As usual, please let me know if you find any issues and I will try to get them fixed.

Thanks. I got it converted for my needs. I wish I had marked the all the changes I made in the code of v2.

In the Sub SpreadRisk() it doesn't check cell O2 to get the excess factor for ROI. Calc Risk does do that.

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Old January 6th, 2014, 03:10 PM   #135 (permalink)
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Futures Edge on FIO
Dudetooth, your v3 fixed the milk contract option value being wrong for options that settled at cabinet. It was showing 100 and now it correctly shows 10.

Thanks.

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Old January 6th, 2014, 03:28 PM   #136 (permalink)
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No problem ... after you posted the link that detailed the Type 8 records I realized I didn't read it through as thoroughly as I should have, so I went back trough the code to see what I could extract from the risk arrays rather than trying to calculate trying to speed things up ... cabinet values happened to be some of the data it grabs now.

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Old January 6th, 2014, 03:37 PM   #137 (permalink)
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Dudetooth View Post
No problem ... after you posted the link that detailed the Type 8 records I realized I didn't read it through as thoroughly as I should have, so I went back trough the code to see what I could extract from the risk arrays rather than trying to calculate trying to speed things up ... cabinet values happened to be some of the data it grabs now.

Dudetooth, you mention speeding things up. I was under the impression that the file read access was the bottleneck in the calc process. Sequentially searching thru 500k lines of text is a slow process. I've looked at pulling the span files into a sql db and querying it to speed up the process and may do that at some point, but I've got other project to do before that.

mu2pilot

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Old January 6th, 2014, 03:44 PM   #138 (permalink)
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mu2pilot View Post
Dudetooth, you mention speeding things up. I was under the impression that the file read access was the bottleneck in the calc process. Sequentially searching thru 500k lines of text is a slow process. I've looked at pulling the span files into a sql db and querying it to speed up the process and may do that at some point, but I've got other project to do before that.

mu2pilot

I have a 2 year old PC, and I am able to run through about 3700 options in an hour. One thing I did to speed it up was add a "pre-processor" - since I am only interested in options with delta < .05, I skip any that will be above this criteria. Cuts the time required by about 66%.

Thanks again to @Dudetooth for this incredible tool. I am rarely wowed by free stuff, but his spreadsheet has improved my decision making by a ton:

Before I started using his spreadsheet, I had to manually hunt and peck for options to sell. My median ROI for those trades was 4.0%. I considered that pretty good.

Now, with the spreadsheet, I can find many higher quality options. Since I started using dude's spreadsheet, my median ROI has gone up to 5.5%!!!!!! I know it is because it is easier now to find the right options.

/end of unpaid testimonial

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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Old January 6th, 2014, 03:51 PM   #139 (permalink)
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kevinkdog View Post
I have a 2 year old PC, and I am able to run through about 3700 options in an hour. One thing I did to speed it up was add a "pre-processor" - since I am only interested in options with delta < .05, I skip any that will be above this criteria. Cuts the time required by about 66%.

Thanks again to @Dudetooth for this incredible tool. I am rarely wowed by free stuff, but his spreadsheet has improved my decision making by a ton:

Before I started using his spreadsheet, I had to manually hunt and peck for options to sell. My median ROI for those trades was 4.0%. I considered that pretty good.

Now, with the spreadsheet, I can find many higher quality options. Since I started using dude's spreadsheet, my median ROI has gone up to 5.5%!!!!!! I know it is because it is easier now to find the right options.

/end of unpaid testimonial

I agree 100%. My post was in no way meant to be a criticism of what Dudetooth has created. It is a GREAT RESOURCE. I hope to help make it even better.

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Old January 6th, 2014, 03:57 PM   #140 (permalink)
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mu2pilot View Post
I agree 100%. My post was in no way meant to be a criticism of what Dudetooth has created. It is a GREAT RESOURCE. I hope to help make it even better.

Sorry, I did not think you were criticizing his work. Faster is always better, and a database may be the way to go. I wish I was able to do that - that's why I had to pre-process instead.

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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