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PC-SPAN
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Created: by ron99 Attachments:113

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PC-SPAN

  #151 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

Glad it was a help to you. SOM is short option minimum and risk is the highest risk in the risk array scenarios. The highest of the two is used for calculating initial margin. Price is the settlement price... Bid and ask prices do not show up in the risk arrays. I should have a newer spreadsheet available soon that should be even faster.

Sent from my Nexus 5 using Tapatalk

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  #152 (permalink)
Trading Apprentice
Detroit MI/USA
 
Futures Experience: Beginner
Platform: OEC
Favorite Futures: CL,6E,6B,ES
 
Posts: 21 since Jan 2014
Thanks: 12 given, 9 received

thanks for the explanation. The excel sheet is extremely fast on my home computer. I am excited to see what the next update holds.

Btw, how is ROI calculated in the excel sheet?

I'm using ROI = (Option premium) / (Option total IM x 3), but its not the same number that it shows in the sheet.

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PC-SPAN-screenshot.15.jpg  
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  #153 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received


The spreadsheet uses (premium / (IM * variable)) / DTE * 30. The variable should be cell o2 on the risk tab. I think it was set to 2 when I uploaded it.

Sent from my Nexus 5 using Tapatalk

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  #154 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,028 since Dec 2013
Thanks: 1,681 given, 3,159 received
Forum Reputation: Legendary

I would like to thank everybody who has contributed to that thread but especially @ron99 and @Dudetooth.
This thread is one of the most helpful and useful threads I've seen in years of watching forums like this.
Primarily because of this thread I have decided to upgrade to an elite membership (hoping there are other threads as valuable behind the elite gates.)
Thanks @ron99 and @Dudetooth again.

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The following user says Thank You to SMCJB for this post:
 
  #155 (permalink)
Trading for Fun
St Paul, MN, USA
 
Futures Experience: Advanced
Platform: Abacus
Broker/Data: RJO, Interactive Brokers
Favorite Futures: Commodity Futures & Options
 
Posts: 196 since Jan 2014
Thanks: 117 given, 191 received

DudeTooth -

I downloaded v3 earlier today and so far, so good. I put in a couple of sample trades and a data date of Friday, January 17th and the results look right to me. So, a big thank you in advance because I think this tool can improve capital allocation and risk management and it's also a quick and easy way to compare which of my brokers is running at or close to SPAN. I know IB gets a bad rap from option sellers, and sometimes it's deserved; other times they are very close or lower than RJO, which seems to be fairly close to SPAN minimum).

Anyway, one question: I'm pretty sure I can change the cell formatting - fonts, text color, cell shading, column width, etc - without messing up any of your code behind the scenes, but what about conditional formatting? For example, if I enter a list of real positions, maybe I want all "Cs" (calls) to be in bold red text (cuz' that's where I usually get screwed) or maybe I want to color code (traffic light) the delta column for various ranges. Will conditional formatting screw anything up?

ˇMuchas Gracias!

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  #156 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received


CafeGrande View Post
Will conditional formatting screw anything up?

Conditional formatting / formatting in general should be fine. The code just messes with the values of the cells.

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The following user says Thank You to Dudetooth for this post:
 
  #157 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,028 since Dec 2013
Thanks: 1,681 given, 3,159 received
Forum Reputation: Legendary

spanit utility

This is wierd. I consistently get errors using the spanit utility but as far as I can tell the error isn't actually causing any problems

My spanscript.txt file
Load C:\SPAN4\ice.20140120.pa5
Load C:\SPAN4\PORTFOLIO.pos
Calc
Save C:\SPAN4\Risk.xml
My SPAN-BATCH.bat file
c:\SPAN4\Bin\spanit.exe C:\SPAN4\SpanScript.txt
c:\SPAN4\RptModule\spanReport.hta C:\SPAN4\Risk.xml
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It's definitely not creating any log files anywhere.. but everything seems to be running correctly.
Any ideas??

riskreporter.exe utility

My RiskReporter-BATCH.bat file
C:\Span4\Bin\RiskReporter.exe C:\Span4\Risk.xml /PbReq_CSV /Pos_CSV /ScanRiskContr_CSV C:\Span4\Data\MySpanCalc.log
The only log file this seems to be creating is RiskReporter.txt in the SPAN4\ directory which says
RiskReporter® utility, version 4.37
Copyright© CME Group 2007-2011
Cannot open input file C:\Span4\Data\MySpanCalc.log
Input XML file: C:\Span4\Risk.xml
Loaded SPAN XML file C:\Span4\Risk.xml
List of generated Batch reports:
- /PbReq_CSV C:\Span4\PbReq.csv
- /Pos_CSV C:\Span4\NetPos.csv
- /ScanRiskContr_CSV C:\Span4\ScanRiskContr.csv
Return Value: 0
The program is creating NetPos.csv PbReq.csv & ScanRiskContr.csv correctly though so maybe I should worry.

Combining spanit & riskreporter.exe utilities

You can actually combine the spanit and riskreporter batch files and have a single file.

My spanscript.txt file
Load C:\SPAN4\ice.20140120.pa5
Load C:\SPAN4\PORTFOLIO.pos
Calc
Save C:\SPAN4\Risk.xml
My MEGA-BATCH.bat file
c:\SPAN4\Bin\spanit.exe C:\SPAN4\SpanScript.txt
c:\SPAN4\RptModule\spanReport.hta C:\SPAN4\Risk.xml
C:\Span4\Bin\RiskReporter.exe C:\Span4\Risk.xml /PbReq_CSV /Pos_CSV /ScanRiskContr_CSV C:\Span4\Data\MySpanCalc.log

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  #158 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,721 received
Forum Reputation: Legendary

SMCJB, on the first one I have no idea. What browser are you using and is it running something when you are running the script?

On the second one I'm not sure either. I see you have the different elements in different folders. I have everything in one folder. The Bin folder. I do output reports to a different folder.

I use SaveCalcSummary. You are just using Save. I don't know if that is a problem.

I probably wasn't much help. Sorry.

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  #159 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

I haven't used that utility in a few months, so I've forgotten quite a bit already. You batch and script look the same as the last versions I used. I set up a test and got the same error as your second (error saving the log). I still got the reports, but the rptBatch.log was not saved, nor the rptBatch.err. I'm pretty sure I had seen that error before, but I'm afraid I can't remember why it was happening or if I was able to fix it. CME's help file on it didn't really help other than to list the default locations where the reports and logs go.

If it were me, I'd just ignore the error ... your still getting the reports. Sorry, that probably wasn't much help either.

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  #160 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,028 since Dec 2013
Thanks: 1,681 given, 3,159 received
Forum Reputation: Legendary



ron99 View Post
SMCJB, on the first one I have no idea. What browser are you using and is it running something when you are running the script?

I normally use Chrome but I get the error even with no browser open.


ron99 View Post
On the second one I'm not sure either. I see you have the different elements in different folders. I have everything in one folder. The Bin folder. I do output reports to a different folder.

I might try using different folders... everything keeps getting cluttered.

ron99 View Post
I use SaveCalcSummary. You are just using Save. I don't know if that is a problem.

Haven't tried that. Thanks for the tip.

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