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PC-SPAN
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Created: by ron99 Attachments:111

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PC-SPAN

  #231 (permalink)
Trading for Fun
St Paul, MN, USA
 
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Favorite Futures: Commodity Futures & Options
 
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Griffith View Post
Man, this looks cool, but I've spent a couple hours and I just cant get it to work.

After pressing "Download Risk Arrays" i'm just not getting anything in my destination folder.

Any ideas?


Did you double check to make sure the date is correct? It has to be in this format: 20140627

That's Friday. As far as I know, it won't pull in the closest business day, so you have to be precise.

If the download happens, you still won't see any data in Excel's "scanner" tab unless you select one or more (or all) commodities to scan.

You won't see any data in the "tracker" tab unless you've entered the data for one or more options in columns A-E. When you "track all" or "track select" it will then populate columns H-AD. Note: you can hide some of the columns in the H-AD range, if you don't use them.


Last edited by CafeGrande; June 29th, 2014 at 12:07 AM.
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  #232 (permalink)
Market Wizard
Cleveland, OH
 
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Anybody have an easy way to enter the Trade Dates on the Historic page? Column A. I have been hand typing them in.

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  #233 (permalink)
Elite Member
Steubenville Ohio
 
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ron99 View Post
Anybody have an easy way to enter the Trade Dates on the Historic page? Column A. I have been hand typing them in.

This will list every pa2 file in your data folder in column A:

Sub ListPA2Files()
Dim objFSO As Object
Dim objFolder As Object
Dim objFile As Object
Dim ws As Worksheet

Set objFSO = CreateObject("Scripting.FileSystemObject")
'Set ws = Worksheets.Add
Sheets("Historic").Select

'Get the folder object associated with the directory
Set objFolder = objFSO.GetFolder("C:\Span4\Data\")
'ws.Cells(1, 1).Value = "The files found in " & objFolder.Name & " are:"

'Loop through the Files collection
x = 5
For Each objFile In objFolder.Files
If InStr(objFile.Name, "cme") > 0 And InStr(objFile.Name, ".pa2") > 14 Then
x = x + 1
ws.Cells(x, 1).value = Mid(objFile.Name, 5, 8)
End If
Next

'Clean up!
Set objFolder = Nothing
Set objFile = Nothing
Set objFSO = Nothing
End Sub


You could add something like this to the bottom of the download_risk_files routine to add the date every time you download a new pa2:

Range("Historic!A" & lastdate + 1) = CStr(Range("Scanner!G1"))

Hope this helps.

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  #234 (permalink)
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Dudetooth View Post
This will list every pa2 file in your data folder in column A:

Sub ListPA2Files()
Dim objFSO As Object
Dim objFolder As Object
Dim objFile As Object
Dim ws As Worksheet

Set objFSO = CreateObject("Scripting.FileSystemObject")
'Set ws = Worksheets.Add
Sheets("Historic").Select

'Get the folder object associated with the directory
Set objFolder = objFSO.GetFolder("C:\Span4\Data\")
'ws.Cells(1, 1).Value = "The files found in " & objFolder.Name & " are:"

'Loop through the Files collection
x = 5
For Each objFile In objFolder.Files
If InStr(objFile.Name, "cme") > 0 And InStr(objFile.Name, ".pa2") > 14 Then
x = x + 1
ws.Cells(x, 1).value = Mid(objFile.Name, 5, 8)
End If
Next

'Clean up!
Set objFolder = Nothing
Set objFile = Nothing
Set objFSO = Nothing
End Sub


You could add something like this to the bottom of the download_risk_files routine to add the date every time you download a new pa2:

Range("Historic!A" & lastdate + 1) = CStr(Range("Scanner!G1"))

Hope this helps.

Look at you and your tight object oriented code!

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  #235 (permalink)
Trading for Fun
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An incomplete download?

For the first time, the two daily files are not downloading and unzipping/extracting themselves. I thought it might be "my" version of PC-SPAN so I downloaded a fresh copy from the first page of this thread and the same thing happened.

Here's what theSPAN data folder looks like today. Note the CME file is not unzipped and it looks like the ICE file was not downloaded at all.

FWIW, I deleted the zipped CME file and tried again for 20140701 ... same result.

Attached Thumbnails
PC-SPAN-span.png  
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  #236 (permalink)
Market Wizard
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CafeGrande View Post
For the first time, the two daily files are not downloading and unzipping/extracting themselves. I thought it might be "my" version of PC-SPAN so I downloaded a fresh copy from the first page of this thread and the same thing happened.

Here's what theSPAN data folder looks like today. Note the CME file is not unzipped and it looks like the ICE file was not downloaded at all.

FWIW, I deleted the zipped CME file and tried again for 20140701 ... same result.

I had no problem today. Maybe just manually unzip the cme file, and grab the ice file from the ftp site, and manually unzip that too, and try again tomorrow.

Maybe you have a hard disk issue (hard disk out of space, for example)?

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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  #237 (permalink)
Trading for Fun
St Paul, MN, USA
 
Futures Experience: Advanced
Platform: Abacus
Broker/Data: RJO, Interactive Brokers
Favorite Futures: Commodity Futures & Options
 
Posts: 195 since Jan 2014
Thanks: 116 given, 191 received

Well, whaddya know. A complete shut-down and reboot and now it works fine.

I'll leave the post up in case someone has a similar problem in the future.

The puzzling thing was the partial download over a couple of instances ... computers can make you crazy.


Last edited by CafeGrande; July 1st, 2014 at 11:03 PM.
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  #238 (permalink)
Trading for Fun
Brisbane, Queensland, Australia
 
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Adding Greeks and Aggregate Greeks

CafeGrande,

I have been working on this in a number of different ways. I currently have the track sheet working in a category or group manner. See the screen shot below. The groups here a based different accounts, candidate selection and trade execution.

Considering the Ib risk naviagator I am thinking that such groups could be at a product level or at a product contract. For example; Soyabeans or Soyabeans July and Soyabeans August.

It occurs to me that you may wish to manage the greeks for different months differently. So to lump a trade you have in july with a trade you have in August would be unhelpful.

Thinking about how we can create a portfolio sheet with greeks and portfolio margin with profit/loss should not be too difficult but just getting the structure of the idea right first may be very helpful.

Any ideas or suggestions that you have would be appreciated.

Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #239 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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Thanks: 756 given, 4,492 received
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Dudetooth View Post
You could add something like this to the bottom of the download_risk_files routine to add the date every time you download a new pa2:

Range("Historic!A" & lastdate + 1) = CStr(Range("Scanner!G1"))

Hope this helps.

I added this but it doesn't work for me. Can you explain lastdate in that line? My column A is formatted as text. The dates are in the 20140702 format as text not dates.

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  #240 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
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Thanks: 26 given, 226 received



ron99 View Post
I added this but it doesn't work for me. Can you explain lastdate in that line?

Sorry, it should make more sense if you see it in the entire routine. Here's my sub for downloading the pa2 files ... the last block of code adds the new date if it doesn't already exist.

Sub download_risk_files()
On Error GoTo GetOut
Dim RetVal
Dim Batchfile As String
Dim path As String
Dim dateit As Double
Dim namecme As String, namenyb As String
Wait.Show vbModeless
DoEvents
dateit = Range("Scanner!G1").value
namecme = "cme." & dateit & ".s.pa2.zip"
namenyb = "nyb." & dateit & ".s.pa2.zip"
path = Range("Setup!A5").value '"C:\Span4\Data"

SaveWebFile "ftp://ftp.cmegroup.com/pub/span/data/cme/" & namecme, path & "\" & namecme
SaveWebFile "ftp://ftp.cmegroup.com/pub/span/data/nyb/" & namenyb, path & "\" & namenyb

Call UnZip(path & "\", path & "\" & namecme)
Call UnZip(path & "\", path & "\" & namenyb)
Kill path & "\" & namecme 'delete zipped risk arrays
Kill path & "\" & namenyb
Kill path & "\cme.s.pa2" '140215*** added update to cme/nyb file
Kill path & "\nyb.s.pa2"
FileCopy path & "\" & Left(namecme, Len(namecme) - 4), path & "\cme.s.pa2"
FileCopy path & "\" & Left(namenyb, Len(namenyb) - 4), path & "\nyb.s.pa2"

If Range("Setup!A18") = "Delete Dates" Then
If Dir(path & "\cme.s.pa2") <> "" Then 'delete old pa2 files if they exist
Kill path & "\cme.s.pa2" 'delete old pa2 files
End If
If Dir(path & "\nyb.s.pa2") <> "" Then 'delete old pa2 files if they exist
Kill path & "\nyb.s.pa2"
End If
Name path & "\" & "cme." & dateit & ".s.pa2" As path & "\cme.s.pa2"
Name path & "\" & "nyb." & dateit & ".s.pa2" As path & "\nyb.s.pa2"
End If

lastdate = Range("Historic!A" & Rows.Count).End(xlUp).Row '140222*** add dates to hist when downloading new pa2
Dim rng1 As Range
Dim strSearch As String
strSearch = dateit
Set rng1 = Range("A6:A" & lastdate).Find(strSearch, , xlValues, xlWhole)
If rng1 Is Nothing Then
Range("Historic!A" & lastdate + 1) = CStr(Range("Scanner!G1"))
End If

GetOut:
Unload Wait
End Sub

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