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PC-SPAN
Updated: Views / Replies:50,160 / 475
Created: by ron99 Attachments:111

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PC-SPAN

  #261 (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


Dudetooth View Post
Mo111,

Thanks for finding this error ... the 4b version was not adding the short option minimum for both legs ... $86 is correct. You won't normally see this unless you are very far out of the money (which these are) and then the short option minimum is greater than the risk scenarios so that it becomes the basis of the initial margin. I've fixed this issue and have re-posted the spreadsheet.

Dudetooth, Thanks for the updated excel sheet - Now im running into a different error. When I try to download the current days files, I get a "sub function not defined":

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Does this have to do with the updated virus definitions/scanner?

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  #262 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 210 since Sep 2012
Thanks: 26 given, 226 received


Mo111 View Post
Does this have to do with the updated virus definitions/scanner?

I doubt it. The last version I posted had the fix for the virus scanners (uses a different routine to download files). I just tried to download the PA2 files using that spreadsheet and received no errors. I suspect that your pc had a hiccup. Try a reboot and then try the download again. Let me know if that doesn't fix the issue.

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  #263 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 210 since Sep 2012
Thanks: 26 given, 226 received



CafeGrande View Post
Would it take a lot of work to add the Kansas City (KE) wheat contract to your application?

CafeGrande,

Not much at all.

Add these lines of code to the Function P34Bstring:

Case "KW", "KE"
strS(0) = "P CBTKW OOF"
strS(1) = "3 KCW 1001"
strS(2) = "4 KCW 01"
strS(3) = "B CBTKW OOF"
strS(4) = "82CBTKW KW FUT"


And add these lines of code to the Function T8string:

Case "KW", "KE"
str5 = "82CBTKW KW OOF"


I'm not sure if the spacing as displayed are correct, so I attached a text file with the code for the two functions.

I gave it a quick test and it seemed to work ... let me know if there are any issues.

Attached Files
Register to download File Type: txt Function Code.txt (10.3 KB, 9 views)
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  #264 (permalink)
Trading Apprentice
Boston MA
 
Futures Experience: None
Platform: NinjaTrader
Favorite Futures: Forex
 
Posts: 5 since Apr 2014
Thanks: 1 given, 0 received

Thank you, it worked.


Dudetooth View Post
There is no issues with Win7 64bit, but it could be Win8 security ... found this referring to error 2502 and 2503:

Windows 8 has increased security measures which prevent standard users from installing 3rd party applications. If you see error 2502 or 2503 while installing, that means your account does not have administrator permissions to install software.

Solution 1:

Make sure your Windows account has the highest level of security permissions. Refer to Windows documentation for your operating system on how to do this.

Solution 2:

Run the installation file "As Administrator":

1. Find the installation file on your computer. Normally you have the option to save or run an installation file when downloading from the Internet. If you do not know where the file was downloaded, check the Downloads folder in File Explorer.

2. Right-click the file and select Run As Administrator* from the pop-up menu.


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  #265 (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


Dudetooth View Post
CafeGrande,

Add these lines of code to the Function P34Bstring:

....

I'm not sure if the spacing as displayed are correct, so I attached a text file with the code for the two functions.

I gave it a quick test and it seemed to work ... let me know if there are any issues.


It worked! I didn't break anything!

Thanks for adding the .txt file. That helped this novice to know what to look for.

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  #266 (permalink)
Elite Member
tennessee/USA
 
Futures Experience: Intermediate
Platform: Quotetracker, TOS
Broker/Data: OX TOS
Favorite Futures: ES
 
Posts: 83 since Aug 2014
Thanks: 267 given, 8 received

Where to buy the PC_SPAN program with $10?

I didn't find it in the quick summary link, thanks!
Sorry to bother you, I reviewed a few pages of this thread and did not find the link to buy the program.
it looks like the real challenge for me now is to figure out how to use the SPAN:-(

Edit1, I found the link!
Edit2: This link does not show the price for $10.00, it is risk manager for $3000.00, I still need help.

http://www.cmegroup.com/clearing/risk-management/span-purchase.html



ron99 View Post
We will use this thread to discuss working with the CME PC-SPAN program.



Last edited by daydayup8; September 3rd, 2014 at 03:29 PM.
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  #267 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 received
Forum Reputation: Legendary

It looks like CME finally redid PC-SPAN and now calls it CME CORE (Clearing Online Risk Engine). It's free.

http://www.cmegroup.com/clearing/cme-core-cme-clearing-online-risk-engine.html

I haven't looked at it in detail. Just watched some of the videos. Someone needs to check it out in detail.

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The following 2 users say Thank You to ron99 for this post:
 
  #268 (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


Dudetooth View Post
I doubt it. The last version I posted had the fix for the virus scanners (uses a different routine to download files). I just tried to download the PA2 files using that spreadsheet and received no errors. I suspect that your pc had a hiccup. Try a reboot and then try the download again. Let me know if that doesn't fix the issue.

Hi Dudetooth - thanks for all your help. So I figured out what the issue was. I was getting the same error as before for "64-bit code" and I did your modification you mentioned here, which got rid of the error but then it deleted the download function for the spa files. Anyways a quick google search brought me here, and all I did was add the word "PtrSafe" before the declare statements and it worked great.

The previous error with margin calculation of the CL contracts is fixed! Thanks

Now I'm facing two other issues with the new sheet. First, I'm getting a different SPAN margin calculation for my 6E contracts from the prior version: (scan date for both is 9/3/2014)

4b version says $455:

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prior version says $461:

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The second issue is I'm using the tracking page to track trades in three separate accounts - which have the same contracts but different quantities. When I use the track all button, it states the same position IM for ALL of them (its only correct for with the account with the most contracts). Example below where the Position IM is the same for all three - when its only correct for only 21 contracts:

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Thank you in advance for your help!

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  #269 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 210 since Sep 2012
Thanks: 26 given, 226 received


Mo111 View Post
Now I'm facing two other issues with the new sheet.

Mo111,

With your first issue:
$461 per spread is the correct amount. If I remember correctly (and not get too far in the weeds), the reason for the difference in price is that when I made the XLSv3 I did not have it coded properly for the cabinet value. The XLSv4b is grabbing the cabinet value as it is defined in the PA2 file. Since you are using Total Margin the value of the options are added in to the initial margin.

For your second issue:
That is a known issue when running Track All, but I believe I have a work-around for you.
-Replace the TrackAll code in your spreadsheet with the code from the attached text file.
-For any position that you have multiple lines with the same option month and same strike, give it a unique spread number in column F, then when the code is run it will treat it separately and you should see the different results.

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Attached Files
Register to download File Type: txt TrackAll.txt (1.3 KB, 8 views)
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  #270 (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



Dudetooth View Post
Mo111,

With your first issue:
$461 per spread is the correct amount.

The Track all code worked great!! Thank you! This is going to save me lots of time!

As for the margin for that spread did you mean to say $455 is the correct amount? I got $455 with v4b and $461 with v3.

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