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PC-SPAN
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Created: by ron99 Attachments:113

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PC-SPAN

  #281 (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

First, i put '10232014' on cell G, then i went to 'Set up' tab to click 'Save Dates', then I went back to 'Scanner' tab to clink 'Download Risk', then something like this pop out 'Calculating, please wait', it takes a few seconds, then disappeared.
Next step: After enter for column A-F, I clicked 'Scan All' button, something flashed for a second on my screen but nothing happened then.


Dudetooth View Post
daydayup8,

Did you grab the XLS-SPAN from post #2? I lost track, but I know that I did get the latest patched file linked on post #2.

Did you go through the instructions on the Setup tab? Section 2 covers downloading the pa2 files. All you need to do is enter the date (YYYYMMDD format, like 20141024) in cell G1 on the Scanner tab and then click the Download Risk button. It goes out and finds the right web address and downloads the pa2 files to your C:\SPAN4\DATA folder.

Once that is done then you can scan for trades or enter positions on the Tracker tab to follow their progress from day to day. I think that the Setup tab instructions cover all of that and there should be some example positions on the Tracker tab to show you how to set them up.

I hope this helps ... if not, just let me know.


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  #282 (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

I did the whole process again and I checked the path 'C:\SPAN4\Data', I did not see any folder or data in this path.


Dudetooth View Post
All you need to do is enter the date (YYYYMMDD format, like 20141024) in cell G1 on the Scanner tab and then click the Download Risk button. It goes out and finds the right web address and downloads the pa2 files to your C:\SPAN4\DATA folder.


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  #283 (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



daydayup8 View Post
Frustrated...

I can try to troubleshoot things with you if you want. Shoot me a private message and we can go from there.

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  #284 (permalink)
Elite Member
London + Great Britain
 
Futures Experience: Master
Platform: Interactive Brokers, OptionsXpress, TradeMonster, RJO, AmiBroker, Wealthlab
Favorite Futures: Futures, Options, Equities
 
Physicsman's Avatar
 
Posts: 19 since May 2013
Thanks: 85 given, 23 received


daydayup8 View Post
First, i put '10232014' on cell G, <snip>

@daydayup8 I believe you have to put the date in the sheet exactly in the same format as the template - so it should be 20141023. @Dudetooth can correct me if I'm wrong. As far as I can see the date template is year, month, day in the format: YYYYMMDD.

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  #285 (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

sorry, I posed it wrong, but I actually typed '20141023' since Dudetooth had '20140829' there, I just modified his date.


Physicsman View Post
@daydayup8 I believe you have to put the date in the sheet exactly in the same format as the template - so it should be 20141023. @Dudetooth can correct me if I'm wrong. As far as I can see the date template is year, month, day in the format: YYYYMMDD.


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  #286 (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

There is no data in the 'C:\SPAN4\DATA' path after I put '20141023' and then click 'Download Risk'.

Attached Thumbnails
PC-SPAN-span_empty-data.png  
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  #287 (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

Thank you Dudetooth

Thank you Dudetooth for your time and help, your program is so useful and amazing! I am fascinated by it when it is just running in front of my eyes, beautiful!!

I am confident that I can make some good trades from now on:-)

Nothing can express my appreciation, wish you a blessed day!

Cheers!

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The following user says Thank You to daydayup8 for this post:
 
  #288 (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

Option model used by CME SPAN

Hi - this is a (minor) caution about using the ATM IV figures in the CME SPAN files for long term tables and charts.

Below I've attached an image that compares CME SPAN IV on nat gas with the IV from three other sources.

Good news: there is very little variation across sources once you go out three or four months.
Bad news: the SPAN model seems to understate ATM IV in the nearby months.

This is not exhaustive research by any means, but CME ATM IV is also understated in grains (I noticed the issue a couple of weeks ago) and silver and probably other products. I don't know what causes it to be off in the nearby months and spot-on in the deferredes (it's not the interest rate input).

If you want precise historical data, you will probably need to get it elsewhere. If you just want to know the general range then the SPAN data is good enough for government work.

Attached Thumbnails
PC-SPAN-option-models.png  
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  #289 (permalink)
Trading Apprentice
Atlanta
 
Futures Experience: Intermediate
Platform: think or swim
Favorite Futures: options on futures
 
Posts: 3 since Sep 2014
Thanks: 0 given, 3 received


Dudetooth View Post
A minor addition seems to be the source of the problem.


In the Functions Module delete:

'Written: October 07, 2007
'Author: Leith Ross
'Summary: Add Minimize, and Maximize/Restore buttons to a VBA UserForm

Private Const GWL_STYLE As Long = -16
Public Const MIN_BOX As Long = &H20000
Public Const MAX_BOX As Long = &H10000

Const SC_CLOSE As Long = &HF060
Const SC_MAXIMIZE As Long = &HF030
Const SC_MINIMIZE As Long = &HF020
Const SC_RESTORE As Long = &HF120

Private Declare Function GetWindowLong _
Lib "user32.dll" _
Alias "GetWindowLongA" _
(ByVal hwnd As Long, _
ByVal nIndex As Long) As Long

Private Declare Function SetWindowLong _
Lib "user32.dll" _
Alias "SetWindowLongA" _
(ByVal hwnd As Long, _
ByVal nIndex As Long, _
ByVal dwNewLong As Long) As Long

'Redraw the Icons on the Window's Title Bar
Private Declare Function DrawMenuBar _
Lib "user32.dll" _
(ByVal hwnd As Long) As Long

'Returns the Window Handle of the Window accepting input
Private Declare Function GetForegroundWindow _
Lib "user32.dll" () As Long

Public Sub AddToForm(ByVal Box_Type As Long)

Dim BitMask As Long
Dim Window_Handle As Long
Dim WindowStyle As Long
Dim Ret As Long

If Box_Type = MIN_BOX Or Box_Type = MAX_BOX Then
Window_Handle = GetForegroundWindow()

WindowStyle = GetWindowLong(Window_Handle, GWL_STYLE)
BitMask = WindowStyle Or Box_Type

Ret = SetWindowLong(Window_Handle, GWL_STYLE, BitMask)
Ret = DrawMenuBar(Window_Handle)
End If

End Sub


View the code of the Help form and delete:

Private Sub UserForm_Activate()
AddToForm MIN_BOX
End Sub





Dudetooth: I have tried several times to modify the code as suggested above on my Windows 8.1 - 64 bit laptop and continue to get the same error message. I am not sure if the 8.1 update affected the code, any suggestions? Thanks, Chris.

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  #290 (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



Textrader View Post
Dudetooth: I have tried several times to modify the code as suggested above on my Windows 8.1 - 64 bit laptop and continue to get the same error message. I am not sure if the 8.1 update affected the code, any suggestions? Thanks, Chris.

Chris,

Try this version. If you still get errors just post the details and I'll see if I can work it out for you.

Attached Files
Register to download File Type: xls XLS-SPAN (04b3) - Update.xls (587.0 KB, 58 views)
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