TO: CME Span Subscribers
ADVISORY No.: 15-123
FROM: CME Clearing
SUBJECT: PC-SPAN Version 4.5 Build 585A
DATE: Wednesday, May 6th, 2015
Please be advised that on Monday May 4th, 2015 CME Clearing released a new build of PC-SPANŽ, Version 4.5 Build 585A, in the New Release environment. The Production release is currently scheduled for Friday May8th, 2015. This build includes support for the ICE PA6 file and minor CCE Natural Gas delivery charge code fixes. It will be available for download through CME Core on Monday May 11, 2015. Access to CME CORE requires a CME SMART CLICK ID. New users can register here: https://login.cmegroup.com/sso/register/. This build upgrade is not mandatory as current products will not be affected. However, it is advisable that customers upgrade in order to run the ICE PA6 file for margin purposes. Please contact the CME Clearing Risk Hotline at 312-648-3888 or email@example.com if you have questions relating to this functionality. For any issues accessing the CORE website, please contact the CORE team at CME.CORE@cmegroup.com.
Could anyone help me why I can't download the data from last year?
I am working on the "Scanner" tab, and I put "20140919" on the G1 and press "Download Risk", nothing happened. I know I could download the data last year, why it can't be downloaded this year? My plan is to download the data from 20140919 to 20141015 (when ES drop about 180 points) to analyze the potential risks for some positions.
PS: I started to use DudeTooth's great SPAN tool (EXCEL version) last December.
The image is attached here.
Thanks for your help.
The following user says Thank You to daydayup8 for this post:
It appears as though the pa2 file is missing the Type 81 and 82 records for option contracts. All the other data appears to be there. Hopefully they'll re-post a correct file before too long.
In the mean time you could download the nyb.20150624.x.pa2.zip file and rename it. The risk arrays appear to be the same as the s.pa2 and from my understanding of ICE's memo, the only difference should be in the inter-exchange spread records, which would have no affect for our purposes.
The following 2 users say Thank You to Dudetooth for this post:
On August 20, 2015, ICE Clear US (ICUS) will implement a major
system release (Version 7.9) that impacts its margining
methodology. The format of the ICUS array files will change to
match the SP6 format currently produced for ICE Clear Europe
Beginning Monday, July 27, 2015 a production parallel of the
new SPAN arrays will be conducted. Each day the GCM files
used to calculate clearing member margin requirements in
production will be used to calculate margins using the SP6
formatted array files from ICE SPAN.
The following 2 users say Thank You to SMCJB for this post: