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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,386 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old April 30th, 2015, 08:11 PM   #301 (permalink)
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Cdanitius View Post
I had played around with what you had mentioned, but I didn't make much progress.
Instead, I had customized a spreadsheet ...

Cdanitius,

Sorry that you couldn't get the code to work for you, but glad to hear you have a method that works for you.

Best of luck!

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Old May 7th, 2015, 12:51 PM   #302 (permalink)
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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 clearing.riskmanagement@cmegroup.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.
http://www.cmegroup.com/tools-information/lookups/advisories/clearing/Chadv15-123.html?source=rss#pageNumber=1

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Old June 9th, 2015, 01:37 PM   #303 (permalink)
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Download Historic Data


I need help.

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.

Attached Thumbnails
PC-SPAN-historic-data.png  
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Old June 9th, 2015, 01:45 PM   #304 (permalink)
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The 2014 data was archived to a different folder than 2015 data.

You need to go here ftp://ftp.cmegroup.com/pub/span/data/cme/ and go the 2014 folder to get what you need and put them in your C:\Span4\Data folder (unzipped)

You want the ones with the "s" in them. For example
cme.20140919.s.pa2.zip

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Old June 9th, 2015, 01:55 PM   #305 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 
Thank you RON, I will try to see what I can get.
I am trying to do the research like you. Thanks again.

Edit: Mission accomplished, thanks to Dudetooth and Ron!


ron99 View Post
The 2014 data was archived to a different folder than 2015 data.

You need to go here ftp://ftp.cmegroup.com/pub/span/data/cme/ and go the 2014 folder to get what you need and put them in your C:\Span4\Data folder (unzipped)

You want the ones with the "s" in them. For example
cme.20140919.s.pa2.zip



Last edited by daydayup8; June 9th, 2015 at 02:55 PM.
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Old June 24th, 2015, 09:35 PM   #306 (permalink)
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FYI, I think there is an error in the ICE (NYBOT) file for today, June 24 p.m.

I went to the CME's FTP site to download it directly and it's about half its normal size.

Using the 'direct' method or the file that Dudetooth's application downloads, I didn't have any luck getting NYBOT softs to update.

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Old June 24th, 2015, 10:03 PM   #307 (permalink)
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CafeGrande View Post
FYI, I think there is an error in the ICE (NYBOT) file for today, June 24 p.m.

I went to the CME's FTP site to download it directly and it's about half its normal size.

Using the 'direct' method or the file that Dudetooth's application downloads, I didn't have any luck getting NYBOT softs to update.

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.

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Old June 24th, 2015, 10:06 PM   #308 (permalink)
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Dudetooth View 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.

Ah! Those darn Type 81 records. I should have known.

Thanks for the quick response!

ETA: I'm pretty sure they fixed it already (there's a 7:49 pm CT update). They must be watching us.


Last edited by CafeGrande; June 24th, 2015 at 10:11 PM.
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Old June 24th, 2015, 10:12 PM   #309 (permalink)
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I just downloaded the nyb file just now and it appears to be OK. The unzipped file size is 648 KB. The file size for yesterday is 647 KB. The zipped file is 104 KB. Yesterday it was 104 KB.

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Last edited by ron99; June 24th, 2015 at 10:21 PM.
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Old July 21st, 2015, 02:48 PM   #310 (permalink)
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https://www.theice.com/publicdocs/clear_us/notices/15-059_Production_Parallel_of_ICE_SPAN.pdf

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
products.

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.

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