PC-SPAN (Page 36) - Options on Futures | futures.io
futures.io futures trading
 

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Traders Hideout > Options on Futures


PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,586 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike
     

Reply
 100  
 
Thread Tools Search this Thread

PC-SPAN

Old October 2nd, 2015, 12:10 PM   #351 (permalink)
Trading Apprentice
St. Petersburg FL
 
Futures Experience: Advanced
Platform: custom
Favorite Futures: options
 
Posts: 1 since Mar 2015
Thanks: 1 given, 0 received

Intraday SPAN files?

Anyone know where the CME documents the release times for the various intraday Span files or the differences between the files other than time-of-day?

I need use the most current file and thought a specific version was released only once per day. But now I notice that today's *.a.pa2 file was updated at least once this morning after I downloaded it earlier so I'm no longer using the current version of *.a.pa2.

Also, *.BE.pa2 files started showing up recently. Anyone know what those are?

Reply With Quote
     

Old October 2nd, 2015, 12:37 PM   #352 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,329 since Jul 2011
Thanks: 634 given, 3,909 received


mdavis View Post
Anyone know where the CME documents the release times for the various intraday Span files or the differences between the files other than time-of-day?

I need use the most current file and thought a specific version was released only once per day. But now I notice that today's *.a.pa2 file was updated at least once this morning after I downloaded it earlier so I'm no longer using the current version of *.a.pa2.

Also, *.BE.pa2 files started showing up recently. Anyone know what those are?

I don't think the CME keeps to a strict schedule as far as time.

Here is their description of the files.

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


http://www.cmegroup.com/clearing/files/Loading_a_Risk_Array_File.pdf

Reply With Quote
     
The following user says Thank You to ron99 for this post:
     

Old October 22nd, 2015, 04:46 PM   #353 (permalink)
Trading Apprentice
Hamburg, Germany
 
Futures Experience: Intermediate
Platform: IB
Favorite Futures: ES
 
Posts: 5 since May 2014
Thanks: 7 given, 0 received


Is the format documented somewhere?

Let's look at the E-Mini January 2016 1575 Put (data files are from October 16th):

81CMEEW ES OOFP201603 201601 000157500414-00234+00306-00248+00541-00213+00213-00258+00689-00000000000570N

82CMEEW ES OOFP201603 201601 000157500184+00134-00265+00859-00143+00084+00508-00422-002802650000570++00426-C

How can I calculate the IM out of this?


PS: I'm using a Mac, unfortunately the Excel file is not working with "Excel for Mac".

Reply With Quote
     

Old October 22nd, 2015, 06:35 PM   #354 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 received


uwevoelker View Post
Is the format documented somewhere?

@uwevoelker

CME describes the information that is in record type within the pa2 file (what you posted was the Type 81 and Type 82 records):
http://www.cmegroup.com/confluence/display/pubspan/Risk+Parameter+File+Layouts+for+the+Positional+Formats

And they have a brief description of the methodology, but it's a little bare:
http://www.cmegroup.com/clearing/span-methodology.html

I can break it down for you in a little more detail, but unfortunately it's not as simple as finding the two lines for an option. You'll need several more lines from the pa2 file to be able to calculate the initial margin.

Are you looking to code this on a Mac?


Last edited by Dudetooth; October 22nd, 2015 at 06:43 PM. Reason: added links
Reply With Quote
     

Old October 23rd, 2015, 02:45 AM   #355 (permalink)
Trading Apprentice
Hamburg, Germany
 
Futures Experience: Intermediate
Platform: IB
Favorite Futures: ES
 
Posts: 5 since May 2014
Thanks: 7 given, 0 received

Futures Edge on FIO
Thanks @Dudetooth, I will have a look into the documentation.

If you don't mind, I would appreciate if you could break it down in a little more detail, perhaps with an example.

Yes, I'm looking into coding this. Depending on complexity maybe not all parts, but I consider correct IM for simple short options as the minimum. I'm coding in Go, so the code will not be Mac specific. Ideally I would like to offer a web service, so that also others can us it. But I assume CME does not allow this. Open sourcing the library code would be another option.

Reply With Quote
     

Old October 23rd, 2015, 03:05 PM   #356 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 received


uwevoelker View Post
I would appreciate if you could break it down in a little more detail, perhaps with an example.

@uwevoelker

I added a simplistic explanation of the SPAN process as a PDF (I don't think I would have been able to figure out how to format it properly as a normal post). Let me know if you have any questions.


uwevoelker View Post
Ideally I would like to offer a web service, so that also others can us it. But I assume CME does not allow this. Open sourcing the library code would be another option.

If you haven't already seen CME's Quickstrike, you may want to check out if you want a web-based method for calculating margin.

Hope this helps.

Attached Thumbnails
PC-SPAN-span-process.pdf  
Reply With Quote
     
The following 5 users say Thank You to Dudetooth for this post:
     

Old October 25th, 2015, 03:09 PM   #357 (permalink)
Trading Apprentice
Singapore
 
Futures Experience: None
Platform: IRESS
Favorite Futures: Emini
 
Posts: 1 since Oct 2015
Thanks: 3 given, 0 received

Hello Dudetooth,

I came across your SPAN process document and that was a great help for me!

I am having issue with the Type 3 "Combined Commodity Code". It looks like the exchange and product code are joint together? However, when I am trying to find the ES S&P Emini in the file, I can't seem to find the logic behind and was not sure which line should be correct.

If there is any information on website etc that I can refer to, please share with me as I have many exchanges to handle.

Thank you very much!


Dudetooth View Post
enderqa,

Here's my attempt to break down the SPAN process. Hope it helps.

***Edit: A few minor edits ... I guess I should have read through the CME material a little more closely before I posted this. I think I have everything correct now.


Reply With Quote
     

Old October 25th, 2015, 04:34 PM   #358 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 received


yihanxu View Post
Hello Dudetooth,

I came across your SPAN process document and that was a great help for me!

I am having issue with the Type 3 "Combined Commodity Code". It looks like the exchange and product code are joint together? However, when I am trying to find the ES S&P Emini in the file, I can't seem to find the logic behind and was not sure which line should be correct.

If there is any information on website etc that I can refer to, please share with me as I have many exchanges to handle.

Thank you very much!

CME's website has some info on the process (I think ICE has a better description of the process), but not a lot of details about the actual codes used within the pa2 file.

For ES this is what the beginning of the line will look like for the following Record Types:
Type P: "P CMEES OOF"
Type 3: "3 SP 1001"
Type 4: "4 SP "
Type B: "B CMEES "
Type 8 for the futures contract: "82CMEES ES FUT"
Type 8 for the option contract: "82CMEES ES OOF"

***Note: the number of spaces does not show up properly in the post, for example between the "3" and "SP" there is 1 space, between the "SP" and "1001" there are 4 spaces.

If you are looking at several exchanges you will need to find the appropriate product codes for all the commodities you are looking to track.

Reply With Quote
     
The following user says Thank You to Dudetooth for this post:
     

Old October 25th, 2015, 04:40 PM   #359 (permalink)
Trading Apprentice
Hamburg, Germany
 
Futures Experience: Intermediate
Platform: IB
Favorite Futures: ES
 
Posts: 5 since May 2014
Thanks: 7 given, 0 received

I noticed the same (ES missing). Apparently you have to use SP. Is this somewhere encoded in the data?

Reply With Quote
     

Old October 25th, 2015, 05:24 PM   #360 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 received



uwevoelker View Post
I noticed the same (ES missing). Apparently you have to use SP. Is this somewhere encoded in the data?

It looks like the Type 2 Record in the pa2 lists family of products, though I have never actually broke this record down before.
http://www.cmegroup.com/confluence/display/pubspan/Type+2+-+Expanded

There is an order to the records, so the Type 1 that is the exchange will show up first, then multiple Type 2s under that Type 1 for every family of products within that exchange.

Here's SP's Type 2 Records:
"2 CME SP 0USD$PN SP FUT SP OOF YP OOF EV OOF XP OOF YP1 OOF"
"2 CME SP 0USD$PN EV1 OOF EV2 OOF EV4 OOF EV5 OOF ES FUT ES OOF"
"2 CME SP 0USD$PN 7S OOF EW OOF EW1 OOF EW2 OOF EW4 OOF EW5 OOF"

"ES FUT" for the ES futures contracts, "ES OOF" for the ES option contracts.

Type 3 & type 4 Records relate to the family of products, hence "3 SP" rather than "3 ES". You still will need to know the product codes within the family of products to track down the options.

I suppose it could be programmed to extract the data, but it doesn't look that easy.

Reply With Quote
     
The following 2 users say Thank You to Dudetooth for this post:
     

Reply



futures.io > Futures Trading, News, Charts and Platforms > Traders Hideout > Options on Futures > PC-SPAN

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

Trading Technologies: ADL hands-on

Dec 13

Normal webinar schedule resumes after the holidays

January

Ernie Chan: Risk Management

Elite only

Dedicated Trading Servers: Advantages/Disadvantages w/sam028

Elite only

An Afternoon with FIO member Massive I

Elite only

Leo Murphy: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Current PC Specs tderrick Tech Support 45 October 28th, 2012 04:40 PM
Any PC Gamers in here? forrestang Off-Topic 61 October 10th, 2012 03:37 PM
Virtual PC setup how? boze man Tech Support 5 September 8th, 2012 04:59 PM
I need PC help Boomer34 Tech Support 5 January 22nd, 2012 03:28 PM
PC Question NMTrader Off-Topic 0 July 12th, 2009 11:56 PM


All times are GMT -4. The time now is 12:59 AM.

Copyright © 2016 by futures.io. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
 
no new posts
Page generated 2016-12-09 in 0.15 seconds with 20 queries on phoenix via your IP 54.197.90.95