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 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 05:43 PM.
Reason: added links
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.
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.
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.
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