PC-SPAN (Page 37) - 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:41,383 / 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 January 8th, 2016, 11:36 AM   #361 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 83 since Jan 2013
Thanks: 218 given, 59 received

He margin

@Dudetooth

Hi,
I use XLS-SPAN for such position:
HEJ6 C66 -3
HEG6 C60 +3
HEG6 C61 -3
HEG6 C66 +3

and get 1752$.
But CME's PC-SPAN (and Zaner platform) shows 2439$.

Would you help?

Reply With Quote
     

Old January 8th, 2016, 08:56 PM   #362 (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


uuu1965 View Post
@Dudetooth

Hi,
I use XLS-SPAN for such position:
HEJ6 C66 -3
HEG6 C60 +3
HEG6 C61 -3
HEG6 C66 +3

and get 1752$.
But CME's PC-SPAN (and Zaner platform) shows 2439$.

Would you help?

@uuu1965,

I'll need a little more information in order to see if I can help.

What version of the spreadsheet are you using?

What day did you calculate for?

Reply With Quote
     

Old January 8th, 2016, 09:19 PM   #363 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,323 since Jul 2011
Thanks: 634 given, 3,900 received
Forum Reputation: Legendary



Dudetooth View Post
@uuu1965,

I'll need a little more information in order to see if I can help.

What version of the spreadsheet are you using?

What day did you calculate for?

He's probably in bed now but I got the same result 1752 using 1/07/16 files and using XLS-SPAN 04d. I tried using both the reduced version of the CME file and the full file. Same result.

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


Last edited by ron99; January 8th, 2016 at 09:24 PM.
Reply With Quote
     
The following user says Thank You to ron99 for this post:
     

Old January 8th, 2016, 09:42 PM   #364 (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


ron99 View Post
He's probably in bed now but I got the same result 1752 using 1/07/16 files and using XLS-SPAN 04d. I tried using both the reduced version of the CME file and the full file. Same result.


@uuu1965 & @ron99

I found the issue. For certain markets there are additional charges assessed for intra-commodity spreads. I've found that this is true for at least meats and grains ... other markets like ES do not get these additional charges.

In the spread mentioned earlier the worst risk scenario was $1593 * 1.1 = $1752 for IM as seen in the spreadsheet. My spreadsheet unfortunately does not handle the intra-commodity spread charges. In this scenario those charges were $624, so ($1593 + $624) * 1.1 = $2439.

I haven't even looked at trying to figure out how to code the intra-commodity spread charges. Sorry, but my spreadsheet won't be of much use in these markets.

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

Old January 9th, 2016, 08:22 AM   #365 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 83 since Jan 2013
Thanks: 218 given, 59 received

Futures Edge on FIO

Are you a NinjaTrader user?

 

Dudetooth View Post
@uuu1965 & @ron99

I found the issue. For certain markets there are additional charges assessed for intra-commodity spreads. I've found that this is true for at least meats and grains ... other markets like ES do not get these additional charges.

In the spread mentioned earlier the worst risk scenario was $1593 * 1.1 = $1752 for IM as seen in the spreadsheet. My spreadsheet unfortunately does not handle the intra-commodity spread charges. In this scenario those charges were $624, so ($1593 + $624) * 1.1 = $2439.

I haven't even looked at trying to figure out how to code the intra-commodity spread charges. Sorry, but my spreadsheet won't be of much use in these markets.

Lesson for me: always check the various source (and first: your broker)! Anyway your spreadsheet is excellent!
I would ask about "... the worst risk scenario...": does it mean that IM have preset values (f.e., if I have short ESH6 P 1950 and ES close at 1932 on 01/07, IM is 4236$ and if ES close at 1911 on 01/08 the same position IM is 4326$)? In others words: can I in advance to know IM of my positions at certain levels of commodity?

Reply With Quote
     

Old January 9th, 2016, 08:42 AM   #366 (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


uuu1965 View Post
Lesson for me: always check the various source (and first: your broker)! Anyway your spreadsheet is excellent!
I would ask about "... the worst risk scenario...": does it mean that IM have preset values (f.e., if I have short ESH6 P 1950 and ES close at 1932 on 01/07, IM is 4236$ and if ES close at 1911 on 01/08 the same position IM is 4326$)? In others words: can I in advance to know IM of my positions at certain levels of commodity?

When SPAN is calculated there are 16 different scenarios that they run for risk assessments that include changes in prices and/or volatility. It is a best guess according to the exchanges of how far a position can go against you in the next trading day based on the recent past price action.

Check out CME's SPAN Methodology for more detail http://www.cmegroup.com/clearing/files/span-methodology.pdf

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

Old March 2nd, 2016, 12:11 AM   #367 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,323 since Jul 2011
Thanks: 634 given, 3,900 received
Forum Reputation: Legendary

Looks like no more ICE (nyb) array files as of March 1st. @Dudetooth, any ideas?

https://www.theice.com/publicdocs/clear_us/notices/16-005_Legacy_SPAN_File_to_be_Eliminated_Feb_29.pdf

Location of new files

https://www.theice.com/clear-us/risk-management

I'm assuming the SP6 files can't be used like we used the PA2 files.

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

Old March 2nd, 2016, 07:40 AM   #368 (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


ron99 View Post
Looks like no more ICE (nyb) array files as of March 1st. @Dudetooth, any ideas?

https://www.theice.com/publicdocs/clear_us/notices/16-005_Legacy_SPAN_File_to_be_Eliminated_Feb_29.pdf

Location of new files

https://www.theice.com/clear-us/risk-management

I'm assuming the SP6 files can't be used like we used the PA2 files.

That is correct ... the files types are quite different. I did take a look at cracking the SP6 files last year when they first started mentioning the switch. I'll see what I can do.

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

Old March 17th, 2016, 03:41 PM   #369 (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

ICE's New SPAN Files

If anyone is still interested in an XLS-SPAN fix for ICE's new SP6 format, I have some good news and some bad news.

Good news: I think I have a solution. ICE publishes the SPAN files as SP6 and CSV files. The CSV files are a lot easier to extract data from, but there are some down sides. For example, they no longer give an expiration date, so one has to be calculated in order to get DTE.

Bad news: Over the last year I have been working with a new spreadsheet and rewrote almost all of the main code addressing issues like calculating IM for portfolios/multi-legged spreads and futures. I worked through my solution for ICE's new risk files on the new spreadsheet. I looked, but it would be extremely difficult to rework the solution into the existing XLS-SPAN because the processes and layout are so different. I'm not sure I can commit the time and effort required into reinventing the wheel, especially when I've already reinvented it (so to speak).

More bad news: The new spreadsheet was a cooperative project with another individual. He is not inclined to share the spreadsheet publically.

Possible solution: I am willing to share the code I worked on (main calculations and functions). If there is interest, I can see about pulling out my portions of the code and put them in a bare-bones spreadsheet.

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

Old March 17th, 2016, 04:06 PM   #370 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,323 since Jul 2011
Thanks: 634 given, 3,900 received
Forum Reputation: Legendary


With ICE starting to charge too much for real time data ($110/month) on April 1st, I am inclined to tell you not to do the work to make this available to us because I suspect not many will be trading ICE products after April 1st.

I might be but not right away.

Are any other posters going to be trading ICE products after April 1st?

Thank you for all you have done so far Dudetooth! I use your spreadsheet every day.

Reply With Quote
     

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)
 

NinjaTrader 8: Features and Enhancements, Tips and Tricks

Dec 6
 

Al Brooks: Stop Losing when a Good Trade goes Bad, Correcting Mistakes

Elite only
 

Trading Technologies: Algo Design Lab hands-on

Dec 13
     

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 10:20 PM.

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 2016-12-02 in 0.15 seconds with 20 queries on phoenix via your IP 54.197.75.176