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PC-SPAN
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Created: by ron99 Attachments:111

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PC-SPAN

  #361 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 93 since Jan 2013
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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?

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  #362 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 210 since Sep 2012
Thanks: 26 given, 226 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?

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  #363 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 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.

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Last edited by ron99; January 8th, 2016 at 08:24 PM.
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  #364 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 210 since Sep 2012
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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.

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  #365 (permalink)
Trading for Fun
Riga Latvia
 
Futures Experience: Intermediate
Platform: Zaner 360
Favorite Futures: commodyties
 
Posts: 93 since Jan 2013
Thanks: 279 given, 69 received


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?

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  #366 (permalink)
Elite Member
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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

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  #367 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
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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.

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  #368 (permalink)
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Futures Experience: Intermediate
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Favorite Futures: Options on Futures
 
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Thanks: 26 given, 226 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.

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  #369 (permalink)
Elite Member
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Futures Experience: Intermediate
Platform: OX, OEC, RJO
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Posts: 210 since Sep 2012
Thanks: 26 given, 226 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.

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  #370 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,616 since Jul 2011
Thanks: 756 given, 4,492 received
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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.

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