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PC-SPAN
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Created: by ron99 Attachments:113

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PC-SPAN

  #371 (permalink)
Market Wizard
Linz Austria
 
Futures Experience: Advanced
Platform: Zaner360, TWS, Vantage
Broker/Data: DeCarley, IAB, RJO
Favorite Futures: Commodities
 
Posts: 1,074 since Nov 2014
Thanks: 1,430 given, 1,268 received
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ron99 View Post
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.

Yes, I intend to sell options traded at ICE (currently KC, CT) after April 1st. For trade decisions, 15 minutes delayed charts are good enough. To enter the trade, brokers can assist.

Best regards, Myrrdin

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  #372 (permalink)
Trading for Fun
St Paul, MN, USA
 
Futures Experience: Advanced
Platform: Abacus
Broker/Data: RJO, Interactive Brokers
Favorite Futures: Commodity Futures & Options
 
Posts: 196 since Jan 2014
Thanks: 117 given, 191 received


Dudetooth View Post
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.

Fact of life for for-profit exchanges: data has become a large, predictable source of revenue and the margins are probably better than software or drugs. It's obviously not in their interest to give too much away in an easy-to-access time series.

I will continue to trade the tropical softs because they provide diversification, and except for currency relationships, are mostly immune to what's going on in the United States.

If you decide on the 'bare bones' path, I'd definitely try it. If anyone has ever purchased strike-by-strike options data (not just ATM IV or constant maturity ATM), it's expensive, and I really like seeing the margin by contract, not just a sum by product, which is what most brokerages provide.

Whatever you decide, THANK YOU again, for all of the hard work on the original (and updated) program. It's a gem!

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  #373 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,051 since Dec 2013
Thanks: 1,702 given, 3,228 received
Forum Reputation: Legendary


There's always ICE's own trading platform WebICE. I'm not sure what the exact rules on it are, I know it's actually more expensive that what you are complaining about here, but, and thats a big but, I'm pretty sure commissions on trades done count towards the fee. Hence if you do enough business it ends up being free.

https://www.theice.com/technology/ice-trading-platform
https://www.theice.com/technology/internet-connection

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  #374 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,709 since Jul 2011
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SMCJB View Post
There's always ICE's own trading platform WebICE. I'm not sure what the exact rules on it are, I know it's actually more expensive that what you are complaining about here, but, and thats a big but, I'm pretty sure commissions on trades done count towards the fee. Hence if you do enough business it ends up being free.

https://www.theice.com/technology/ice-trading-platform
https://www.theice.com/technology/internet-connection

Are you sure about that? According to this
https://www.theice.com/publicdocs/data/Market_Data_Subscriber_Fees.pdf

I don't see anywhere stating commissions come off of fees.


Last edited by ron99; March 26th, 2016 at 10:13 PM. Reason: restating post
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  #375 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,051 since Dec 2013
Thanks: 1,702 given, 3,228 received
Forum Reputation: Legendary


ron99 View Post
Are you sure about that? According to this
https://www.theice.com/publicdocs/data/Market_Data_Subscriber_Fees.pdf

I don't see anywhere stating commissions come off of fees.

Your right @ron99 I apologize. All the ICE US (old NYBOT) products and the ICE Europe (old IPE & LIFFE) products are all in the montly date fee category. I don't trade any of these products but I do trade ICE's US Natural Gas products which are all S2F and do qualify for the offset. Strange they have to completely different setups!

WEBICE AND ICE FIX FEES – ICE FUTURES (NON SWAP TO FUTURES)
ICE Futures user accesses, both WebICE or ICE FIX, including Users, SuperUsers, Risk Managers and View Onlys, will be charged a monthly market data exchange fee per exchange group access, per month.

WEBICE AND ICE FIX FEES – SWAP TO FUTURES (S2F)
ICE S2F user accesses, both WebICE and ICE FIX, including Users, SuperUsers, Risk Managers and View Onlys, will be charged a monthly minimum commission fee, per exchange group access, per month.

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  #376 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

XLS-SPAN (05 beta)

Here is XLS-SPAN (05 beta) … the bare-bones version I had mentioned earlier. The majority of the code has been reworked and in my opinion has better performance than the previous code.

A few notes:
-This was created to work with Excel 2007+ in the newer Excel format (.xlsm), but I had to rename it to an .xls file in order to upload it. It appears that it may still work correctly like this, but you may get an error about a corrupt file. I'd recommend renaming the file back to an .xlsm.

-In this spreadsheet I dropped all of the macro buttons and put the shortcuts in a custom ribbon. You should be able to see the XLS-SPAN tab in Excel 2007 and newer. For older versions, subs with “control As IRibbonControl” are the ones being executed from the custom ribbon shortcuts. You could turn them into normal subs and assign them to a button like in the previous version … e.g. change “Sub trackAllNow(control As IRibbonControl)” to “Sub trackAllNow()” and have a button assigned to it.

-Shortcuts in the Scan section of the ribbon are for use only on the Scan tab. Likewise, shortcuts in the Track section of the ribbon are for use only on the Track tab. The shortcuts in the Data, Adjust Date and Historic sections can be run on either the Scan or Track. The same is true for the shortcuts in the Edit section, but the erase function also works on the Hist_Data tab.

-This spreadsheet does not look pretty ... I just tried to keep the color coding similar to previous version. Green cells are the ones designed for user input. Blue cells are headers that are taken from a list. The code is looking for those exact names so you can’t customize the header names, but you can rearrange them in just about any order.

-On the Scan tab the first five column headers are your scan criteria. The only headers you should use here are the first 9 (Product through Max Prob). For the rest of the Scan tab and on the Track tab you can use any of the remaining 64 headers (Net through Spread cVega). Headers beginning with Entry, Position and Spread are used just on the Track tab. See Parameters tab for descriptions.

-Preference/settings items that used to be in the Setup tab are now in the Parameters tab.

-You can download CME risk files back to the beginning of 2013 and NYB risk files back to 20091008. In the Parameters tab you can select when you want to have your NYB files transition from PA2 to CSV in your archives. The soonest you can select is 20150821, latest 20160301. Leave NYB PA2 or CSV as CSV … it will try to open the CSV first and if it cannot find it the code will look for the PA2. That way you’ll still be able to look at older risk files with this selected.

-You also now have the ability to keep your risk files zipped and only unzip them when needed. Select Zip for the Saved Risk Data parameter. You can leave the file unzipped after you use it to speed things up a bit the next time you use it or have the code delete the unzipped file after use so you maintain only the zipped risk files in your archive. Use the Unzipped Risk parameter for this option.

-Ron’s CME reduction is also available for use.

-The date in cell A1 on the Scan and Track tabs is the primary for downloading one day’s risk files and running a scan or track for a single day. The date in cell D1 is used when downloading multiple days of risk files or running historical scans or tracks. If you only want to download risk files for one day make sure that D1 is empty or the same as A1, otherwise it treats it as a multiple download. When downloading multiple risk files you can do a year or so at a time and it will skip weekends and files that you already have downloaded.

-The Adjust Date shortcuts will work on the date in A1 regardless of what cell is selected with the exception of D1. If you have D1 selected then the Adjust Dates will change that date.

-Futures have limited tracking capabilities now. It can calculate the margin when in a spread with options, but the P/L tracking doesn’t seem to work correctly. Also, any number of positions can be put in the same spread for tracking complex spreads or looking at positions as a portfolio. The code can still not handle inter-commodity spreads and it does not calculate intra-commodity additional charges (products like LN have charges if the option expiration months in a spread belong to different tiers).

As always, there may be issues with the code. Just let me know and I'll try to fix it.

Enjoy.

Attached Files
Register to download File Type: xls XLS-SPAN (05 beta).xls (418.0 KB, 59 views)
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  #377 (permalink)
Trading Apprentice
Seoul Korea
 
Futures Experience: Beginner
Platform: None
Favorite Futures: None
 
Posts: 4 since Apr 2016
Thanks: 7 given, 6 received

First time poster.

@Dudetooth Incredible work. @ron99 Mad respect.

I was curious if anyone has been able to get their hands on the "SPAN for ICE Array File Formats" for the new CSV format.
I can't post the link because I'm first-timer but it is the same link as the fourth link on post #246. On that page, the link to the "SPAN for ICE Array File Formats" is in the last paragraph under Download SPAN files: Energy.

When I click on the link it takes me to the ICE Community to login. I tried to sign up to become a member but I was denied. No explanation offered. No administrator email address to contact. Not sure what the deal is there.

So if anyone is a member or if anyone got ahold of them, please share.

Mahalo.

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  #378 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,051 since Dec 2013
Thanks: 1,702 given, 3,228 received
Forum Reputation: Legendary


woodward View Post
First time poster.

@Dudetooth Incredible work. @ron99 Mad respect.

I was curious if anyone has been able to get their hands on the "SPAN for ICE Array File Formats" for the new CSV format.
I can't post the link because I'm first-timer but it is the same link as the fourth link on post #246. On that page, the link to the "SPAN for ICE Array File Formats" is in the last paragraph under Download SPAN files: Energy.

When I click on the link it takes me to the ICE Community to login. I tried to sign up to become a member but I was denied. No explanation offered. No administrator email address to contact. Not sure what the deal is there.

So if anyone is a member or if anyone got ahold of them, please share.

Mahalo.

I have access to ICE Community and can tell you that when you request this document they tell you that it is unavailable. I have been an ICE User since 2000, when they initially launched (click for some ICE history), back when it was the Enron Online alternative, before they bought the IPE and obviously before they bought the NYSE. I say this not to show off but to say I know a lot of people at ICE. I have tried to obtain a copy of this document from every source that I could use. The response is unanimous. The document is intended for FCMs only. I have also tried to get this document from my FCM and they won't give it to me either.

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  #379 (permalink)
Trading Apprentice
Seoul Korea
 
Futures Experience: Beginner
Platform: None
Favorite Futures: None
 
Posts: 4 since Apr 2016
Thanks: 7 given, 6 received

In that case, @Dudetooth or anyone else, if you have any quick and ready insights into the mysterious format that you'd be willing to share, it would be appreciated. I can always comb through your code but having the CME file formats on hand made everything so snappy.

Just out of curiosity, this thread goes back a while, after ICE raised its rates, @ron99 was skeptical in post #370 about anyone continuing to trade their instruments. How is that playing out?

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  #380 (permalink)
Market Wizard
Houston, TX
 
Futures Experience: Advanced
Platform: XTrader
Broker/Data: Advantage Futures
Favorite Futures: Energy
 
Posts: 2,051 since Dec 2013
Thanks: 1,702 given, 3,228 received
Forum Reputation: Legendary



woodward View Post
In that case, @Dudetooth or anyone else, if you have any quick and ready insights into the mysterious format that you'd be willing to share, it would be appreciated. I can always comb through your code but having the CME file formats on hand made everything so snappy.

Assume you saw post #369?


woodward View Post
Just out of curiosity, this thread goes back a while, after ICE raised its rates, @ron99 was skeptical in post #370 about anyone continuing to trade their instruments. How is that playing out?

CME charge professionals $85 per exchange so if your a professional $110 isn't that different, so it really only effects retail. For what its worth the Russel 2000 futures contract moves from ICE to CME next year.

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