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PC-SPAN
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Created: by ron99 Attachments:113

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PC-SPAN

  #391 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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@Jerard asked me to post my version of XLS-SPAN that works with the EW3 symbol. Here it is.

Attached Files
Register to download File Type: xls XLS-SPAN (04d)Ron2.xls (910.0 KB, 24 views)
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  #392 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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@Dudetooth CME Reducer doesn't seem to be working for me in XLS-SPAN (05 beta).

I get cme.20160818.s.pa2 full sized but no reduced size or copy of the original.

Here are my parameters
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I see the Sub Reduce_CME_File_Size but I don't see where it is called anywhere. I did a Find for B9, the parameter cell for Reduce CME, and the result was, Search text is not found.

Also ICE symbols don't work at all if I don't have the zipped files in the Data folder. Is that a requirement?

How do you enter a future contract to be used in a spread?

Thanks


Last edited by ron99; August 19th, 2016 at 05:08 PM.
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  #393 (permalink)
Elite Member
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@ron99

Sorry, it wasn't just you. I forgot to add the line of code calling the CME Reducer after downloading the pa2 files (I've never used it myself, so I never caught it). That is fixed in the attached version.

I also forgot to add the needed line that renamed the NYB CSV file if you are working with only unzipped files. That line of code was in the main calculation, but not in the download. If not renamed then the code cannot find the CSV, hence the reason why it only worked when the zipped file was present. That is also fixed.

For entering a futures contract in a spread, look at the example on the Track tab. In the C/P column you would enter F and put nothing in the Strike column. Highlight all of the positions in your spread and track as a spread and you should be good to go.

Let me know if there is anything else.

(Attachment removed, replaced by spreadsheet in my next post)


Last edited by Dudetooth; August 20th, 2016 at 05:40 PM.
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  #394 (permalink)
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ron99 View Post
I think that the cell reference rows are incorrect for the Mini S&P products in Reduce_CME_File_Size Sub. They should be D13, D14, D15.

Thanks ... Fixed.

Attached Files
Register to download File Type: xls XLS-SPAN (05 beta).xls (374.3 KB, 19 views)
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  #395 (permalink)
Market Wizard
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Dudetooth View Post
Thanks ... Fixed.

I didn't understand why the Reduce_CME_File_Size sub was coming up with a different file size than the sub I was using with XLS-SPAN version 04. I also then found that CME's PC_SPAN wouldn't use the XLS-SPAN version 05's reduced file.

I found the problem. A single digit was off. If Left(curLine, 7) should be If Left(curLine, 9)

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You should also add that an (F) is used for a future contract on Track in cell Parameters!K16.


Last edited by ron99; August 21st, 2016 at 02:35 PM.
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  #396 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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@Dudetooth I tried downloading multiple days of files and the CME reducer did not work on them. It does work if I only download one day of data.

Also when I tried to download 20130102 thru 20130111, the nyb files were about 10,000 kb instead of the expected 600 kb. The rest of Jan files were the expected size.

When I run Scan on KC for 20130102 I get options but the C/P column is blank??? It does that for all pa2 nyb files. The CSV files are OK for that.

Scan works for all ICE commodities on all dates. Track doesn't work for me for any ICE products on any dates. pa2 files or CSV files. Either one day or H-Track.

When you make these changes to the macros could you tell us which subs you changed. I have made several modifications to your spreadsheet and it would be easier for me to copy and paste the changed sub in the macros than redo all of my modifications.

As always, thank you very much for your help.

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  #397 (permalink)
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@ron99,

This is kind of a good news / bad news kind of reply. Good news is that most of the issues you noticed don't appear to be broke:

ron99 View Post
I tried downloading multiple days of files and the CME reducer did not work on them. It does work if I only download one day of data.

This feature worked during my test with multiple days of download.

ron99 View Post
Also when I tried to download 20130102 thru 20130111, the nyb files were about 10,000 kb instead of the expected 600 kb. The rest of Jan files were the expected size.

NYB changed the amount of data they were reporting. Risk files from 2009 up through the beginning of 2013 ranged in size from 1-2mb. They were reporting more option contracts and had nearly 100k lines of data. After 20130111 they reduced the number of option contracts reported which cut the lines of data down to about 7k.

ron99 View Post
When I run Scan on KC for 20130102 I get options but the C/P column is blank??? It does that for all pa2 nyb files. The CSV files are OK for that.

On my test the C/P filled in (see scan tab on attached).


ron99 View Post
Scan works for all ICE commodities on all dates. Track doesn't work for me for any ICE products on any dates. pa2 files or CSV files. Either one day or H-Track.

I'm not sure if you were using "Zip" or "Unzip" feature on Parameters!B5. I did find that the code would show a missing pa2/csv if Unzip was selected but there was no actual unzipped file present. I changed the code so if the pa2/cvs is missing it will look to see if the zip is present. If it is, then it will unzip and continue. That was the only issue that I came across when trying to track or H-Track.

ron99 View Post
When you make these changes to the macros could you tell us which subs you changed. I have made several modifications to your spreadsheet and it would be easier for me to copy and paste the changed sub in the macros than redo all of my modifications.

Here's the bad news ... any spreadsheet prior to XLS-SPAN (05 beta) is working on an entirely different base code. There was a very substantial rewrite with XLS-SPAN (05 beta), most notably the use of a Class Module. Code used in prior XLS-SPAN versions may or may not work in version 05+, however you cannot take the main code from version 05 and use it to retrofit an older version.

I'm sorry to say this, but if you wish to use version 05+ (current version is 05a) you'll have to redo your modifications. I understand the pain that will be, but the new base code was the only way I could get the current functionality.

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Register to download File Type: xls XLS-SPAN (05a).xls (867.0 KB, 7 views)
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  #398 (permalink)
Market Wizard
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Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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@Dudetooth I am using version 05a.

When I open XLS-SPAN in your last post I don't see your ribbon so I can't run anything.

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  #399 (permalink)
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ron99 View Post
@Dudetooth I am using version 05a.

When I open XLS-SPAN in your last post I don't see your ribbon so I can't run anything.

@ron99 ... sorry about that. I created the original file as .xlsm (Excel 2007+) and then saved it in the older format to post it. I never noticed that the 97/2003 format removed the ribbon.

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Register to download File Type: zip XLS-SPAN (05a).zip (264.7 KB, 78 views)
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  #400 (permalink)
Market Wizard
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Futures Experience: Advanced
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Favorite Futures: Options on Futures
 
Posts: 2,651 since Jul 2011
Thanks: 770 given, 4,581 received
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I was able to copy my sheets into the updated version of XLS-SPAN and everything works OK.

Thanks! @Dudetooth

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