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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,431 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old October 16th, 2016, 04:27 PM   #401 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
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Because of the CME's screwy idea of putting the files for December 31st in the following year's folder for 2014 & 2015 (2013 is OK), XLS-SPAN will not download those files.

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Old October 16th, 2016, 06:55 PM   #402 (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
Because of the CME's screwy idea of putting the files for December 31st in the following year's folder for 2014 & 2015 (2013 is OK), XLS-SPAN will not download those files.

Try this:

Go into the Download module and find the Sub downloadRiskFile(targetDate)
Look down until you see the section 'download risk inside that sub

Replace:
Else:
If SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & namecme, path & "\" & namecme) = True Or _
SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & Left(dateit, 4) & "/" & namecme, path & "\" & namecme) = True Or _
SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & Left(dateit, 4) & "/" & Left(dateit, 6) & "/" & namecme, path & "\" & namecme) = True Then


with:
Else:
Dim dateyear As Double
dateyear = Left(dateit, 4)
If SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & namecme, path & "\" & namecme) = True Or _
SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & dateyear & "/" & namecme, path & "\" & namecme) = True Or _
SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & dateyear + 1 & "/" & namecme, path & "\" & namecme) = True Or _
SaveWebFile("ftp://ftp.cmegroup.com/pub/span/data/cme/" & dateyear & "/" & Left(dateit, 6) & "/" & namecme, path & "\" & namecme) = True Then

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Old November 15th, 2016, 10:36 AM   #403 (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, 3,903 received
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I have found a bug in the latest XLS-SPAN.

If I have an option or spread on Track and click on Select or Spread to get the data for the date in cell A1 and then I click on H-Track to do a Historic Track of the range of dates from the date in A1 to the date in D1, the results on HistData and Hist Pivot do not include the date in cell A1. They start with the next date.

If you are able to fix this, besides posting a fixed XLS-SPAN spreadsheet, please let us know what changes were made to the macros so we can make those changes rather than having to make all of our modifications to your fixed spreadsheet.

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Old November 19th, 2016, 08:49 AM   #404 (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
I have found a bug in the latest XLS-SPAN.

If I have an option or spread on Track and click on Select or Spread to get the data for the date in cell A1 and then I click on H-Track to do a Historic Track of the range of dates from the date in A1 to the date in D1, the results on HistData and Hist Pivot do not include the date in cell A1. They start with the next date.

Sorry for the late response.

It's actually not a bug, it was intentional coding. It was designed to prevent days with missing risk array files from being populated in the Hist_Data (i.e. weekends would show up as 3 consecutive days with the same data). It is comparing the DTE before and after it runs the TrackSelect code for that day. If the DTE is the same it is considering the risk arrays to be missing and prevents a rewrite of the data. If the DTE is different then it is new data and it is copied to Hist_Data.

To get all of your dates when running H-Track:
1) Fill in your option or spread on the Track tab and have your start date in A1 and end date in D1 ... just as normal.
2) If you are tracking a spread add a matching number in S1 column for all legs of that spread.
3) Highlight all options you want to historically track (it can be a mix of spreads an single options).
4) Then instead of clicking Select or Spread to get the first day's data, just click H-Track and the first date will be included in the results. H-Track was designed to run without having to prime the pump with the first day's data.

Hope this helps.

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