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PC-SPAN
Updated: Views / Replies:83,023 / 604
Created: by ron99 Attachments:160

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PC-SPAN

  #481 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


uuu1965 View Post
to @Dudetooth
HI,
some ES contract are displayed on Scan sheet but cann`t work on Track sheet, f.e. EWZ7 P 2565 (I use 05c version of XLS-SPAN). Please see attachment

@uuu1965, I think I tracked down the issue ... in the Class Module COption find the section that begins with "Public Property Let OptContract(Value As String)" ... replace that section of code with the code on the attached txt and you should be ok. Let me know if there are any other issues.

Attached Files
Register to download File Type: txt XLS-SPAN (05c) fix.txt (954 Bytes, 6 views)

Last edited by Dudetooth; October 25th, 2017 at 07:08 PM.
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  #482 (permalink)
Riga Latvia
 
 
Posts: 107 since Jan 2013
Thanks: 441 given, 72 received


Dudetooth View Post
@uuu1965, I think I tracked down the issue ... in the Class Module COption find the section that begins with "Public Property Let OptContract(Value As String)" ... replace that section of code with the code on the attached txt and you should be ok. Let me know if there are any other issues.

Thanks @Dudetooth! All works fine!

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  #483 (permalink)
Market Wizard
Cleveland, OH
 
Trading Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 3,018 since Jul 2011
Thanks: 927 given, 5,556 received


@Dudetooth I am having a strange problem. When I run H-Track on the first spread

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I get this.

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The spread IM is 396 from 20171011 to 20171031 even though all other data changes. When I run the 2nd spread I get 396 for every day for spread IM.

I used PC-SPAN and I get different Spread IM than 396. For 20171031 PC-SPAN gives me 277 for 1st spread.

I ran it in both XLS-SPAN (05a) and (05c). Same result. Does the same thing if I do Track Spread for one day. I redownloaded the 20171012 & 20171013 arrays from CME and that made no difference.

On 20171012 I copied the spreadsheet to a laptop to use while on vacation. When I got back I copied the spreadsheet back to my desktop. But I didn't do that to the (05c) version.

Does this problem happen on your spreadsheet?

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  #484 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


ron99 View Post
Does this problem happen on your spreadsheet?

@ron99,

So I think I tracked it down. Short story - seems like sometime in June the SOM for SP increased drastically and that was impacting the spread IM. I believe that they use the delta scaling factor to modify the SOM, which was missing from my code. I modified only two procedures in the COptions Class Module: Public Property Let TypeBstr(Value As String) and Public Property Let Type82str(Value As String) in order to remedy this ... at least it seems like it is working correct. You can copy it from the attached update.

Attached Files
Register to download File Type: zip XLS-SPAN (05d).zip (315.0 KB, 47 views)
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  #485 (permalink)
Riga Latvia
 
 
Posts: 107 since Jan 2013
Thanks: 441 given, 72 received

Syntetic position margin

@Dudetooth
When I open a synthetic position that uses the various months of future and option, XLS-SPAN (05d) does not calculate the total margin.
F.e., Short ESH8 and long EWF8 C 2665 (Zaner platform shows margin of $2570)
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  #486 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 264 since Sep 2012
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uuu1965 View Post
@Dudetooth
When I open a synthetic position that uses the various months of future and option, XLS-SPAN (05d) does not calculate the total margin.
F.e., Short ESH8 and long EWF8 C 2665 (Zaner platform shows margin of $2570)
Attachment 244269

@uuu1965

Sorry, I haven't been able to work out how to do that in XLS-SPAN ... it sees those as two separate commodities.

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  #487 (permalink)
Java/IN
 
 
Posts: 13 since Nov 2013
Thanks: 2 given, 0 received

Office 64bit

Hi Dudetooth, downloaded the latest and there is still an issue for 64bit users.. In this section to download the risk arrays file, it output a file mismatch error. On rectifying by entering a Private PtrSafe Function, the before mentioned SaveWebFile gave an error that it was not defined. Which was puzzling because it was defined as per the code below.

Private Function SaveWebFile(URL As String, LocalFilename As String) As Boolean
Dim lngRetVal As Long
lngRetVal = URLDownloadToFileA(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then SaveWebFile = True
End Function

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  #488 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 264 since Sep 2012
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ItalianBmT View Post
Hi Dudetooth, downloaded the latest and there is still an issue for 64bit users.. In this section to download the risk arrays file, it output a file mismatch error. On rectifying by entering a Private PtrSafe Function, the before mentioned SaveWebFile gave an error that it was not defined. Which was puzzling because it was defined as per the code below.

Private Function SaveWebFile(URL As String, LocalFilename As String) As Boolean
Dim lngRetVal As Long
lngRetVal = URLDownloadToFileA(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then SaveWebFile = True
End Function

Sorry I can't be of much help troubleshooting this. If a solution is ever found I'll be sure to get the fix into the latest version.

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  #489 (permalink)
NYC, NY
 
Trading Experience: Intermediate
Platform: Sierra Qtrader
Broker/Data: Amp and Optimus and CQG
Favorite Futures: Mainly CL. Spread researcher currently
 
Posts: 525 since May 2013
Thanks: 469 given, 241 received

Sorry for a slight off topic question. Trying to get historic settlement or end of day data for exchange traded crude calendar spreads say for at least 4 years. can I do that somewhere somehow? I have sierra and cqg I can load individual individual months for past data one by one, use the spreadsheet study then export and then calculate the spread but is there a better way? So as example I can load June 2015 symbol ad then Dec 2015 then extract and calculate the difference but any ready way to get data readily for the 6 month exchange spread from CME?


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  #490 (permalink)
Market Wizard
Cleveland, OH
 
Trading Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 3,018 since Jul 2011
Thanks: 927 given, 5,556 received



jokertrader View Post
Sorry for a slight off topic question. Trying to get historic settlement or end of day data for exchange traded crude calendar spreads say for at least 4 years. can I do that somewhere somehow? I have sierra and cqg I can load individual individual months for past data one by one, use the spreadsheet study then export and then calculate the spread but is there a better way? So as example I can load June 2015 symbol ad then Dec 2015 then extract and calculate the difference but any ready way to get data readily for the 6 month exchange spread from CME?


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I have a spreadsheet that has all CL settlements for the last 9 months of a contract for all contracts since 2006. You'll have to calculate the spread prices yourself. Do you want it?

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