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PC-SPAN
Updated: Views / Replies:67,213 / 569
Created: by ron99 Attachments:142

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PC-SPAN

  #541 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 251 since Sep 2012
Thanks: 27 given, 264 received


Narnar View Post
Thank you for the clarification, Dudetooth. For "H-Scan" do I need to select a particular strike in the Scan tab, e.g., select a strike in column I?
What is the difference between H-Track vs H-Scan is it the H-Track grab options from Track Tab and H-Scan grab options from Scan tab?

Also, just want to make sure if I understand the "Spread IM" in Hist_Data tab correctly, this is the margin requirement for the position at the settlement date? (I am using the settlement data)

For example on initial entry date the IM (using entry value is $250, and on 3+ day the IM is $600. Does this mean the margin requirement on the 3+ day is $600? that is you can ride out the position for approx 3 x IM ($250 x 3 > $600)

Really appreciate your clarification and help on this.

H_Scan is only for use on the Scan tab. Put your start date in cell A1 and your end date in D1. Each commidy you are scanning for has parameters like min/max DTE, min value or max delta. Only cells that are green should be modified (A-E), the other columns are the results. In my opinion, H-Scan works best for a single product at a time, but it should be able to handle multiple products.

H-Track is for the Track tab only. With this one, you enter your start and end dates in A1 and D1, but in columns A-F you enter the details of a particular position you want to track ... results in the columns to the right.

Spread IM is only populated if you are calculating a spread (column F should have the same number for each leg of the spread so the spreadsheet knows to calculate them together).

You also need to find out how your brokerage calculates margin. The defuault on the parameters tab B4 is SPAN. There are brokerages that calculate Total margin with is IM + the value of the options. If you are just using IM, then yes your example would be correct (3x $250 IM would not have been triggered by an increase to $600 IM).

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  #542 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,918 since Jul 2011
Thanks: 865 given, 5,190 received
Forum Reputation: Legendary


Narnar View Post
Hi Dudetooth,

I've gone through most of the threads here, but I don't know what "Entry Values" and "H-Scan" in XLS-Span are for, can you elaborate what these does? Do you have a guide that I can use?

I have been mainly using the "Setup" page on v4 of the file to figure out how to use the 05d version. Thank you! Very powerful spreadsheet!

NN

The Parameters sheet has explanations of the columns. Columns J & K.

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  #543 (permalink)
Trading Apprentice
Los Angeles, California
 
Futures Experience: Beginner
Platform: Td
Favorite Futures: Emini
 
Posts: 22 since Feb 2018
Thanks: 27 given, 3 received



Dudetooth View Post
H_Scan is only for use on the Scan tab. Put your start date in cell A1 and your end date in D1. Each commidy you are scanning for has parameters like min/max DTE, min value or max delta. Only cells that are green should be modified (A-E), the other columns are the results. In my opinion, H-Scan works best for a single product at a time, but it should be able to handle multiple products.

H-Track is for the Track tab only. With this one, you enter your start and end dates in A1 and D1, but in columns A-F you enter the details of a particular position you want to track ... results in the columns to the right.

Spread IM is only populated if you are calculating a spread (column F should have the same number for each leg of the spread so the spreadsheet knows to calculate them together).

You also need to find out how your brokerage calculates margin. The defuault on the parameters tab B4 is SPAN. There are brokerages that calculate Total margin with is IM + the value of the options. If you are just using IM, then yes your example would be correct (3x $250 IM would not have been triggered by an increase to $600 IM).

Thank you, Dudetooth!

I have been back testing since yesterday, and it is awesome I have mainly used the H-Track to do this
thank you thank you!

unfortunately though, I hadn't been able to use H-Scan. I had set up the parameter in Scan tab as below :
- 20180125 - 20180209
- ES 30 - 90 DTE
- Delta 20 and Max delta 20

"Run" the scan tab. After which I selected ES and clicked H-Scan. I received the following VBA error message:
"Compile error: Sub or Function not defined". (I attached picture) Am i doing something wrong?

thank you again,
HH

Attached Thumbnails
PC-SPAN-error-h-scan.jpg  
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  #544 (permalink)
Trading Apprentice
Los Angeles, California
 
Futures Experience: Beginner
Platform: Td
Favorite Futures: Emini
 
Posts: 22 since Feb 2018
Thanks: 27 given, 3 received


ron99 View Post
The Parameters sheet has explanations of the columns. Columns J & K.

Yep, thanks Ron!
I have the definitions in column J and K open side by side as I analyze the position. Still connecting the information

may be this is not the right thread, but after doing the back test, i exited the short put position that I have last night.

I will ask you and others more questions (if you and others don't mind answering my newbie questions) in regard to the strategy in other thread, after doing more back testing.

NN

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  #545 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 251 since Sep 2012
Thanks: 27 given, 264 received


Narnar View Post
Thank you, Dudetooth!

I have been back testing since yesterday, and it is awesome I have mainly used the H-Track to do this
thank you thank you!

unfortunately though, I hadn't been able to use H-Scan. I had set up the parameter in Scan tab as below :
- 20180125 - 20180209
- ES 30 - 90 DTE
- Delta 20 and Max delta 20

"Run" the scan tab. After which I selected ES and clicked H-Scan. I received the following VBA error message:
"Compile error: Sub or Function not defined". (I attached picture) Am i doing something wrong?

thank you again,
HH

I'll try to troubleshoot that tonight (I think I know what the issue is).

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  #546 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 251 since Sep 2012
Thanks: 27 given, 264 received


Narnar View Post
Thank you, Dudetooth!

I have been back testing since yesterday, and it is awesome I have mainly used the H-Track to do this
thank you thank you!

unfortunately though, I hadn't been able to use H-Scan. I had set up the parameter in Scan tab as below :
- 20180125 - 20180209
- ES 30 - 90 DTE
- Delta 20 and Max delta 20

"Run" the scan tab. After which I selected ES and clicked H-Scan. I received the following VBA error message:
"Compile error: Sub or Function not defined". (I attached picture) Am i doing something wrong?

thank you again,
HH

One of the procedures didn't get copied over when I was coding it. This should do the trick ... let me know if you have any other issues.

Attached Files
Register to download File Type: zip XLS-SPAN (05d).zip (359.5 KB, 32 views)
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  #547 (permalink)
Trading Apprentice
Los Angeles, California
 
Futures Experience: Beginner
Platform: Td
Favorite Futures: Emini
 
Posts: 22 since Feb 2018
Thanks: 27 given, 3 received


Dudetooth View Post
One of the procedures didn't get copied over when I was coding it. This should do the trick ... let me know if you have any other issues.

Thank you, it works perfectly!

Going to be doing major back testing this weekend

thank you again for creating and troubleshooting this!

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  #548 (permalink)
Trading Apprentice
BARCELONA/SPAIN
 
Futures Experience: Intermediate
Platform: ninjatrader
Favorite Futures: futures
 
Posts: 27 since Sep 2013
Thanks: 2 given, 2 received


Dudetooth View Post
One of the procedures didn't get copied over when I was coding it. This should do the trick ... let me know if you have any other issues.

Hello Dudetooth
I have posted this in selling options on futures post

Hello Ron99
I am trying to use the excel sheet that you put in the forum but it does not work correctly. I have Windows 10 and Office 2013 64 bits. When I open the sheet it gives me an error in a macro that I have been able to solve by myself. It consists of adding the PtrSafe attribute to the Declare instruction of the macro code. But then when trying to compile it gives me the error and says that the variable pDatel has not been defined.
I have to say that I have no idea of computer science. I hope you can help me. Or maybe Dudetooth have a greater knowledge of the subject.


I am very interested in this excel sheet to work.
I tried to attach the file but I can not. It's PC-SPAN (05a) copy for forum.xlsm. You can find it in selling options on futures post. Can you help me?

Thanks for your great job

Thanks in advance

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  #549 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 251 since Sep 2012
Thanks: 27 given, 264 received


tinaturner View Post
Hello Dudetooth
I have posted this in selling options on futures post

Hello Ron99
I am trying to use the excel sheet that you put in the forum but it does not work correctly. I have Windows 10 and Office 2013 64 bits. When I open the sheet it gives me an error in a macro that I have been able to solve by myself. It consists of adding the PtrSafe attribute to the Declare instruction of the macro code. But then when trying to compile it gives me the error and says that the variable pDatel has not been defined.
I have to say that I have no idea of computer science. I hope you can help me. Or maybe Dudetooth have a greater knowledge of the subject.


I am very interested in this excel sheet to work.
I tried to attach the file but I can not. It's PC-SPAN (05a) copy for forum.xlsm. You can find it in selling options on futures post. Can you help me?

Thanks for your great job

Thanks in advance

@tinaturner,

I don't think I'll be able to be much of a help in this case. It is difficult to troubleshoot old versions of the spreadsheet, but most importantly I don't have Excel 64-bit to test anything out on. I tried to fix some issues in the past with the code so it would run in Excel 64-bit, but I was just shooting in the dark.

The best I can do is to point you to Microsoft's page that talks about macros in 64-bit VBA:
https://msdn.microsoft.com/en-us/VBA/Language-Reference-VBA/articles/64-bit-visual-basic-for-applications-overview

I know there were a few folks out there who where trying to get the code to run on 64-bit ... if they are still out there they might be able to chime in.

Sorry.

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  #550 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,918 since Jul 2011
Thanks: 865 given, 5,190 received
Forum Reputation: Legendary



tinaturner View Post
Hello Dudetooth
I have posted this in selling options on futures post

Hello Ron99
I am trying to use the excel sheet that you put in the forum but it does not work correctly. I have Windows 10 and Office 2013 64 bits. When I open the sheet it gives me an error in a macro that I have been able to solve by myself. It consists of adding the PtrSafe attribute to the Declare instruction of the macro code. But then when trying to compile it gives me the error and says that the variable pDatel has not been defined.
I have to say that I have no idea of computer science. I hope you can help me. Or maybe Dudetooth have a greater knowledge of the subject.


I am very interested in this excel sheet to work.
I tried to attach the file but I can not. It's PC-SPAN (05a) copy for forum.xlsm. You can find it in selling options on futures post. Can you help me?

Thanks for your great job

Thanks in advance

Use the XLS-SPAN version in post 546 in this thread.

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