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PC-SPAN
Updated: Views / Replies:69,542 / 576
Created: by ron99 Attachments:146

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PC-SPAN

  #51 (permalink)
Elite Member
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,937 since Jul 2011
Thanks: 877 given, 5,274 received


Dudetooth View Post
I can add these symbols to the to-do list if you'd like.

I have mostly figured out how to add them myself. I added DA, CT & CC (Cocoa). I see that the added ones need to be in alphabetical order.

I see v1 is the factor to change price to dollars.

What is imm2?
What is stk1 used for?
What is d1?

But then I ran into a problem. I mistakenly tried to get a misspelled symbol to calculate. The program was stuck in a loop. I hit Esc twice and told it to end process. Now it won't work for any contract.

Edit: I went back to my saved original file and have things working again.


Last edited by ron99; November 25th, 2013 at 05:14 PM.
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  #52 (permalink)
Elite Member
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,937 since Jul 2011
Thanks: 877 given, 5,274 received

Am I correct that expiration date or DTE is not available in the disk arrays?

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  #53 (permalink)
Elite Member
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,937 since Jul 2011
Thanks: 877 given, 5,274 received


I am having problems adding SI, HO to the macro.

Got LN (Hogs) to work.

I'm guessing my stk1 is wrong or my v1 is wrong.

On the Single Position button the popup box says Select Row so I was trying to select the whole row. I changed the macro so it says "Select Cell in Option Row".

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  #54 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
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kevinkdog View Post
Can you save a version in Excel 97 format? I am still way behind the times...

This one is 97/2003 compatible.

Attached Files
Register to download File Type: zip Margin without PC-SPAN-97.zip (26.2 KB, 23 views)
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  #55 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 252 since Sep 2012
Thanks: 27 given, 266 received


ron99 View Post
What is imm2?

When I found the line in the risk arrays that held the short option minimum I noticed that there were a few that didn't seem to work until I multiplied them by 2 (for currencies) and 5 (for grains) ... perhaps related to the size of the mini-contracts.


ron99 View Post
What is stk1 used for?

That is the strike of the option.


ron99 View Post
What is d1?

I found a similar issue with the delta that I found with SOM, but just with the currencies. Multiplying by 2 created the correct delta. Again, no idea why, but it works.

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  #56 (permalink)
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Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
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ron99 View Post
Am I correct that expiration date or DTE is not available in the disk arrays?

I'm not sure. I did a quick look, but didn't see anything. Have you ever seen the DTE displayed in any of the reports that PC-SPAN creates? If it's in a report we should be able to extract it.

****Good news ... I think I found it. There are lines in the risk array that appear to that the date that the option expires, so we should be in luck.


Last edited by Dudetooth; November 25th, 2013 at 07:25 PM. Reason: Just found some info
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  #57 (permalink)
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Futures Experience: Intermediate
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ron99 View Post
I am having problems adding SI, HO to the macro ... I'm guessing my stk1 is wrong or my v1 is wrong.

It is possible. Not sure when I'll get a chance to work the code for those. You can try stepping through the code in the VBA editor (F8 key) to see where it gets hung up. If it just that the search is not grabbing anything then it might be something like the strike.


ron99 View Post
On the Single Position button the popup box says Select Row so I was trying to select the whole row. I changed the macro so it says "Select Cell in Option Row".

I can see where that would be confusing. It is easy to understand when I am writing it ... doesn't always translate properly to others. I'll change that in the next build.

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  #58 (permalink)
Elite Member
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
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Thanks: 877 given, 5,274 received


Dudetooth View Post
I'm not sure. I did a quick look, but didn't see anything. Have you ever seen the DTE displayed in any of the reports that PC-SPAN creates? If it's in a report we should be able to extract it.

****Good news ... I think I found it. There are lines in the risk array that appear to that the date that the option expires, so we should be in luck.

I was thinking if I had the expiration date then I could then have your spreadsheet calculate monthly ROI when it does the margin.

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  #59 (permalink)
Elite Member
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Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,937 since Jul 2011
Thanks: 877 given, 5,274 received


Dudetooth View Post
That is the strike of the option.

For NG you have this line
stk1 = stk1 * 1000

Other ones have 10 or 100 instead of 1000. Or some don't have that line at all. What determines which multiplier you use?

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  #60 (permalink)
Elite Member
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
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Favorite Futures: Options on Futures
 
Posts: 2,937 since Jul 2011
Thanks: 877 given, 5,274 received


Here's the code for silver to add to the macro for the spreadsheet in post #45.

ElseIf con1 = "SI" Then
stk1 = stk1 * 100
str1 = "CMXSO SI OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 CX-SI"
strSearch3 = "4 CX-SI"
imm2 = 1
v1 = 0.5


Hogs

ElseIf con1 = "LN" Then
stk1 = stk1 * 10
str1 = "CMELN LN OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 LN"
strSearch3 = "4 LN"
imm2 = 1
v1 = 0.4


Cocoa

If con1 = "CC" Then
stk1 = stk1 * 100
str1 = "NYBCC CC OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 CC"
strSearch3 = "4 CC"
imm2 = 1
v1 = 10


Cocoa needs to be first in front of CL. I added Else in front of the If to start the CL code.

Cotton

ElseIf con1 = "CT" Then
stk1 = stk1 * 100
str1 = "NYBCT CT OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 CT"
strSearch3 = "4 CT"
imm2 = 1
v1 = 5


Heating Oil

ElseIf con1 = "HO" Then
stk1 = stk1 * 10000
str1 = "NYMOH HO OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 NY-HO"
strSearch3 = "4 NY-HO"
imm2 = 1
v1 = 4.2


RB

ElseIf con1 = "RB" Then
stk1 = stk1 * 10000
str1 = "NYMOB RB OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 NY-RB"
strSearch3 = "4 NY-RB"
imm2 = 1
v1 = 4.2


These need to be added in alphabetical order.

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