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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,539 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old November 25th, 2013, 09:45 PM   #61 (permalink)
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Dudetooth View Post
This one is 97/2003 compatible.

Thanks. I'm guessing there is no easy way with an old version of Excel to automatically go get and unzip the required SPAN files?

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Old November 25th, 2013, 09:53 PM   #62 (permalink)
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This works fine for me in XL 2003:


Sub DownloadRiskArrayFiles()

On Error GoTo GetOut
Dim RetVal
Dim batchfile As String
Dim path As String
dateit = Range("SpanMacro!B2").Value 'Date in YYYYMMDD format
namecme = "cme." & dateit & ".s.pa2.zip"
namenyb = "nyb." & dateit & ".s.pa2.zip"
path = "C:\Span4\Data"

SaveWebFile "ftp://ftp.cmegroup.com/pub/span/data/cme/" & namecme, path & "\" & namecme
SaveWebFile "ftp://ftp.cmegroup.com/pub/span/data/nyb/" & namenyb, path & "\" & namenyb

Call UnZip(path & "\", path & "\" & namecme)
Call UnZip(path & "\", path & "\" & namenyb)

Kill path & "\" & namecme
Kill path & "\" & namenyb

Kill path & "\cme.s.pa2"
Kill path & "\nyb.s.pa2"
Name path & "\" & "cme." & dateit & ".s.pa2" As path & "\cme.s.pa2"
Name path & "\" & "nyb." & dateit & ".s.pa2" As path & "\nyb.s.pa2"

GetOut:
End Sub

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Old November 26th, 2013, 12:06 AM   #63 (permalink)
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spj77 View Post
This works fine for me in XL 2003:


Sub DownloadRiskArrayFiles()

On Error GoTo GetOut
Dim RetVal
Dim batchfile As String
Dim path As String
dateit = Range("SpanMacro!B2").Value 'Date in YYYYMMDD format
namecme = "cme." & dateit & ".s.pa2.zip"
namenyb = "nyb." & dateit & ".s.pa2.zip"
path = "C:\Span4\Data"

SaveWebFile "ftp://ftp.cmegroup.com/pub/span/data/cme/" & namecme, path & "\" & namecme
SaveWebFile "ftp://ftp.cmegroup.com/pub/span/data/nyb/" & namenyb, path & "\" & namenyb

Call UnZip(path & "\", path & "\" & namecme)
Call UnZip(path & "\", path & "\" & namenyb)

Kill path & "\" & namecme
Kill path & "\" & namenyb

Kill path & "\cme.s.pa2"
Kill path & "\nyb.s.pa2"
Name path & "\" & "cme." & dateit & ".s.pa2" As path & "\cme.s.pa2"
Name path & "\" & "nyb." & dateit & ".s.pa2" As path & "\nyb.s.pa2"

GetOut:
End Sub

Thanks
I will give this a try.

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Old November 26th, 2013, 11:56 AM   #64 (permalink)
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For new traders in this thread, when I get a chance I will make a post and put in the Quick Summary a step by step list of what you have to do to get Dudetooth's system running. It will give you a fast, free! calculator of SPAN margins.

You will need some batch files and the spreadsheet.

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Old November 26th, 2013, 05:51 PM   #65 (permalink)
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Futures Edge on FIO

Are you a NinjaTrader user?

 

ron99 View Post
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?

I glean option and futures quotes from Barchart's website, so all of those calculations are made to convert an option strike as it appears on Barchart's site to be compatible with what is seen in the risk arrays.

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Old November 26th, 2013, 06:02 PM   #66 (permalink)
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ron99 View Post
Here's the code for silver to add to the macro for the spreadsheet in post #45.

Thanks for the code. I will get this into the next build for sure. I will also look to have DTE calculated and the download ability. I am also thinking I may have the simple spread calculation in it as well (and a 97 version for kevinkdog).

Is there anything else worth looking to add?

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Old November 26th, 2013, 06:14 PM   #67 (permalink)
Market Wizard
OH
 
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Dudetooth View Post
Thanks for the code. I will get this into the next build for sure. I will also look to have DTE calculated and the download ability. I am also thinking I may have the simple spread calculation in it as well (and a 97 version for kevinkdog).

Is there anything else worth looking to add?

Nothing I can think of right now.

You have been a HUGE help to many of us. Thank you.

Here is how I added my macro buttons. I was going to add them above your stuff but I didn't want to have to redo all the cell references in the macros. This is OK. But if you have a better idea that would be good.

If you don't want all of them on there that is OK. The Download Risk Arrays is the one that is needed with the date cell. I can add mine where needed later.

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I left a row below them for titles of columns when I do ROI calculations and other things.

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Old November 28th, 2013, 09:45 AM   #68 (permalink)
Elite Member
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Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 received

Margin Without PC-SPAN v2

Here's an update with some recommendations / upgrades built in.

1) Download file (there is an Excel 97/2003 version available) and unzip.

2) Open spreadsheet and follow the instructions on the Setup tab.

New features:
-Setup tab with instructions and ability to change default path
-Ability to download CME and NYB risk arrays (download, unzip, rename)
-DTE based on the date of the downloaded risk arrays
-7 new commodities programmed
-Spreads: simple 2-legged intra-commodity spreads can be calculated

I did some quick tests and everything seems to be working ... please let me know if you find any bugs.

Thanks to ron99 for helping with the new commodity programming.

****Updated: Minor fixes ... already.
I've got the SaveWebFile and Unzip macros in there (missed them first time around) and 97 version has TrailingMinusNumbers issue taken care of. Thanks ron99 and kevinkdog for the troubleshooting I missed.

Attached Files
Register to download File Type: zip Margin Without PC-SPANv2.zip (44.1 KB, 36 views)
Register to download File Type: zip Margin Without PC-SPAN-97v2.zip (39.8 KB, 21 views)

Last edited by Dudetooth; November 28th, 2013 at 10:19 AM. Reason: Fix minor bugs
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Old November 28th, 2013, 10:51 AM   #69 (permalink)
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I tried the 97 version, and it seems to work well!

Thanks Dudetooth!


I have a handful of other instruments I want to add, and if/when I am successful I will post the code here (probably by Saturday)...

If you have any questions please send me a Private Message or use the futures.io "Ask Me Anything" thread
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Old December 1st, 2013, 01:33 PM   #70 (permalink)
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Futures Experience: Advanced
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Broker/Data: various
Favorite Futures: futures
 
Posts: 2,195 since Jul 2012
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Great Tool


This is a great tool, @Dudetooth ! Thanks for putting it together.


I was running some Lean Hog calcs, and the price seems to be wrong for some of them. Everything else looks OK. Can you check this? I don;t know if it is an error in the SPAN file, but the OEX margin calculator seems to give the right price.

Thanks


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