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PC-SPAN
Started:October 23rd, 2013 (09:36 AM) by ron99 Views / Replies:41,523 / 403
Last Reply:November 19th, 2016 (08:49 AM) Attachments:100

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PC-SPAN

Old December 2nd, 2013, 05:50 PM   #81 (permalink)
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Request for Additional Symbols

@Dudetooth -

I was able to add some new instruments: BP, AD, CD. I will post the code once I verify the results tonight.


I tried, but failed, with the following. Could you add them when you get a chance?

Soybean Meal
Soybean Oil
Copper
30 Year US Bonds
10 Year Treasury Notes
Eurodollars


I have found some good trades in those instruments.


THANKS

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Old December 2nd, 2013, 06:48 PM   #82 (permalink)
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Dudetooth View Post
I'd gather that you are looking for a step-by-step on how this is done within the spreadsheet. That will take me a little bit to jot down in a narrative form to show you where the data is within risk arrays and explain the process. If you give me some time, I'll see what I can come up with.

Even though you donít use Excel, if you can look through the spreadsheet and its VBA code some of the process may make sense with your ability to program in Python.

Wouldn't it be easier to just post your VBA code? Understanding your steps aren't that difficult if you know a little about programming and can inspect the code. I can post it, but don't want to without Dudetooth's permission.

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Old December 2nd, 2013, 07:04 PM   #83 (permalink)
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I took a quick look over at CME ... most other products we have in this spreadsheet seem to have the same date for last trade and settlement, even LC. I checked a couple on ICE and the date in the SPAN is what they list as the last trade date. It almost looks like LH is odd man out.

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Old December 2nd, 2013, 07:11 PM   #84 (permalink)
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kevinkdog View Post
I was able to add some new instruments: BP, AD, CD. I will post the code once I verify the results tonight.

Great ... looking forward to it.



kevinkdog View Post
I tried, but failed, with the following. Could you add them when you get a chance?

I added it to the "to-do" list for the next update.

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Old December 2nd, 2013, 07:14 PM   #85 (permalink)
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Futures Edge on FIO

mu2pilot View Post
Wouldn't it be easier to just post your VBA code? Understanding your steps aren't that difficult if you know a little about programming and can inspect the code. I can post it, but don't want to without Dudetooth's permission.

That's fine by me, but it seems to me that it would be rather difficult to understand the process without seeing the corresponding data in the spreadsheet.

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Old December 3rd, 2013, 12:48 AM   #86 (permalink)
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Dudetooth View Post
That's fine by me, but it seems to me that it would be rather difficult to understand the process without seeing the corresponding data in the spreadsheet.

Yeah, you're probably right. The other option is to download a trial copy of excel and look at the code that way. Assuming he has a windows box to load it on. If he has no windows computers, then that's a non-starter.

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Old December 3rd, 2013, 10:42 AM   #87 (permalink)
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CURRENCY INFO/UPDATE

I have been playing around with currencies in the SPAN spreadsheet. Here is what I have found:

1. In the spreadsheet, the delta calculations for Euro (6E) and Yen (6J) are double what they actually are. This can be corrected easily in the code (by changing code to d1=1). @Dudetooth - can you verify this?

2. For settlement dates, the Options Express Trade Calculator gives the options expiration date as 3 days before the SPAN settlement date. This is true for all currencies I looked at (BP, EC, CD, AD, JY). So, if you are used to calculating ROI based on OEX date, the SPAN spreadsheet ROI will be lower.

For ROI calculations, I believe you want to use options expiration date, not settlement date. Can someone confirm my thinking?


3. I have added the following currencies: BP, AD, CD. Code is below:

If con1 = "A6" Or con1 = "6A" Or con1 = "AD" Then '6A Globex, A6 Barchart
stk1 = stk1 * 1000
str1 = "CMEAD AD OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 AD"
strSearch3 = "4 AD"
strSearch4 = "B CMEAD OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
imm2 = 2
v1 = 1#
d1 = 1
'CMEBP BP; CMEC1 C1; CMEAD AD
ElseIf con1 = "B6" Or con1 = "6B" Or con1 = "BP" Then '6B Globex, B6 Barchart
stk1 = stk1 * 1000
str1 = "CMEBP BP OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 BP"
strSearch3 = "4 BP"
strSearch4 = "B CMEBP OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
imm2 = 2
v1 = 0.625
d1 = 1
'CMEBP BP; CMEC1 C1; CMEAD AD
ElseIf con1 = "C6" Or con1 = "6C" Or con1 = "CD" Then '6C Globex, C6 Barchart
stk1 = stk1 * 1000
str1 = "CMEC1 C1 OOF" & cp1
str1 = str1 & "201" & yr1 & umo1 & " 201" & yr2 & omo1
strSearch = str1 & " " & Application.WorksheetFunction.Text(stk1, "0000000")
strSearch2 = "3 CD"
strSearch3 = "4 CD"
strSearch4 = "B CMEC1 OOF201" & yr1 & umo1 & " 201" & yr2 & omo1
imm2 = 2
v1 = 1#
d1 = 1

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 3rd, 2013, 12:09 PM   #88 (permalink)
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@Dudetooth,

Maybe we can start small. Here are four lines from the CME settlement's file


Quoting 
354561:81NYMLO CL OOFC201403 201403 000920000622-00657+01282-00048-00002-01304+01982-00808-00575+00000000000470N
354562:82NYMLO CL OOFC201403 201403 000920001887+02719-01618-01108+02406+02458-01270+06196+002043440000470++06225+C
354563:81NYMLO CL OOFP201403 201403 000920000622-00657+00232-01002+01052-00254+00118+01292+01525-00000000000242N
354564:82NYMLO CL OOFP201403 201403 000920000213-00431+01532+02042-00744-00661+01848-03784-002043440000242++03775-C

I believe these are Crude Oil options. This is because "NYMLO" and "CL" are symbols CME uses for Crude Oil. Here is what I can surmise from the fields. The fist number, e.g., "354561", is NOT in the file, it is the line number. After the colon ":" the actual file begins.
  1. The first feild is 81NYMLO or 82NYMLO. I don't know the difference between the 81 and 82. But I see it in a number of lines.
  2. The "CL" field probably lists the underlying future
  3. The OOFC201403/OOFP201403 lists "options on futures" and then "C" or "P" for call or put. Then the year and month of the underlying future.
  4. The next date "201403" is probably the expiration of the option, in this case the same as the future.
  5. Then it looks like there is a series of numbers I don't understand. There is a "00092" which I think may the the option's strike price. But then it's all Greek to me.

If you could help me understand the long string of numbers, and let me know how you converted that into the Initial Margin (IM) that would be great. I don't need to calculate the Delta. You have some other fields: price, value, DTE, Risk, etc. I dont' need those either at the moment. Like I said, I want to start small and just get the IMs. Then I can look to see how easy or hard it is too add other things.

Lastly, I did download Dudetooth's Excel Macro (xlsm) file. I can load it in LibreOffice but I can't see the underlying "guts" of the program. (I do have a Window's box, but I don't feel like trying to setup Excel just to do one thing).

As for posting the source code. I would recommend you use pastebin: Pastebin.com - #1 paste tool since 2002!. You post the code there. The Web site give you a URL, and then post the URL/link here in the forum. This way the forum isn't cluttered with code.

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Old December 3rd, 2013, 01:12 PM   #90 (permalink)
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FYI, when I open a .pa2 file in a text editor, it appears to be the "expanded" version of the file layout. Here is the file structure for the expanded .pa2 file:

http://www.cmegroup.com/confluence/display/pubspan/Type+8+-+Expanded

The first data record is "81". If you scroll down, you'll see where record type "82" begins.

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