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I have a general question about the SPAN data files. Is the price of the underlying (ES in my example) part of the .c.pa2 files? I see it in Ron99's backtest spread sheet.
I have looked for it in the SPAN file format description, but could not find it.
Now I found it! I was looking for a field "underlying price" or similar. Instead I have to search for CME/ES/FUT. It is in Type 82 (like for the options).
I wanted to track the regular S&P and the associated weekly's (EV, EV1, EV2, EV3, EV4) so I added the necessary cases to the COption class module. I was able to mimic the code for the minis so it was relatively easy and seems to work.
I'd also like to track the Wednesday weekly's (E1C, S1C, etc.) but I doubt I can use the same approach.
How did you find the string values to associate with each commodity?
You should be able to use the same approach for the E1C and S1C as you did for the EV1.
The best way find that info is to open up a pa2 file in notepad and just start looking around. You'll see the order that they have all of the information. The Type P line of data is the first for each instrument followed by the 2, 3, 4, and B lines. They'll repeat that for all of the instruments in that exchange before they list the Type 81 and 82 lines for all of those instruments.
@ron99 It's already baked in there.
On the Track Tab, insert a new column in between two existing ones and it will copy the header data validation list. Select the header cell of the new column and in the dropdown menu you will find BV.
Then you can run your Hist_Track and it will fill in the BV column for you.
I tried to duplicate your error ... I even went to the end of the header row and just typed in BV, but it worked on my copy. If I remember correctly, you have a modified version ... perhaps there is a conflict in the code.
I'm not sure if you'd be willing to let me take a look at your spreadsheet, but that would be the easiest way to troubleshoot.
