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PC-SPAN
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Created: by ron99 Attachments:113

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PC-SPAN

  #1 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,721 received
Forum Reputation: Legendary

PC-SPAN

We will use this thread to discuss working with the CME PC-SPAN program.

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  #2 (permalink)
Quick Summary
Quick Summary Post

PC-SPAN is the CME program to determine the margins required for options on futures.

http://www.cmegroup.com/clearing/risk-management/

Here is where you acquire the daily array files.
ftp://ftp.cmegroup.com/pub/span/data/

Here is the manual for all of PC-SPAN
http://www.cmegroup.com/confluence/display/pubspan/SPAN+Overview

Here is the manual for spanit. spanit is used to do a batch file to calculate margins without opening PC-SPAN.
http://www.cmegroup.com/confluence/display/pubspan/Script+Language+for+PC-SPAN+v.4.05+and+SPAN+Risk+Manager

The symbols for options on NYMEX and COMEX usually begin with the letter "O". For example, HO options are OH, GC is OG. But CL is LO (light oil?). RB options are OB.

But for most options you go to the future symbol and then in the Product Type drop down box change it from Future to Option on Future.


XLS-SPAN (ver.04b3 - 9/1/2014) with fix for short option minimum:
XLS-SPAN v.04b3

XLS-SPAN (ver.04c - 9/1/2015) with Historic Tracking accomplished through the Tracker Tab:
-minor fixes for scan and grain prices
XLS-SPAN v.04c

XLS-SPAN (ver.04d - 9/21/2015) with CME pa2 file reduction:
XLS-SPAN v.04d

XLS-SPAN (ver.05 beta - 8/20/2016) with ability to handle ICE's new risk file format (and minor code fix):
XLS-SPAN v.05 beta

XLS-SPAN (ver.05a - 10/9/2016) in Excel 2007+ format
XLS-SPAN v.05a

XLS-SPAN (ver.05b - 5/25/2017) with ability to handle older CME PA2 files in Excel 2010 format
XLS-SPAN v.05b

XLS-SPAN (ver.05c - 7/16/2017) minor fix to handle new currency option contracts
XLS-SPAN v.05c


Last edited by Dudetooth; July 16th, 2017 at 11:35 AM. Reason: new attachment
 
  #3 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,721 received
Forum Reputation: Legendary


Here is the opened tree showing where you can find product codes.
Please register on futures.io to view futures trading content such as post attachment(s), image(s), and screenshot(s).

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  #4 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 270 since Oct 2012
Thanks: 126 given, 75 received

Expense

I noticed there is a $10.00 charge to download the PC Span. Are there any other charges for the data used
for calculating span??

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  #5 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received


datahogg View Post
I noticed there is a $10.00 charge to download the PC Span. Are there any other charges for the data used
for calculating span??

Nope ... you can download the daily risk arrays for free.

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  #6 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

PC-SPAN Script

Just reposting this from the Selling Options on Futures thread:

ron99 asked about using a batch file to run SPAN and generate a report.

I've been able to get this to work to create a performance bond risk summary of the portfolio ... not sure yet how to get anything like the Scan Risk Contributions in the Reports tab ... looks like that will need a different kind of script to run the spanReport utility.

Here's what I did:

- In the C:\Span4 folder (default location for installation of program) I placed a copy of the following:
-- Unzipped risk array files (cme.20131018.s.pa2 & nyb.20131018.s.pa2)
-- My portfolio file that I generated in PC-SPAN by right-clicking on my portfolio and selecting Copy Positions To File to generate a .pos file (RJO 131018.pos)

- Then I opened Notepad to create my script and typed in the following lines:
Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\nyb.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
Calc
SaveCalcSummary C:\Span4\Summary.csv
-- I saved it as a text file named SpanScript.txt in the C:\Span4 folder

- Then in Notepad, on a clean slate I typed in:
spanit C:\Span4\SpanScript.txt
-- Saved this as a batch file (File->Save As changing the Save as type to All Files) named SPAN-Batch.bat in the same folder where the spanit.exe file is (should be C:\Span4\Bin)

Just double-click my batch file (SPAN-Batch.bat), and it will load the risk arrays and portfolio, calculate and create a csv file named Summary in the C:\Span4 folder with my performance bond summary.

Hopes this helps.


****UPDATE****
Make the following changes to the instructions above to see the Position and PB Requirement Reports:

- In the SpanScript.txt type the following lines:
Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\nyb.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
Calc
Save C:\Span4\Risk.xml

- In the SPAN-Batch.bat file type the following lines:
C:\Span4\Bin\spanit.exe C:\Span4\SpanScript.txt
C:\Span4\RptModule\spanReport.hta C:\Span4\Risk.xml

This will create the reports in the C:\Span4\Reports folder.

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  #7 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

VBA

This is my first take at some VBA in a spreadsheet to help automate some of the tasks ... it's not pretty, but does some of the basic functions I was looking for (download risk arrays, unzip, rename, run batch file). It would be easy to tweak to have it open the Summary.csv and edit, etc. if you are comfortable with VBA. If not, let me know and I'll see what I can modify to have it do what you are looking for.

Attached Files
Register to download File Type: zip PC-SPAN.zip (18.2 KB, 132 views)
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  #8 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 214 since Sep 2012
Thanks: 26 given, 240 received

RiskReporter

ron99,

Do you use the RiskReporter in PC-SPAN to calculate the risk per position ... I believe they refer to it as Scan Risk Contributions? If you do, do you use the command line to generate the report?

Thanks

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  #9 (permalink)
Market Wizard
Cleveland, OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,700 since Jul 2011
Thanks: 781 given, 4,721 received
Forum Reputation: Legendary


Dudetooth View Post
ron99,

Do you use the RiskReporter in PC-SPAN to calculate the risk per position ... I believe they refer to it as Scan Risk Contributions? If you do, do you use the command line to generate the report?

Thanks

No I do not.

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  #10 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 270 since Oct 2012
Thanks: 126 given, 75 received

File location.


I have my copy of the PC Span, and it seems to work.

"Here is where you acquire the daily array files.
ftp://ftp.cmegroup.com/pub/span/data/"


Can some one direct me to the file name for the ES Span values(as an example) as a point to get started?

Thanks HH.

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