PC-SPAN - Options on Futures | futures.io
futures.io futures trading
 

Go Back   futures.io

> Futures Trading, News, Charts and Platforms > Traders Hideout > Options on Futures


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

Welcome to futures.io.

Welcome, Guest!

This forum was established to help traders (especially futures traders) by openly sharing indicators, strategies, methods, trading journals and discussing the psychology of trading.

We are fundamentally different than most other trading forums:
  • We work extremely hard to keep things positive on our forums.
  • We do not tolerate rude behavior, trolling, or vendor advertising in posts.
  • We firmly believe in openness and encourage sharing. The holy grail is within you, it is not something tangible you can download.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.


You'll need to register in order to view the content of the threads and start contributing to our community. It's free and simple, and we will never resell your private information.

-- Big Mike
     

Reply
 100  
 
Thread Tools Search this Thread

PC-SPAN

Old October 23rd, 2013, 09:36 AM   #1 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,324 since Jul 2011
Thanks: 634 given, 3,905 received

PC-SPAN

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

Reply With Quote
     
The following 5 users say Thank You to ron99 for this post:
     

Old October 23rd, 2013, 09:36 AM   #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


Last edited by Dudetooth; October 10th, 2016 at 01:18 PM. Reason: new attachment
     

Old October 23rd, 2013, 09:36 AM   #3 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,324 since Jul 2011
Thanks: 634 given, 3,905 received


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).

Reply With Quote
     

Old October 23rd, 2013, 01:00 PM   #4 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 257 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??

Reply With Quote
     

Old October 23rd, 2013, 09:19 PM   #5 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 received

Futures Edge on FIO

Are you a NinjaTrader user?

 

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.

Reply With Quote
     

Old October 23rd, 2013, 09:28 PM   #6 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 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.

Reply With Quote
     
The following 6 users say Thank You to Dudetooth for this post:
     

Old October 23rd, 2013, 09:32 PM   #7 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 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, 123 views)
Reply With Quote
     
The following 2 users say Thank You to Dudetooth for this post:
     

Old October 25th, 2013, 02:53 PM   #8 (permalink)
Elite Member
Steubenville Ohio
 
Futures Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 179 since Sep 2012
Thanks: 24 given, 198 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

Reply With Quote
     

Old October 29th, 2013, 04:18 PM   #9 (permalink)
Market Wizard
OH
 
Futures Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 2,324 since Jul 2011
Thanks: 634 given, 3,905 received


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.

Reply With Quote
     

Old November 3rd, 2013, 03:43 PM   #10 (permalink)
World'sWorstTrader
Knoxville Tennessee USA
 
Futures Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 257 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.

Reply With Quote
     

Reply



futures.io > Futures Trading, News, Charts and Platforms > Traders Hideout > Options on Futures > PC-SPAN

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)
 

NinjaTrader 8: Features and Enhancements, Tips and Tricks

Dec 6
 

Al Brooks: Stop Losing when a Good Trade goes Bad, Correcting Mistakes

Elite only
 

Trading Technologies: Algo Design Lab hands-on

Dec 13
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Current PC Specs tderrick Tech Support 45 October 28th, 2012 04:40 PM
Any PC Gamers in here? forrestang Off-Topic 61 October 10th, 2012 03:37 PM
Virtual PC setup how? boze man Tech Support 5 September 8th, 2012 04:59 PM
I need PC help Boomer34 Tech Support 5 January 22nd, 2012 03:28 PM
PC Question NMTrader Off-Topic 0 July 12th, 2009 11:56 PM


All times are GMT -4. The time now is 10:04 AM.

Copyright © 2016 by futures.io. All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
 
no new posts
Page generated 2016-12-08 in 0.13 seconds with 20 queries on phoenix via your IP 54.205.176.107