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PC-SPAN

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  #301 (permalink)
 Dudetooth 
Steubenville Ohio
 
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Cdanitius View Post
I had played around with what you had mentioned, but I didn't make much progress.
Instead, I had customized a spreadsheet ...

Cdanitius,

Sorry that you couldn't get the code to work for you, but glad to hear you have a method that works for you.

Best of luck!

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  #302 (permalink)
 SMCJB 
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TO: CME Span Subscribers
ADVISORY No.: 15-123
FROM: CME Clearing
SUBJECT: PC-SPAN Version 4.5 Build 585A
DATE: Wednesday, May 6th, 2015
Please be advised that on Monday May 4th, 2015 CME Clearing released a new build of PC-SPAN®, Version 4.5 Build 585A, in the New Release environment. The Production release is currently scheduled for Friday May8th, 2015. This build includes support for the ICE PA6 file and minor CCE Natural Gas delivery charge code fixes. It will be available for download through CME Core on Monday May 11, 2015. Access to CME CORE requires a CME SMART CLICK ID. New users can register here: https://login.cmegroup.com/sso/register/.
This build upgrade is not mandatory as current products will not be affected. However, it is advisable that customers upgrade in order to run the ICE PA6 file for margin purposes. Please contact the CME Clearing Risk Hotline at 312-648-3888 or clearing.riskmanagement@cmegroup.com if you have questions relating to this functionality. For any issues accessing the CORE website, please contact the CORE team at CME.CORE@cmegroup.com.
https://www.cmegroup.com/tools-information/lookups/advisories/clearing/Chadv15-123.html?source=rss#pageNumber=1

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  #303 (permalink)
 daydayup8 
tennessee/USA
 
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I need help.

Could anyone help me why I can't download the data from last year?

I am working on the "Scanner" tab, and I put "20140919" on the G1 and press "Download Risk", nothing happened. I know I could download the data last year, why it can't be downloaded this year? My plan is to download the data from 20140919 to 20141015 (when ES drop about 180 points) to analyze the potential risks for some positions.
PS: I started to use DudeTooth's great SPAN tool (EXCEL version) last December.

The image is attached here.

Thanks for your help.

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  #304 (permalink)
 ron99 
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The 2014 data was archived to a different folder than 2015 data.

You need to go here ftp://ftp.cmegroup.com/pub/span/data/cme/ and go the 2014 folder to get what you need and put them in your C:\Span4\Data folder (unzipped)

You want the ones with the "s" in them. For example
cme.20140919.s.pa2.zip

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  #305 (permalink)
 daydayup8 
tennessee/USA
 
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Thank you RON, I will try to see what I can get.
I am trying to do the research like you. Thanks again.

Edit: Mission accomplished, thanks to Dudetooth and Ron!


ron99 View Post
The 2014 data was archived to a different folder than 2015 data.

You need to go here ftp://ftp.cmegroup.com/pub/span/data/cme/ and go the 2014 folder to get what you need and put them in your C:\Span4\Data folder (unzipped)

You want the ones with the "s" in them. For example
cme.20140919.s.pa2.zip


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  #306 (permalink)
CafeGrande
St Paul, MN, USA
 
 
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FYI, I think there is an error in the ICE (NYBOT) file for today, June 24 p.m.

I went to the CME's FTP site to download it directly and it's about half its normal size.

Using the 'direct' method or the file that Dudetooth's application downloads, I didn't have any luck getting NYBOT softs to update.

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  #307 (permalink)
 Dudetooth 
Steubenville Ohio
 
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CafeGrande View Post
FYI, I think there is an error in the ICE (NYBOT) file for today, June 24 p.m.

I went to the CME's FTP site to download it directly and it's about half its normal size.

Using the 'direct' method or the file that Dudetooth's application downloads, I didn't have any luck getting NYBOT softs to update.

It appears as though the pa2 file is missing the Type 81 and 82 records for option contracts. All the other data appears to be there. Hopefully they'll re-post a correct file before too long.

In the mean time you could download the nyb.20150624.x.pa2.zip file and rename it. The risk arrays appear to be the same as the s.pa2 and from my understanding of ICE's memo, the only difference should be in the inter-exchange spread records, which would have no affect for our purposes.

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  #308 (permalink)
CafeGrande
St Paul, MN, USA
 
 
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Dudetooth View Post
It appears as though the pa2 file is missing the Type 81 and 82 records for option contracts. All the other data appears to be there. Hopefully they'll re-post a correct file before too long.

In the mean time you could download the nyb.20150624.x.pa2.zip file and rename it. The risk arrays appear to be the same as the s.pa2 and from my understanding of ICE's memo, the only difference should be in the inter-exchange spread records, which would have no affect for our purposes.

Ah! Those darn Type 81 records. I should have known.

Thanks for the quick response!

ETA: I'm pretty sure they fixed it already (there's a 7:49 pm CT update). They must be watching us.

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  #309 (permalink)
 ron99 
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I just downloaded the nyb file just now and it appears to be OK. The unzipped file size is 648 KB. The file size for yesterday is 647 KB. The zipped file is 104 KB. Yesterday it was 104 KB.


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  #310 (permalink)
 SMCJB 
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https://www.theice.com/publicdocs/clear_us/notices/15-059_Production_Parallel_of_ICE_SPAN.pdf

On August 20, 2015, ICE Clear US (ICUS) will implement a major
system release (Version 7.9) that impacts its margining
methodology. The format of the ICUS array files will change to
match the SP6 format currently produced for ICE Clear Europe
products.

Beginning Monday, July 27, 2015 a production parallel of the
new SPAN arrays will be conducted. Each day the GCM files
used to calculate clearing member margin requirements in
production will be used to calculate margins using the SP6
formatted array files from ICE SPAN.

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  #311 (permalink)
 ron99 
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Quoting 
ICUS originally announced it would provide the legacy SPAN arrays for up to two weeks after the implementation date of August 20. To aid the clearing members with their transition to the new SP6 formatted array files, ICUS will extend the timeframe for the availability of the legacy SPAN array files until September 11, 2015. Please keep in mind that effective with the business of August 21, 2015, ICUS will margin the GCM files submitted by the clearing members using ICE SPAN and the SP6 formatted array files.

https://www.theice.com/publicdocs/clear_us/notices/15-063_Production_of_Legacy_SPAN_Array_Files.pdf

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  #312 (permalink)
 Dudetooth 
Steubenville Ohio
 
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Has anyone taken a look at a SP6 file?

I was hoping to find a way to get XLS-SPAN to be able to use SP6 SPAN files. I've peeked at a couple and it looks like most of the information needed is in there.

The one issue I'm seeing is the expiration date. All dates in ICE's SP6 have just the year and month with the day as 0s (i.e. 20150900). Without the correct expiration date from the SP6, DTE would have to be calculated by rules (i.e. finding the first Friday of the month preceding the contract month). Of course, each commodity in ICE seems to have different rules for the last trade date.

I'd rather not go down the road of calculating DTE based on rules, but that might be the only course. That is, unless I'm missing something ... and I hope I am.

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  #313 (permalink)
 SMCJB 
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August 12, 2015
NOTICE 15-065
Release 7.9 – Use of ICE Span and Legacy SPAN Array Files in PC-SPAN1


On August 20, 2015, effective for the business of August 21, 2015, ICE Clear US (ICUS) will implement a system release (Version 7.9). The primary impact of this release is the replacement of CME SPAN with ICE SPAN. Refer to CM Notice # 15-063. Anyone who will be processing the newly formatted SP6 array files in CME PC SPAN must download an updated version of the CME SPAN organizational master.

The updated PC-SPAN organizational master is available for download through the CME Group's web site or can be accessed directly by clicking here. The file should be downloaded to the C:/Span4/Master directory on the computer running PC-SPAN. If you have questions or need assistance with downloading the updated PC-SPAN organizational master, please contact Bruce Domash, Risk Director at 312-836-5709, or Mark Duce at 312-836-6713.
FOR MORE INFORMATION
ICE Clear US
ICEClearUS@theice.com
(212) 748-4001
(312) 836-6777


https://www.theice.com/publicdocs/clear_us/notices/15-065_Release_7.9_Use_of_ICE_Span_and_Legacy_Span_Array_Files.pdf

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  #314 (permalink)
 SMCJB 
Legendary Market Wizard
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https://www.theice.com/publicdocs/clear_us/notices/15-069_Release_7.9_SPAN_Margining.pdf


August 19, 2015
NOTICE 15/069
Release 7.9 SPAN Margining
On August 20, 2015, effective for the business of August 21, 2015, ICE Clear US (ICUS) will implement a system release (Version 7.9). The primary impact of this release is the replacement
of CME SPAN1 with ICE SPAN. Refer to CM Notice # 15-063.
Clearing members should be aware of the following:
• The rounding routine of the new system will result in minor changes to the margin requirements of several soft agricultural commodities and FX inter-commodity spread credits. Butterfly spreads and inter-exchange spreads will no longer be available in ICE SPAN.
• The format of the ICE Clear US array files will change to match the SP6 format currently produced for ICE Clear Europe products. All margin parameter information will be available in a Comma Separated Value (CSV) format. SPAN margin parameters for ICE Clear US products will be contained in the following four files:
1. Scanning Ranges and Tiering
2. Inter-Month Spread Charge Rates
3. Strategy Spread Charge Rates
4. Inter-Commodity Spread Credit Rates
• To process the newly formatted SP6 array files in CME PC SPAN, the updated version of the CME SPAN organizational master must be download. The updated PC-SPAN organizational master is available through the CME Group's web site or can be accessed directly by clicking here. The file should be downloaded to the C:/Span4/Master directory on the computer running PC-SPAN.
• Clearing firms may continue to use the legacy version of the array files after implementation on August 20, 2015, however, effective with the business of August 21, 2015, ICE Clear US will margin the GCM files submitted by the clearing members using ICE SPAN and the SP6 formatted array files. The SPAN arrays in the legacy format will continue to be produced until September 11, 2015. The separate array file that includes inter-exchange spreads is being eliminated.

Listed below are sources of both legacy PA2 and SP6 SPAN array files effective August 21, 2015.
Legacy Array Files
The legacy PA2 version of the array files will be available at:
• CME FTP site https://ftp://ftp.cmegroup.com/span/data/nyb/ using the same naming convention: nyb.yyyymmdd.x(e or s).pa2.zip
• The production version of MFT in the pub/span folder using the same naming convention as the CME FTP site.
• ICE Clear US website: https://www.theice.com/clear-us/risk-management
SP6 Formatted Array Files
The SP6 version of the array files will be available at:
• The production version of MFT in the pub/span folder using the following naming convention: NYBmmddF(or E).SP6 (or csv).zip.
• CME FTP site https://ftp://ftp.cmegroup.com/span/data/nyb/ using the same naming convention as production MFT.
• ICE Clear US website: https://www.theice.com/clear-us/risk-management

FOR MORE INFORMATION
ICE Clear US
ICEClearUS@theice.com
(212) 748-4001
(312) 836-6777

1 SPAN® is a registered trademark of Chicago Mercantile Exchange Inc., used herein under license. Chicago
Mercantile Exchange Inc. assumes no liability in connection with the use of SPAN by any person or entity.

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  #315 (permalink)
djay
Hyderabad
 
 
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Hi,

I am sure this question would have been answered somewhere in this thread, but couldnt figure it out.

It is pretty simple question actually, but have burned enough hours on it

How do I know margin for a particular future contract.

I have PC SPAN, I have spn file.

I do not have position file.

Any help is appreciated.

Regards
D'jay

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  #316 (permalink)
 ron99 
Market Wizard
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When you say PC SPAN is that the CME program or the spreadsheet from this thread?

I don't think you can get futures margin from this spreadsheet.

Here are margins at CME.

https://www.cmegroup.com/clearing/margins/outright-vol-scans.html

Multiply Maintenance times 1.1 to get Initial Margin.

Here are ICE margins

https://www.theice.com/publicdocs/futures_us_reports/all/Futures_US_Margin_Requirements.pdf

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  #317 (permalink)
djay
Hyderabad
 
 
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Hi,

PC-SPAN I am talking abt is the CME application.

I actually trade in India on NSE. The Exchange does provide the span file, but there is no authentic source for margin amount. What broker says you pay.

So I am trying to decode the span file using PC-SPAN but it doesnt show me the margin amount

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  #318 (permalink)
 Dudetooth 
Steubenville Ohio
 
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Updated 8/31/2015: Historic Tracking now accomplished through Tracking Tab.

For Historic Tracking of positions, including spreads, enter your positions in columns A-E on the Tracking Tab. All options in a specific spread should have the same number in column F.

Cell G1 has current/start date ... H1 has the end date. When you click Track Historic the data is calculated for each day and saved over to the HistData Tab. To view the results check out the HistPivot Tab.

Attached Files
Register to download File Type: xls XLS-SPAN (04c).xls (567.5 KB, 15 views)
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  #319 (permalink)
 ron99 
Market Wizard
Cleveland, OH
 
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Dudetooth View Post
Updated 8/31/2015: Historic Tracking now accomplished through Tracking Tab.

For Historic Tracking of positions, including spreads, enter your positions in columns A-E on the Tracking Tab. All options in a specific spread should have the same number in column F.

Cell G1 has current/start date ... H1 has the end date. When you click Track Historic the data is calculated for each day and saved over to the HistData Tab. To view the results check out the HistPivot Tab.

Thank you so much!

I do see one problem. The result on HistPivot for the first line for Average Position IM is half of what it should be. The rest are OK.

EDIT I notice that there is a zero price in AC3 on the HistData tab. That is what is throwing off the first line for Average Position IM.

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  #320 (permalink)
 Dudetooth 
Steubenville Ohio
 
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ron99 View Post
Thank you so much!

I do see one problem. The result on HistPivot for the first line for Average Position IM is half of what it should be. The rest are OK.

EDIT I notice that there is a zero price in AC3 on the HistData tab. That is what is throwing off the first line for Average Position IM.

This should take care of those issues:
1. Go to the HistPivot Tab
2. Click cell A1 ... you should see the PivotTable Fields window open on the right side of the tab (if not click Analyze under the PivotTable Tools tab at the very top right of the Excel window ... click Field List on the far right)
3. In the bottom right of the PivotTable Fields under values, click on Average of Pos Net Value and select Value Field Settings
4. In the new window select Sum and click OK
5. Repeat for Pos IM and Current Pos P/L

The 0 you saw at AC3 is normal. When calculating a spread only one line should have Pos Net Value, Pos IM and Current Pos P/L values ... they are the combined values for the spread and are only populated on one line. For some reason the code adds 0 for some of those on the first day of the Historical Tracking, but then blank afterwards.

I hope this makes sense.

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  #321 (permalink)
 Dudetooth 
Steubenville Ohio
 
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djay View Post
Hi,

PC-SPAN I am talking abt is the CME application.

I actually trade in India on NSE. The Exchange does provide the span file, but there is no authentic source for margin amount. What broker says you pay.

So I am trying to decode the span file using PC-SPAN but it doesnt show me the margin amount

@djay,

I have not been able to get the latest version of PC-SPAN to work properly so I'm not positive, but from the picture you included it looks like you may not have loaded any positions into your portfolio.

Check out the CME's User Guide for PC-SPAN: https://www.cmegroup.com/confluence/display/pubspan/Use+PC-SPAN

They are not the most user-friendly, but they will walk you through the process.

Hope this helps.

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  #322 (permalink)
 Dudetooth 
Steubenville Ohio
 
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Dudetooth View Post
This should take care of those issues:
1. Go to the HistPivot Tab
2. Click cell A1 ... you should see the PivotTable Fields window open on the right side of the tab (if not click Analyze under the PivotTable Tools tab at the very top right of the Excel window ... click Field List on the far right)
3. In the bottom right of the PivotTable Fields under values, click on Average of Pos Net Value and select Value Field Settings
4. In the new window select Sum and click OK
5. Repeat for Pos IM and Current Pos P/L

The 0 you saw at AC3 is normal. When calculating a spread only one line should have Pos Net Value, Pos IM and Current Pos P/L values ... they are the combined values for the spread and are only populated on one line. For some reason the code adds 0 for some of those on the first day of the Historical Tracking, but then blank afterwards.

I hope this makes sense.

I just updated the attachment in the prior post if you don't want to bother with these instructions.

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  #323 (permalink)
arno
Tallinn Estonia
 
 
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Hi @Dudetooth

There's a small bug in risk module line 198 that prevents scanning. "Scanner!G1" has a missing 'c' character.

Regards

Arno

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  #324 (permalink)
 ron99 
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The value for grain options is off on this new version.

Here is what I get with my old version (a couple of versions before the last one prior to yesterday) The value is correct at $25. Settlement price was 0.5. Or 4 ticks. 4/8.



Here is what I get with the new version. I also included PC-SPAN.



Any ideas what is happening?
Thanks
Ron

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  #325 (permalink)
djay
Hyderabad
 
 
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@Dudetooth, Thank you for responding back. I am trying to get the margin requirement of a particular futures contract without position. I am hoping I will find a way to get that in PC-SPAN.

Apart from that, I am also unable to create Portfolio in PC-SPAN. I get a error "Attempted an unsupported operation" when I tab into Positions tab in "New Portfolio"

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  #326 (permalink)
 Dudetooth 
Steubenville Ohio
 
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ron99 View Post
Any ideas what is happening?

Juggling versions and a small fix for the grain prices was missed ... I thought that I was modifying the latest XLS-SPAN.

I can get a fix to take care of that along with the error @arno found in a day or so.

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  #327 (permalink)
 Dudetooth 
Steubenville Ohio
 
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djay View Post
@Dudetooth, Thank you for responding back. I am trying to get the margin requirement of a particular futures contract without position. I am hoping I will find a way to get that in PC-SPAN.

Apart from that, I am also unable to create Portfolio in PC-SPAN. I get a error "Attempted an unsupported operation" when I tab into Positions tab in "New Portfolio"

@djay,

That is the same error I've been getting. Either their latest version has a bug, or they changed something in the procedures that I'm missing.

You may want to try uninstalling and reverting back to the previous version.

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  #328 (permalink)
 Dudetooth 
Steubenville Ohio
 
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I didn't want to keep making new posts for the fixes, but I can no longer edit my previous post and I can't manage attachments on the quick summary post. If there is a better way to manage the file please let me know.

Here is the fixed version of 04c:
-Risk module date reference for Scanner
-Grain price

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CafeGrande
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Dudetooth View Post
I didn't want to keep making new posts for the fixes, but I can no longer edit my previous post and I can't manage attachments on the quick summary post. If there is a better way to manage the file please let me know.

Here is the fixed version of 04c:
-Risk module date reference for Scanner
-Grain price


Hi - Are these files "independent" in that a person could download version 4c, get some data, play around with the new historical feature, and not interfere with downloads and analysis in their existing version which they've been using for a year or more?

Note: I realize the Excel files will need different names and maybe both shouldn't be open at the same time.

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 Dudetooth 
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CafeGrande View Post
Hi - Are these files "independent" in that a person could download version 4c, get some data, play around with the new historical feature, and not interfere with downloads and analysis in their existing version which they've been using for a year or more?

Note: I realize the Excel files will need different names and maybe both shouldn't be open at the same time.

Absolutely. All it needs is access to the unzipped pa2 files. As long as your other spreadsheet is not named the same you can have both open at the same time, but you'll only be able to run code in one of them at a time.

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 ron99 
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Dudetooth View Post
I didn't want to keep making new posts for the fixes, but I can no longer edit my previous post and I can't manage attachments on the quick summary post. If there is a better way to manage the file please let me know.

Here is the fixed version of 04c:
-Risk module date reference for Scanner
-Grain price

Thank you for the fix.

I believe Big Mike was changing forum software yesterday and that is probably why you couldn't add the new spreadsheet to post#2.

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 ron99 
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Here are some mods I made to the new XLS-SPAN. I added columns AI:AM to the HistData tab. The 3 in cell AI1 is my excess factor. 3 for IMx3. (note the report blanks anything you put in cells AI2+ so you need to leave them blank.)



I then added columns, B, D, F & G, to the HistPivot tab.



Delta gives you the net delta for a position. Formula is =F2*Q2*-1 for cell AJ2 and then copy and paste for all rows that have data.

Premium$ gives you the correct number. Position Net Val had a wrong number for the first date. Formula is =U2*F2*-1

Draw down and Acct Bal for IM were new columns I use when analyzing a position.
Draw Down formula is =IF(ISBLANK(AG2),0,AG2/(AB2*AI$1))
Acct Bal for IM formula is =IF(ISBLANK(AG2),0,(AC2+(AG2*-1))/(AB2*AI$1))

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 Dudetooth 
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ron99 View Post
Position Net Val had a wrong number for the first date.

Found the issue. The sub for copying the entry data on the first day had two lines that shouldn't be in there.

If you go to the sub AddToPortfolio in the Risk module, towards the bottom you will see the lines:
Range("X" & x) = Range("V" & x) * -(Range("E" & x))
Range("AB" & x) = Range("Z" & x) * -(Range("E" & x))

Remove both and you should lines and you should no longer see that issue with the first day's Pos Net Val.

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uuu1965
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ron99 View Post
Here are some mods I made to the new XLS-SPAN. I added columns AI:AM to the HistData tab. The 3 in cell AI1 is my excess factor. 3 for IMx3. (note the report blanks anything you put in cells AI2+ so you need to leave them blank.)



I then added columns, B, D, F & G, to the HistPivot tab.



Delta gives you the net delta for a position. Formula is =F2*Q2*-1 for cell AJ2 and then copy and paste for all rows that have data.

Premium$ gives you the correct number. Position Net Val had a wrong number for the first date. Formula is =U2*F2*-1

Draw down and Acct Bal for IM were new columns I use when analyzing a position.
Draw Down formula is =IF(ISBLANK(AG2),0,AG2/(AB2*AI$1))
Acct Bal for IM formula is =IF(ISBLANK(AG2),0,(AC2+(AG2*-1))/(AB2*AI$1))

Hi,
first: thanks Dudetooth for new spreadsheet and Ron for update.
One question:
On 2015.09.02. there are such numbers:
IM for calendar spread ESX5 P1990 (-1)/ESV5 P1890 (+1) = 1203 $
IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) = 990 $
Is thats correct?

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 Dudetooth 
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uuu1965 View Post
Hi,
first: thanks Dudetooth for new spreadsheet and Ron for update.
One question:
On 2015.09.02. there are such numbers:
IM for calendar spread ESX5 P1990 (-1)/ESV5 P1890 (+1) = 1203 $
IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) = 990 $
Is thats correct?

Yes ... the extra P1740 does provide that much coverage which is why there isn't much of a drop in the margin.

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uuu1965
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Dudetooth View Post
Yes ... the extra P1740 does provide that much coverage which is why there isn't much of a drop in the margin.

But HistPivot sheet shows 1978.9$ IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) on 2015.09.02. (when I use "Trach Historic" function from 2015.08.10 to 2015.09.02)

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 Dudetooth 
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uuu1965 View Post
But HistPivot sheet shows 1978.9$ IM for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) on 2015.09.02. (when I use "Trach Historic" function from 2015.08.10 to 2015.09.02)

I'm not sure what happened for you ... I just ran those positions for those days and am not sure where $1978.9 would have come from. Do all of the positions for that spread have the same number in the F column?



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 ron99 
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I have found that if I don't clear the tracker sheet before rerunning something on Tracker I sometimes get numbers that are incorrect. I don't know the pattern yet of when it is OK and when it is not.

Or maybe it was when I didn't clear the HistData sheet.

I do remember it was after rerunning spreads with slight changes.

Sorry I should have kept track of what happened when I saw problems.

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uuu1965
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Dudetooth View Post
I'm not sure what happened for you ... I just ran those positions for those days and am not sure where $1978.9 would have come from. Do all of the positions for that spread have the same number in the F column?



O, sorry, there was something wrong with my computer (after restart all is OK).
But anyway I`m suprised about IM decrease for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1). For calendar ratio spread I always use the same IM as for calendar spread (in this case ESX5 P1990 (-1)/ESV5 P1890 (+1)).

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 ron99 
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uuu1965 View Post
O, sorry, there was something wrong with my computer (after restart all is OK).
But anyway I`m suprised about IM decrease for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1). For calendar ratio spread I always use the same IM as for calendar spread (in this case ESX5 P1990 (-1)/ESV5 P1890 (+1)).

The 1740 long decreases the possible loss below 1740. So a lower IM because of reduced possible loss.

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 Dudetooth 
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ron99 View Post
I have found that if I don't clear the tracker sheet before rerunning something on Tracker I sometimes get numbers that are incorrect. I don't know the pattern yet of when it is OK and when it is not.

Or maybe it was when I didn't clear the HistData sheet.

I do remember it was after rerunning spreads with slight changes.

Sorry I should have kept track of what happened when I saw problems.

It's the PivotTable. I haven't played that much with them, but if you made the change that I mentioned earlier about changing the display of the value to be the Sum of the position instead of the Average, and you run multiple Historical Tracks any options that have the same S1 value will have their values summed for those dates.

If you want to run multiple Historical Tracks and have them all displayed in the Pivot Table you should be able to keep things separated by making sure each spread has a different S1 value ... so, if you test 3 spreads on you first Historical Track, you use 1-3 in the S1 column. When you Historically Track the next 3 spreads use 4-6 in the S1 column.

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uuu1965
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ron99 View Post
The 1740 long decreases the possible loss below 1740. So a lower IM because of reduced possible loss.

I just finish research for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) during last big drop.
1. No Margin Call during 227,70 point drop of ES
2. Option Value continue to rise (loss increase) while ES price is higher (1938.3) then on 08/24 (1862,3)

I don`t understand this moment....

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 ron99 
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Dudetooth View Post
It's the PivotTable. I haven't played that much with them, but if you made the change that I mentioned earlier about changing the display of the value to be the Sum of the position instead of the Average, and you run multiple Historical Tracks any options that have the same S1 value will have their values summed for those dates.

If you want to run multiple Historical Tracks and have them all displayed in the Pivot Table you should be able to keep things separated by making sure each spread has a different S1 value ... so, if you test 3 spreads on you first Historical Track, you use 1-3 in the S1 column. When you Historically Track the next 3 spreads use 4-6 in the S1 column.

Yes I know about and used different S1 numbers for each run. Or I clear the HistData sheet before the next run.

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 Big Mike 
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ron99 View Post
Thank you for the fix.

I believe Big Mike was changing forum software yesterday and that is probably why you couldn't add the new spreadsheet to post#2.

No changes made to forum.

Attachments are not allowed in quick summary posts. Instead, just post the new attachment in a regular post, then link to it in post #2.

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 ron99 
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Big Mike View Post
No changes made to forum.

Attachments are not allowed in quick summary posts. Instead, just post the new attachment in a regular post, then link to it in post #2.

Mike

???

There are attachments in there now.

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 ron99 
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uuu1965 View Post
I just finish research for calendar ratio spread ESX5 P1990 (-1)/ESV5 P1890 (+1)/ESV5 P1740(+1) during last big drop.
1. No Margin Call during 227,70 point drop of ES
2. Option Value continue to rise (loss increase) while ES price is higher (1938.3) then on 08/24 (1862,3)

I don`t understand this moment....

Oct long prices are dropping faster than Nov short prices.

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 Big Mike 
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ron99 View Post
???

There are attachments in there now.

Best I can tell, the attachments are only LINKED in quick summary post #2. They aren't actually attached to that post.

It's the same as I was suggesting, just post them elsewhere, then link to them.

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djay View Post
@Dudetooth, Thank you for responding back. I am trying to get the margin requirement of a particular futures contract without position. I am hoping I will find a way to get that in PC-SPAN.

Apart from that, I am also unable to create Portfolio in PC-SPAN. I get a error "Attempted an unsupported operation" when I tab into Positions tab in "New Portfolio"

@djay

If you happened to be running the 64-bit version of PC-SPAN v5.88, try uninstalling it and installing the 32-bit version. I have a 64-bit machine/OS and could not get the 64-bit version of PC-SPAN to work ... kept getting the error "Attempted an unsupported operation". The 32-bit version works just fine.

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 Dudetooth 
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Here's the latest version of the XLS-SPAN spreadsheet.

Thanks to @ron99 who had the idea to reduce the CME pa2 files to only the products that someone would be interested in to reduce the scan time when backtesting. He also got the code started ... I just put the finishing touches on the code and added it to the spreadsheet.

Section 2 on the Setup tab covers the details ... just let me know if you have any questions.

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quantboy
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Is there a way to programmatically export the Period Delta report into excel without actually manually running the report in PC-SPAN

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mdavis
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Anyone know where the CME documents the release times for the various intraday Span files or the differences between the files other than time-of-day?

I need use the most current file and thought a specific version was released only once per day. But now I notice that today's *.a.pa2 file was updated at least once this morning after I downloaded it earlier so I'm no longer using the current version of *.a.pa2.

Also, *.BE.pa2 files started showing up recently. Anyone know what those are?

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 ron99 
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mdavis View Post
Anyone know where the CME documents the release times for the various intraday Span files or the differences between the files other than time-of-day?

I need use the most current file and thought a specific version was released only once per day. But now I notice that today's *.a.pa2 file was updated at least once this morning after I downloaded it earlier so I'm no longer using the current version of *.a.pa2.

Also, *.BE.pa2 files started showing up recently. Anyone know what those are?

I don't think the CME keeps to a strict schedule as far as time.

Here is their description of the files.



https://www.cmegroup.com/clearing/files/Loading_a_Risk_Array_File.pdf

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uwevoelker
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Is the format documented somewhere?

Let's look at the E-Mini January 2016 1575 Put (data files are from October 16th):

81CMEEW ES OOFP201603 201601 000157500414-00234+00306-00248+00541-00213+00213-00258+00689-00000000000570N

82CMEEW ES OOFP201603 201601 000157500184+00134-00265+00859-00143+00084+00508-00422-002802650000570++00426-C

How can I calculate the IM out of this?


PS: I'm using a Mac, unfortunately the Excel file is not working with "Excel for Mac".

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 Dudetooth 
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uwevoelker View Post
Is the format documented somewhere?

@uwevoelker

CME describes the information that is in record type within the pa2 file (what you posted was the Type 81 and Type 82 records):
https://www.cmegroup.com/confluence/display/pubspan/Risk+Parameter+File+Layouts+for+the+Positional+Formats

And they have a brief description of the methodology, but it's a little bare:
https://www.cmegroup.com/clearing/span-methodology.html

I can break it down for you in a little more detail, but unfortunately it's not as simple as finding the two lines for an option. You'll need several more lines from the pa2 file to be able to calculate the initial margin.

Are you looking to code this on a Mac?

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uwevoelker
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Thanks @Dudetooth, I will have a look into the documentation.

If you don't mind, I would appreciate if you could break it down in a little more detail, perhaps with an example.

Yes, I'm looking into coding this. Depending on complexity maybe not all parts, but I consider correct IM for simple short options as the minimum. I'm coding in Go, so the code will not be Mac specific. Ideally I would like to offer a web service, so that also others can us it. But I assume CME does not allow this. Open sourcing the library code would be another option.

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 Dudetooth 
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uwevoelker View Post
I would appreciate if you could break it down in a little more detail, perhaps with an example.

@uwevoelker

I added a simplistic explanation of the SPAN process as a PDF (I don't think I would have been able to figure out how to format it properly as a normal post). Let me know if you have any questions.


uwevoelker View Post
Ideally I would like to offer a web service, so that also others can us it. But I assume CME does not allow this. Open sourcing the library code would be another option.

If you haven't already seen CME's Quickstrike, you may want to check out if you want a web-based method for calculating margin.

Hope this helps.

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yihanxu
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Hello Dudetooth,

I came across your SPAN process document and that was a great help for me!

I am having issue with the Type 3 "Combined Commodity Code". It looks like the exchange and product code are joint together? However, when I am trying to find the ES S&P Emini in the file, I can't seem to find the logic behind and was not sure which line should be correct.

If there is any information on website etc that I can refer to, please share with me as I have many exchanges to handle.

Thank you very much!


Dudetooth View Post
enderqa,

Here's my attempt to break down the SPAN process. Hope it helps.

***Edit: A few minor edits ... I guess I should have read through the CME material a little more closely before I posted this. I think I have everything correct now.


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 Dudetooth 
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yihanxu View Post
Hello Dudetooth,

I came across your SPAN process document and that was a great help for me!

I am having issue with the Type 3 "Combined Commodity Code". It looks like the exchange and product code are joint together? However, when I am trying to find the ES S&P Emini in the file, I can't seem to find the logic behind and was not sure which line should be correct.

If there is any information on website etc that I can refer to, please share with me as I have many exchanges to handle.

Thank you very much!

CME's website has some info on the process (I think ICE has a better description of the process), but not a lot of details about the actual codes used within the pa2 file.

For ES this is what the beginning of the line will look like for the following Record Types:
Type P: "P CMEES OOF"
Type 3: "3 SP 1001"
Type 4: "4 SP "
Type B: "B CMEES "
Type 8 for the futures contract: "82CMEES ES FUT"
Type 8 for the option contract: "82CMEES ES OOF"

***Note: the number of spaces does not show up properly in the post, for example between the "3" and "SP" there is 1 space, between the "SP" and "1001" there are 4 spaces.

If you are looking at several exchanges you will need to find the appropriate product codes for all the commodities you are looking to track.

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uwevoelker
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I noticed the same (ES missing). Apparently you have to use SP. Is this somewhere encoded in the data?

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 Dudetooth 
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uwevoelker View Post
I noticed the same (ES missing). Apparently you have to use SP. Is this somewhere encoded in the data?

It looks like the Type 2 Record in the pa2 lists family of products, though I have never actually broke this record down before.
https://www.cmegroup.com/confluence/display/pubspan/Type+2+-+Expanded

There is an order to the records, so the Type 1 that is the exchange will show up first, then multiple Type 2s under that Type 1 for every family of products within that exchange.

Here's SP's Type 2 Records:
"2 CME SP 0USD$PN SP FUT SP OOF YP OOF EV OOF XP OOF YP1 OOF"
"2 CME SP 0USD$PN EV1 OOF EV2 OOF EV4 OOF EV5 OOF ES FUT ES OOF"
"2 CME SP 0USD$PN 7S OOF EW OOF EW1 OOF EW2 OOF EW4 OOF EW5 OOF"

"ES FUT" for the ES futures contracts, "ES OOF" for the ES option contracts.

Type 3 & type 4 Records relate to the family of products, hence "3 SP" rather than "3 ES". You still will need to know the product codes within the family of products to track down the options.

I suppose it could be programmed to extract the data, but it doesn't look that easy.

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uuu1965
Riga Latvia
 
 
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@Dudetooth

Hi,
I use XLS-SPAN for such position:
HEJ6 C66 -3
HEG6 C60 +3
HEG6 C61 -3
HEG6 C66 +3

and get 1752$.
But CME's PC-SPAN (and Zaner platform) shows 2439$.

Would you help?

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  #362 (permalink)
 Dudetooth 
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uuu1965 View Post
@Dudetooth

Hi,
I use XLS-SPAN for such position:
HEJ6 C66 -3
HEG6 C60 +3
HEG6 C61 -3
HEG6 C66 +3

and get 1752$.
But CME's PC-SPAN (and Zaner platform) shows 2439$.

Would you help?

@uuu1965,

I'll need a little more information in order to see if I can help.

What version of the spreadsheet are you using?

What day did you calculate for?

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  #363 (permalink)
 ron99 
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Dudetooth View Post
@uuu1965,

I'll need a little more information in order to see if I can help.

What version of the spreadsheet are you using?

What day did you calculate for?

He's probably in bed now but I got the same result 1752 using 1/07/16 files and using XLS-SPAN 04d. I tried using both the reduced version of the CME file and the full file. Same result.


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 Dudetooth 
Steubenville Ohio
 
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ron99 View Post
He's probably in bed now but I got the same result 1752 using 1/07/16 files and using XLS-SPAN 04d. I tried using both the reduced version of the CME file and the full file. Same result.


@uuu1965 & @ron99

I found the issue. For certain markets there are additional charges assessed for intra-commodity spreads. I've found that this is true for at least meats and grains ... other markets like ES do not get these additional charges.

In the spread mentioned earlier the worst risk scenario was $1593 * 1.1 = $1752 for IM as seen in the spreadsheet. My spreadsheet unfortunately does not handle the intra-commodity spread charges. In this scenario those charges were $624, so ($1593 + $624) * 1.1 = $2439.

I haven't even looked at trying to figure out how to code the intra-commodity spread charges. Sorry, but my spreadsheet won't be of much use in these markets.

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uuu1965
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Dudetooth View Post
@uuu1965 & @ron99

I found the issue. For certain markets there are additional charges assessed for intra-commodity spreads. I've found that this is true for at least meats and grains ... other markets like ES do not get these additional charges.

In the spread mentioned earlier the worst risk scenario was $1593 * 1.1 = $1752 for IM as seen in the spreadsheet. My spreadsheet unfortunately does not handle the intra-commodity spread charges. In this scenario those charges were $624, so ($1593 + $624) * 1.1 = $2439.

I haven't even looked at trying to figure out how to code the intra-commodity spread charges. Sorry, but my spreadsheet won't be of much use in these markets.

Lesson for me: always check the various source (and first: your broker)! Anyway your spreadsheet is excellent!
I would ask about "... the worst risk scenario...": does it mean that IM have preset values (f.e., if I have short ESH6 P 1950 and ES close at 1932 on 01/07, IM is 4236$ and if ES close at 1911 on 01/08 the same position IM is 4326$)? In others words: can I in advance to know IM of my positions at certain levels of commodity?

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  #366 (permalink)
 Dudetooth 
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uuu1965 View Post
Lesson for me: always check the various source (and first: your broker)! Anyway your spreadsheet is excellent!
I would ask about "... the worst risk scenario...": does it mean that IM have preset values (f.e., if I have short ESH6 P 1950 and ES close at 1932 on 01/07, IM is 4236$ and if ES close at 1911 on 01/08 the same position IM is 4326$)? In others words: can I in advance to know IM of my positions at certain levels of commodity?

When SPAN is calculated there are 16 different scenarios that they run for risk assessments that include changes in prices and/or volatility. It is a best guess according to the exchanges of how far a position can go against you in the next trading day based on the recent past price action.

Check out CME's SPAN Methodology for more detail https://www.cmegroup.com/clearing/files/span-methodology.pdf

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 ron99 
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Looks like no more ICE (nyb) array files as of March 1st. @Dudetooth, any ideas?

https://www.theice.com/publicdocs/clear_us/notices/16-005_Legacy_SPAN_File_to_be_Eliminated_Feb_29.pdf

Location of new files

https://www.theice.com/clear-us/risk-management

I'm assuming the SP6 files can't be used like we used the PA2 files.

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 Dudetooth 
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ron99 View Post
Looks like no more ICE (nyb) array files as of March 1st. @Dudetooth, any ideas?

https://www.theice.com/publicdocs/clear_us/notices/16-005_Legacy_SPAN_File_to_be_Eliminated_Feb_29.pdf

Location of new files

https://www.theice.com/clear-us/risk-management

I'm assuming the SP6 files can't be used like we used the PA2 files.

That is correct ... the files types are quite different. I did take a look at cracking the SP6 files last year when they first started mentioning the switch. I'll see what I can do.

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 Dudetooth 
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If anyone is still interested in an XLS-SPAN fix for ICE's new SP6 format, I have some good news and some bad news.

Good news: I think I have a solution. ICE publishes the SPAN files as SP6 and CSV files. The CSV files are a lot easier to extract data from, but there are some down sides. For example, they no longer give an expiration date, so one has to be calculated in order to get DTE.

Bad news: Over the last year I have been working with a new spreadsheet and rewrote almost all of the main code addressing issues like calculating IM for portfolios/multi-legged spreads and futures. I worked through my solution for ICE's new risk files on the new spreadsheet. I looked, but it would be extremely difficult to rework the solution into the existing XLS-SPAN because the processes and layout are so different. I'm not sure I can commit the time and effort required into reinventing the wheel, especially when I've already reinvented it (so to speak).

More bad news: The new spreadsheet was a cooperative project with another individual. He is not inclined to share the spreadsheet publically.

Possible solution: I am willing to share the code I worked on (main calculations and functions). If there is interest, I can see about pulling out my portions of the code and put them in a bare-bones spreadsheet.

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 ron99 
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With ICE starting to charge too much for real time data ($110/month) on April 1st, I am inclined to tell you not to do the work to make this available to us because I suspect not many will be trading ICE products after April 1st.

I might be but not right away.

Are any other posters going to be trading ICE products after April 1st?

Thank you for all you have done so far Dudetooth! I use your spreadsheet every day.

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 myrrdin 
Legendary Market Wizard
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ron99 View Post
With ICE starting to charge too much for real time data ($110/month) on April 1st, I am inclined to tell you not to do the work to make this available to us because I suspect not many will be trading ICE products after April 1st.

I might be but not right away.

Are any other posters going to be trading ICE products after April 1st?

Thank you for all you have done so far Dudetooth! I use your spreadsheet every day.

Yes, I intend to sell options traded at ICE (currently KC, CT) after April 1st. For trade decisions, 15 minutes delayed charts are good enough. To enter the trade, brokers can assist.

Best regards, Myrrdin

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CafeGrande
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Dudetooth View Post
If anyone is still interested in an XLS-SPAN fix for ICE's new SP6 format, I have some good news and some bad news.

Fact of life for for-profit exchanges: data has become a large, predictable source of revenue and the margins are probably better than software or drugs. It's obviously not in their interest to give too much away in an easy-to-access time series.

I will continue to trade the tropical softs because they provide diversification, and except for currency relationships, are mostly immune to what's going on in the United States.

If you decide on the 'bare bones' path, I'd definitely try it. If anyone has ever purchased strike-by-strike options data (not just ATM IV or constant maturity ATM), it's expensive, and I really like seeing the margin by contract, not just a sum by product, which is what most brokerages provide.

Whatever you decide, THANK YOU again, for all of the hard work on the original (and updated) program. It's a gem!

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 SMCJB 
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There's always ICE's own trading platform WebICE. I'm not sure what the exact rules on it are, I know it's actually more expensive that what you are complaining about here, but, and thats a big but, I'm pretty sure commissions on trades done count towards the fee. Hence if you do enough business it ends up being free.

https://www.theice.com/technology/ice-trading-platform
https://www.theice.com/technology/internet-connection

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 ron99 
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SMCJB View Post
There's always ICE's own trading platform WebICE. I'm not sure what the exact rules on it are, I know it's actually more expensive that what you are complaining about here, but, and thats a big but, I'm pretty sure commissions on trades done count towards the fee. Hence if you do enough business it ends up being free.

https://www.theice.com/technology/ice-trading-platform
https://www.theice.com/technology/internet-connection

Are you sure about that? According to this
https://www.theice.com/publicdocs/data/Market_Data_Subscriber_Fees.pdf

I don't see anywhere stating commissions come off of fees.

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 SMCJB 
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ron99 View Post
Are you sure about that? According to this
https://www.theice.com/publicdocs/data/Market_Data_Subscriber_Fees.pdf

I don't see anywhere stating commissions come off of fees.

Your right @ron99 I apologize. All the ICE US (old NYBOT) products and the ICE Europe (old IPE & LIFFE) products are all in the montly date fee category. I don't trade any of these products but I do trade ICE's US Natural Gas products which are all S2F and do qualify for the offset. Strange they have to completely different setups!

WEBICE AND ICE FIX FEES – ICE FUTURES (NON SWAP TO FUTURES)
ICE Futures user accesses, both WebICE or ICE FIX, including Users, SuperUsers, Risk Managers and View Onlys, will be charged a monthly market data exchange fee per exchange group access, per month.

WEBICE AND ICE FIX FEES – SWAP TO FUTURES (S2F)
ICE S2F user accesses, both WebICE and ICE FIX, including Users, SuperUsers, Risk Managers and View Onlys, will be charged a monthly minimum commission fee, per exchange group access, per month.

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  #376 (permalink)
 Dudetooth 
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Here is XLS-SPAN (05 beta) … the bare-bones version I had mentioned earlier. The majority of the code has been reworked and in my opinion has better performance than the previous code.

A few notes:
-This was created to work with Excel 2007+ in the newer Excel format (.xlsm), but I had to rename it to an .xls file in order to upload it. It appears that it may still work correctly like this, but you may get an error about a corrupt file. I'd recommend renaming the file back to an .xlsm.

-In this spreadsheet I dropped all of the macro buttons and put the shortcuts in a custom ribbon. You should be able to see the XLS-SPAN tab in Excel 2007 and newer. For older versions, subs with “control As IRibbonControl” are the ones being executed from the custom ribbon shortcuts. You could turn them into normal subs and assign them to a button like in the previous version … e.g. change “Sub trackAllNow(control As IRibbonControl)” to “Sub trackAllNow()” and have a button assigned to it.

-Shortcuts in the Scan section of the ribbon are for use only on the Scan tab. Likewise, shortcuts in the Track section of the ribbon are for use only on the Track tab. The shortcuts in the Data, Adjust Date and Historic sections can be run on either the Scan or Track. The same is true for the shortcuts in the Edit section, but the erase function also works on the Hist_Data tab.

-This spreadsheet does not look pretty ... I just tried to keep the color coding similar to previous version. Green cells are the ones designed for user input. Blue cells are headers that are taken from a list. The code is looking for those exact names so you can’t customize the header names, but you can rearrange them in just about any order.

-On the Scan tab the first five column headers are your scan criteria. The only headers you should use here are the first 9 (Product through Max Prob). For the rest of the Scan tab and on the Track tab you can use any of the remaining 64 headers (Net through Spread cVega). Headers beginning with Entry, Position and Spread are used just on the Track tab. See Parameters tab for descriptions.

-Preference/settings items that used to be in the Setup tab are now in the Parameters tab.

-You can download CME risk files back to the beginning of 2013 and NYB risk files back to 20091008. In the Parameters tab you can select when you want to have your NYB files transition from PA2 to CSV in your archives. The soonest you can select is 20150821, latest 20160301. Leave NYB PA2 or CSV as CSV … it will try to open the CSV first and if it cannot find it the code will look for the PA2. That way you’ll still be able to look at older risk files with this selected.

-You also now have the ability to keep your risk files zipped and only unzip them when needed. Select Zip for the Saved Risk Data parameter. You can leave the file unzipped after you use it to speed things up a bit the next time you use it or have the code delete the unzipped file after use so you maintain only the zipped risk files in your archive. Use the Unzipped Risk parameter for this option.

-Ron’s CME reduction is also available for use.

-The date in cell A1 on the Scan and Track tabs is the primary for downloading one day’s risk files and running a scan or track for a single day. The date in cell D1 is used when downloading multiple days of risk files or running historical scans or tracks. If you only want to download risk files for one day make sure that D1 is empty or the same as A1, otherwise it treats it as a multiple download. When downloading multiple risk files you can do a year or so at a time and it will skip weekends and files that you already have downloaded.

-The Adjust Date shortcuts will work on the date in A1 regardless of what cell is selected with the exception of D1. If you have D1 selected then the Adjust Dates will change that date.

-Futures have limited tracking capabilities now. It can calculate the margin when in a spread with options, but the P/L tracking doesn’t seem to work correctly. Also, any number of positions can be put in the same spread for tracking complex spreads or looking at positions as a portfolio. The code can still not handle inter-commodity spreads and it does not calculate intra-commodity additional charges (products like LN have charges if the option expiration months in a spread belong to different tiers).

As always, there may be issues with the code. Just let me know and I'll try to fix it.

Enjoy.

Attached Files
Register to download File Type: xls XLS-SPAN (05 beta).xls (418.0 KB, 68 views)
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woodward
Seoul Korea
 
 
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First time poster.

@Dudetooth Incredible work. @ron99 Mad respect.

I was curious if anyone has been able to get their hands on the "SPAN for ICE Array File Formats" for the new CSV format.
I can't post the link because I'm first-timer but it is the same link as the fourth link on post #246. On that page, the link to the "SPAN for ICE Array File Formats" is in the last paragraph under Download SPAN files: Energy.

When I click on the link it takes me to the ICE Community to login. I tried to sign up to become a member but I was denied. No explanation offered. No administrator email address to contact. Not sure what the deal is there.

So if anyone is a member or if anyone got ahold of them, please share.

Mahalo.

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  #378 (permalink)
 SMCJB 
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woodward View Post
First time poster.

@Dudetooth Incredible work. @ron99 Mad respect.

I was curious if anyone has been able to get their hands on the "SPAN for ICE Array File Formats" for the new CSV format.
I can't post the link because I'm first-timer but it is the same link as the fourth link on post #246. On that page, the link to the "SPAN for ICE Array File Formats" is in the last paragraph under Download SPAN files: Energy.

When I click on the link it takes me to the ICE Community to login. I tried to sign up to become a member but I was denied. No explanation offered. No administrator email address to contact. Not sure what the deal is there.

So if anyone is a member or if anyone got ahold of them, please share.

Mahalo.

I have access to ICE Community and can tell you that when you request this document they tell you that it is unavailable. I have been an ICE User since 2000, when they initially launched ( click for some ICE history), back when it was the Enron Online alternative, before they bought the IPE and obviously before they bought the NYSE. I say this not to show off but to say I know a lot of people at ICE. I have tried to obtain a copy of this document from every source that I could use. The response is unanimous. The document is intended for FCMs only. I have also tried to get this document from my FCM and they won't give it to me either.

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woodward
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In that case, @Dudetooth or anyone else, if you have any quick and ready insights into the mysterious format that you'd be willing to share, it would be appreciated. I can always comb through your code but having the CME file formats on hand made everything so snappy.

Just out of curiosity, this thread goes back a while, after ICE raised its rates, @ron99 was skeptical in post #370 about anyone continuing to trade their instruments. How is that playing out?

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 SMCJB 
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woodward View Post
In that case, @Dudetooth or anyone else, if you have any quick and ready insights into the mysterious format that you'd be willing to share, it would be appreciated. I can always comb through your code but having the CME file formats on hand made everything so snappy.

Assume you saw post #369?


woodward View Post
Just out of curiosity, this thread goes back a while, after ICE raised its rates, @ron99 was skeptical in post #370 about anyone continuing to trade their instruments. How is that playing out?

CME charge professionals $85 per exchange so if your a professional $110 isn't that different, so it really only effects retail. For what its worth the Russel 2000 futures contract moves from ICE to CME next year.

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 Dudetooth 
Steubenville Ohio
 
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woodward View Post
In that case, @Dudetooth or anyone else, if you have any quick and ready insights into the mysterious format that you'd be willing to share, it would be appreciated. I can always comb through your code but having the CME file formats on hand made everything so snappy.

Just out of curiosity, this thread goes back a while, after ICE raised its rates, @ron99 was skeptical in post #370 about anyone continuing to trade their instruments. How is that playing out?

This is what I used to figure out their format: SPAN for ICE

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woodward
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Dudetooth View Post
This is what I used to figure out their format: SPAN for ICE

The @Dudetooth abides! Exactly what I was hoping for. Enormous respect for your work and everything you've contributed.

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 Jerard 
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Hi All!

First of all, thanks @Dudetooth for a great spreadsheet. This is a work of art, it helps a lot.

I am trying to figure out how to estimate the initial margin for ES spread, but can't figure out how to do it in the spreadsheet . I am using a @ron99 version of the PC-Span spreadsheet.

My steps:

1. Choose two strikes from the "Scanner"
2. Click send to the tracker
3.Highlight two rows with both strikes
4. Attach the same number under S1 column, e.g 1 on both
5. Press track spread

I have had few attempts to estimate the initial margin for the following contracts in the spreadsheet:

Sell -1 ESZ6 P1660 4.98 delta
Buy +2 ESZ6 P1410 1.53 delta

I have got $210 as for initial margin per one spread as for August 2, 2016.

I have 20160802 in both cells designed to track historic data.

Secondly, i have downloaded a Ron's version of a PC-Span spreadsheet where ES-mini Weekly Options are included in "required format" list by defaultt, although what symbols should i type in the scanner paget so that it would scan a ES-mini weekly options?

I am typing

Futures month: EW3
Min DTE:20
Max DTE:140
Min value: $20
Max Delta: 10
Min ROI: 2%

I am looking for EW3V6 option ( expires on 31 October 2016 )

Eventually, the result would not come up?
Am i doing something wrong here?

Many thanks, Jerard

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  #384 (permalink)
 Dudetooth 
Steubenville Ohio
 
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Jerard View Post
I have had few attempts to estimate the initial margin for the following contracts in the spreadsheet:

Sell -1 ESZ6 P1660 4.98 delta
Buy +2 ESZ6 P1410 1.53 delta

I have got $210 as for initial margin per one spread as for August 2, 2016.

I am getting $210 for the spread's IM as well.


Jerard View Post
I am looking for EW3V6 option ( expires on 31 October 2016 )

Are you looking to scan for EW3V6 options are you looking to find a particular one? I don't have Ron's version handy, but I believe that there is a cell for a date on the Scan tab as well ... if you are scanning and you don't have that date correct you might not get what you are looking for.

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  #385 (permalink)
 ron99 
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Jerard View Post
Secondly, i have downloaded a Ron's version of a PC-Span spreadsheet where ES-mini Weekly Options are included in "required format" list by defaultt, although what symbols should i type in the scanner paget so that it would scan a ES-mini weekly options?

I am typing

Futures month: EW3
Min DTE:20
Max DTE:140
Min value: $20
Max Delta: 10
Min ROI: 2%

I am looking for EW3V6 option ( expires on 31 October 2016 )

Eventually, the result would not come up?
Am i doing something wrong here?

Many thanks, Jerard

Did you get any options? I did it using your parameters and I only got 5 options. EW3V6 1880-1900. That was because all lower strikes were lower than 2% ROI.

Lower your Min ROI and you will get more options.

Also make sure you have 20160802 in cell G1.

The Futures symbol (column A) would need to be EW3.

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  #386 (permalink)
 Jerard 
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Futures are lower today. Zaner360 margin calculator showed me a $361 for this spread. I have heard that margin calculators ,and in particular on Zaner360, are not the most accurate to estimate the initial margin, however i'm really curios if margin increased from yesterday settlement more than 1.5 times...

Well, i am literally typing EW1 in scanner. I have added all of EW symbols ( e.g. EW1- EW4 )... and it worked. I am guessing i have typed something else out there.

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  #387 (permalink)
 Dudetooth 
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Jerard View Post
Futures are lower today. Zaner360 margin calculator showed me a $361 for this spread. I have heard that margin calculators ,and in particular on Zaner360, are not the most accurate to estimate the initial margin, however i'm really curios if margin increased from yesterday settlement more than 1.5 times...

Some brokerages charge SPAN IM + the value of the position, or Total IM. Yesterday's Total IM for that spread was $340 ($210 SPAN IM + $130 value of spread).

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 ron99 
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This is what I just got for that spread using Zaner360






I get 204.60 for IM. So if you add the 204.60 plus the option value of 57.50 you get 262.10. So Zaner includes the option value in the IM.

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 Jerard 
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ron99 View Post
This is what I just got for that spread using Zaner360






I get 204.60 for IM. So if you add the 204.60 plus the option value of 57.50 you get 262.10. So Zaner includes the option value in the IM.

The margin i have got from Zaner360 is based on the contract that expires on 16 December. The margin i was referring to is not for EW3 options, but for ESZ6 contract.

Currently for the spread -1 OESZ6 P1660 and +2 OESZ6 P1410 the initial margin is $340. Net option value is $130 respectively. Therefore the spreadsheet shows a SPAN margin $210,less net option value.


You asked what options did i get from the spreadsheet.
The thing is, i am only getting EW1 and EW4 options. I have neither EW2 nor EW3 options. I don't know why is that.

I can not make a screenshot since i am using windows on a Mac and there is no PrtScreen button on the keyboard.

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 ron99 
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Jerard View Post
The margin i have got from Zaner360 is based on the contract that expires on 16 December. The margin i was referring to is not for EW3 options, but for ESZ6 contract.

Currently for the spread -1 OESZ6 P1660 and +2 OESZ6 P1410 the initial margin is $340. Net option value is $130 respectively. Therefore the spreadsheet shows a SPAN margin $210,less net option value.


You asked what options did i get from the spreadsheet.
The thing is, i am only getting EW1 and EW4 options. I have neither EW2 nor EW3 options. I don't know why is that.

I can not make a screenshot since i am using windows on a Mac and there is no PrtScreen button on the keyboard.

Sorry about me using Oct and not Dec.

I think the version of XLS-SPAN of mine you are using was created before the EW3 contract started being used. You can either download Dudetooth's latest version or you can request me to post my current version which works for EW3.

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  #391 (permalink)
 ron99 
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@Jerard asked me to post my version of XLS-SPAN that works with the EW3 symbol. Here it is.

Attached Files
Register to download File Type: xls XLS-SPAN (04d)Ron2.xls (910.0 KB, 29 views)
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 ron99 
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@Dudetooth CME Reducer doesn't seem to be working for me in XLS-SPAN (05 beta).

I get cme.20160818.s.pa2 full sized but no reduced size or copy of the original.

Here are my parameters


I see the Sub Reduce_CME_File_Size but I don't see where it is called anywhere. I did a Find for B9, the parameter cell for Reduce CME, and the result was, Search text is not found.

Also ICE symbols don't work at all if I don't have the zipped files in the Data folder. Is that a requirement?

How do you enter a future contract to be used in a spread?

Thanks

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 Dudetooth 
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@ron99

Sorry, it wasn't just you. I forgot to add the line of code calling the CME Reducer after downloading the pa2 files (I've never used it myself, so I never caught it). That is fixed in the attached version.

I also forgot to add the needed line that renamed the NYB CSV file if you are working with only unzipped files. That line of code was in the main calculation, but not in the download. If not renamed then the code cannot find the CSV, hence the reason why it only worked when the zipped file was present. That is also fixed.

For entering a futures contract in a spread, look at the example on the Track tab. In the C/P column you would enter F and put nothing in the Strike column. Highlight all of the positions in your spread and track as a spread and you should be good to go.

Let me know if there is anything else.

(Attachment removed, replaced by spreadsheet in my next post)

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 Dudetooth 
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ron99 View Post
I think that the cell reference rows are incorrect for the Mini S&P products in Reduce_CME_File_Size Sub. They should be D13, D14, D15.

Thanks ... Fixed.

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Register to download File Type: xls XLS-SPAN (05 beta).xls (374.3 KB, 43 views)
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 ron99 
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Thanks ... Fixed.

I didn't understand why the Reduce_CME_File_Size sub was coming up with a different file size than the sub I was using with XLS-SPAN version 04. I also then found that CME's PC_SPAN wouldn't use the XLS-SPAN version 05's reduced file.

I found the problem. A single digit was off. If Left(curLine, 7) should be If Left(curLine, 9)



You should also add that an (F) is used for a future contract on Track in cell Parameters!K16.

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  #396 (permalink)
 ron99 
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@Dudetooth I tried downloading multiple days of files and the CME reducer did not work on them. It does work if I only download one day of data.

Also when I tried to download 20130102 thru 20130111, the nyb files were about 10,000 kb instead of the expected 600 kb. The rest of Jan files were the expected size.

When I run Scan on KC for 20130102 I get options but the C/P column is blank??? It does that for all pa2 nyb files. The CSV files are OK for that.

Scan works for all ICE commodities on all dates. Track doesn't work for me for any ICE products on any dates. pa2 files or CSV files. Either one day or H-Track.

When you make these changes to the macros could you tell us which subs you changed. I have made several modifications to your spreadsheet and it would be easier for me to copy and paste the changed sub in the macros than redo all of my modifications.

As always, thank you very much for your help.

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 Dudetooth 
Steubenville Ohio
 
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@ron99,

This is kind of a good news / bad news kind of reply. Good news is that most of the issues you noticed don't appear to be broke:

ron99 View Post
I tried downloading multiple days of files and the CME reducer did not work on them. It does work if I only download one day of data.

This feature worked during my test with multiple days of download.

ron99 View Post
Also when I tried to download 20130102 thru 20130111, the nyb files were about 10,000 kb instead of the expected 600 kb. The rest of Jan files were the expected size.

NYB changed the amount of data they were reporting. Risk files from 2009 up through the beginning of 2013 ranged in size from 1-2mb. They were reporting more option contracts and had nearly 100k lines of data. After 20130111 they reduced the number of option contracts reported which cut the lines of data down to about 7k.

ron99 View Post
When I run Scan on KC for 20130102 I get options but the C/P column is blank??? It does that for all pa2 nyb files. The CSV files are OK for that.

On my test the C/P filled in (see scan tab on attached).


ron99 View Post
Scan works for all ICE commodities on all dates. Track doesn't work for me for any ICE products on any dates. pa2 files or CSV files. Either one day or H-Track.

I'm not sure if you were using "Zip" or "Unzip" feature on Parameters!B5. I did find that the code would show a missing pa2/csv if Unzip was selected but there was no actual unzipped file present. I changed the code so if the pa2/cvs is missing it will look to see if the zip is present. If it is, then it will unzip and continue. That was the only issue that I came across when trying to track or H-Track.

ron99 View Post
When you make these changes to the macros could you tell us which subs you changed. I have made several modifications to your spreadsheet and it would be easier for me to copy and paste the changed sub in the macros than redo all of my modifications.

Here's the bad news ... any spreadsheet prior to XLS-SPAN (05 beta) is working on an entirely different base code. There was a very substantial rewrite with XLS-SPAN (05 beta), most notably the use of a Class Module. Code used in prior XLS-SPAN versions may or may not work in version 05+, however you cannot take the main code from version 05 and use it to retrofit an older version.

I'm sorry to say this, but if you wish to use version 05+ (current version is 05a) you'll have to redo your modifications. I understand the pain that will be, but the new base code was the only way I could get the current functionality.

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Register to download File Type: xls XLS-SPAN (05a).xls (867.0 KB, 9 views)
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 ron99 
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@Dudetooth I am using version 05a.

When I open XLS-SPAN in your last post I don't see your ribbon so I can't run anything.

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 Dudetooth 
Steubenville Ohio
 
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ron99 View Post
@Dudetooth I am using version 05a.

When I open XLS-SPAN in your last post I don't see your ribbon so I can't run anything.

@ron99 ... sorry about that. I created the original file as .xlsm (Excel 2007+) and then saved it in the older format to post it. I never noticed that the 97/2003 format removed the ribbon.

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 ron99 
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I was able to copy my sheets into the updated version of XLS-SPAN and everything works OK.

Thanks! @Dudetooth

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