PC-SPAN - futures io
futures io futures trading



PC-SPAN


Discussion in Options

Updated by peternguyen
      Top Posters
    1. looks_one Dudetooth with 216 posts (211 thanks)
    2. looks_two ron99 with 115 posts (54 thanks)
    3. looks_3 CafeGrande with 30 posts (4 thanks)
    4. looks_4 BlueRoo with 24 posts (5 thanks)
      Best Posters
    1. looks_one Dudetooth with 1.0 thanks per post
    2. looks_two SMCJB with 1.0 thanks per post
    3. looks_3 ron99 with 0.5 thanks per post
    4. looks_4 BlueRoo with 0.2 thanks per post
    1. trending_up 101,597 views
    2. thumb_up 314 thanks given
    3. group 73 followers
    1. forum 604 replies
    2. attach_file 158 attachments




Welcome to futures io: the largest futures trading community on the planet, with well over 100,000 members
  • Genuine reviews from real traders, not fake reviews from stealth vendors
  • Quality education from leading professional traders
  • We are a friendly, helpful, and positive community
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts
  • We are here to help, just let us know what you need
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.

-- Big Mike, Site Administrator

(If you already have an account, login at the top of the page)

 
Search this Thread
 

PC-SPAN

(login for full post details)
  #481 (permalink)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


uuu1965 View Post
to @Dudetooth
HI,
some ES contract are displayed on Scan sheet but cann`t work on Track sheet, f.e. EWZ7 P 2565 (I use 05c version of XLS-SPAN). Please see attachment

@uuu1965, I think I tracked down the issue ... in the Class Module COption find the section that begins with "Public Property Let OptContract(Value As String)" ... replace that section of code with the code on the attached txt and you should be ok. Let me know if there are any other issues.

Attached Files
Register to download File Type: txt XLS-SPAN (05c) fix.txt (954 Bytes, 6 views)
Reply With Quote
The following user says Thank You to Dudetooth for this post:

Can you help answer these questions
from other members on futures io?
3x Fangdango
Traders Hideout
QDEL
Stocks and ETFs
THINKorSWIM Scripting
ThinkOrSwim
Macros for flatten and reverse
TradeStation
Ninjatrader 8, NT8, autotrading strategy stability
NinjaTrader
 
Best Threads (Most Thanked)
in the last 7 days on futures io
VWAP for stock index futures trading?
57 thanks
Price Action Kewltech Style
19 thanks
Coronavirus COVID-19
19 thanks
Emini 4 Tick Scalp still valid?
11 thanks
Trying to locate prop firm that purchased my automated trading system
11 thanks
 
(login for full post details)
  #482 (permalink)
Riga Latvia
 
 
Posts: 107 since Jan 2013
Thanks: 441 given, 72 received


Dudetooth View Post
@uuu1965, I think I tracked down the issue ... in the Class Module COption find the section that begins with "Public Property Let OptContract(Value As String)" ... replace that section of code with the code on the attached txt and you should be ok. Let me know if there are any other issues.

Thanks @Dudetooth! All works fine!

Reply With Quote
 
(login for full post details)
  #483 (permalink)
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
 
Posts: 3,045 since Jul 2011
Thanks: 946 given, 5,631 received


@Dudetooth I am having a strange problem. When I run H-Track on the first spread



I get this.



The spread IM is 396 from 20171011 to 20171031 even though all other data changes. When I run the 2nd spread I get 396 for every day for spread IM.

I used PC-SPAN and I get different Spread IM than 396. For 20171031 PC-SPAN gives me 277 for 1st spread.

I ran it in both XLS-SPAN (05a) and (05c). Same result. Does the same thing if I do Track Spread for one day. I redownloaded the 20171012 & 20171013 arrays from CME and that made no difference.

On 20171012 I copied the spreadsheet to a laptop to use while on vacation. When I got back I copied the spreadsheet back to my desktop. But I didn't do that to the (05c) version.

Does this problem happen on your spreadsheet?

Reply With Quote
 
(login for full post details)
  #484 (permalink)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


ron99 View Post
Does this problem happen on your spreadsheet?

@ron99,

So I think I tracked it down. Short story - seems like sometime in June the SOM for SP increased drastically and that was impacting the spread IM. I believe that they use the delta scaling factor to modify the SOM, which was missing from my code. I modified only two procedures in the COptions Class Module: Public Property Let TypeBstr(Value As String) and Public Property Let Type82str(Value As String) in order to remedy this ... at least it seems like it is working correct. You can copy it from the attached update.

Attached Files
Register to download File Type: zip XLS-SPAN (05d).zip (315.0 KB, 50 views)
Reply With Quote
The following user says Thank You to Dudetooth for this post:
 
(login for full post details)
  #485 (permalink)
Riga Latvia
 
 
Posts: 107 since Jan 2013
Thanks: 441 given, 72 received

@Dudetooth
When I open a synthetic position that uses the various months of future and option, XLS-SPAN (05d) does not calculate the total margin.
F.e., Short ESH8 and long EWF8 C 2665 (Zaner platform shows margin of $2570)

Reply With Quote
 
(login for full post details)
  #486 (permalink)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


uuu1965 View Post
@Dudetooth
When I open a synthetic position that uses the various months of future and option, XLS-SPAN (05d) does not calculate the total margin.
F.e., Short ESH8 and long EWF8 C 2665 (Zaner platform shows margin of $2570)
Attachment 244269

@uuu1965

Sorry, I haven't been able to work out how to do that in XLS-SPAN ... it sees those as two separate commodities.

Reply With Quote
The following user says Thank You to Dudetooth for this post:
 
(login for full post details)
  #487 (permalink)
Java/IN
 
 
Posts: 13 since Nov 2013
Thanks: 2 given, 0 received

Hi Dudetooth, downloaded the latest and there is still an issue for 64bit users.. In this section to download the risk arrays file, it output a file mismatch error. On rectifying by entering a Private PtrSafe Function, the before mentioned SaveWebFile gave an error that it was not defined. Which was puzzling because it was defined as per the code below.

Private Function SaveWebFile(URL As String, LocalFilename As String) As Boolean
Dim lngRetVal As Long
lngRetVal = URLDownloadToFileA(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then SaveWebFile = True
End Function

Reply With Quote
 
(login for full post details)
  #488 (permalink)
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received


ItalianBmT View Post
Hi Dudetooth, downloaded the latest and there is still an issue for 64bit users.. In this section to download the risk arrays file, it output a file mismatch error. On rectifying by entering a Private PtrSafe Function, the before mentioned SaveWebFile gave an error that it was not defined. Which was puzzling because it was defined as per the code below.

Private Function SaveWebFile(URL As String, LocalFilename As String) As Boolean
Dim lngRetVal As Long
lngRetVal = URLDownloadToFileA(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then SaveWebFile = True
End Function

Sorry I can't be of much help troubleshooting this. If a solution is ever found I'll be sure to get the fix into the latest version.

Reply With Quote
 
(login for full post details)
  #489 (permalink)
NYC, NY
 
Experience: Intermediate
Platform: Sierra Qtrader TT
Broker: Amp/CQG/TT, Optimus, ADM
Trading: Mainly CL. Spread researcher currently
 
Posts: 614 since May 2013
Thanks: 526 given, 320 received

Sorry for a slight off topic question. Trying to get historic settlement or end of day data for exchange traded crude calendar spreads say for at least 4 years. can I do that somewhere somehow? I have sierra and cqg I can load individual individual months for past data one by one, use the spreadsheet study then export and then calculate the spread but is there a better way? So as example I can load June 2015 symbol ad then Dec 2015 then extract and calculate the difference but any ready way to get data readily for the 6 month exchange spread from CME?


Sent using the futures.io mobile app

Visit my futures io Trade Journal Reply With Quote
 
(login for full post details)
  #490 (permalink)
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
 
Posts: 3,045 since Jul 2011
Thanks: 946 given, 5,631 received



jokertrader View Post
Sorry for a slight off topic question. Trying to get historic settlement or end of day data for exchange traded crude calendar spreads say for at least 4 years. can I do that somewhere somehow? I have sierra and cqg I can load individual individual months for past data one by one, use the spreadsheet study then export and then calculate the spread but is there a better way? So as example I can load June 2015 symbol ad then Dec 2015 then extract and calculate the difference but any ready way to get data readily for the 6 month exchange spread from CME?


Sent using the futures.io mobile app

I have a spreadsheet that has all CL settlements for the last 9 months of a contract for all contracts since 2006. You'll have to calculate the spread prices yourself. Do you want it?

Reply With Quote


futures io Trading Community Traders Hideout Options > PC-SPAN


November 20, 2019


Upcoming Webinars and Events
 

An Afternoon With futures io member TropicalTrader

Elite only
     



Copyright © 2020 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@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