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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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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 [email protected]
(212) 748-4001
(312) 836-6777
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.ice.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.ice.com/clear-us/risk-management
FOR MORE INFORMATION
ICE Clear US [email protected]
(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.
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
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.
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.
