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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?
Can you help answer these questions from other members on NexusFi?
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.
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.
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.
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.
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.
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.
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"
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.
