PC-SPAN
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PC-SPAN
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Created: by ron99 Attachments:160

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PC-SPAN

  #1 (permalink)
Market Wizard
Cleveland, OH
 
Trading Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 3,033 since Jul 2011
Thanks: 941 given, 5,600 received

PC-SPAN

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

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  #2 (permalink)
Market Wizard
Cleveland, OH
 
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Platform: QST
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  #3 (permalink)
Knoxville Tennessee USA
 
Trading Experience: Intermediate
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Expense


I noticed there is a $10.00 charge to download the PC Span. Are there any other charges for the data used
for calculating span??

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  #4 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
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datahogg View Post
I noticed there is a $10.00 charge to download the PC Span. Are there any other charges for the data used
for calculating span??

Nope ... you can download the daily risk arrays for free.

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  #5 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received

PC-SPAN Script

Just reposting this from the Selling Options on Futures thread:

ron99 asked about using a batch file to run SPAN and generate a report.

I've been able to get this to work to create a performance bond risk summary of the portfolio ... not sure yet how to get anything like the Scan Risk Contributions in the Reports tab ... looks like that will need a different kind of script to run the spanReport utility.

Here's what I did:

- In the C:\Span4 folder (default location for installation of program) I placed a copy of the following:
-- Unzipped risk array files (cme.20131018.s.pa2 & nyb.20131018.s.pa2)
-- My portfolio file that I generated in PC-SPAN by right-clicking on my portfolio and selecting Copy Positions To File to generate a .pos file (RJO 131018.pos)

- Then I opened Notepad to create my script and typed in the following lines:
Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\nyb.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
Calc
SaveCalcSummary C:\Span4\Summary.csv
-- I saved it as a text file named SpanScript.txt in the C:\Span4 folder

- Then in Notepad, on a clean slate I typed in:
spanit C:\Span4\SpanScript.txt
-- Saved this as a batch file (File->Save As changing the Save as type to All Files) named SPAN-Batch.bat in the same folder where the spanit.exe file is (should be C:\Span4\Bin)

Just double-click my batch file (SPAN-Batch.bat), and it will load the risk arrays and portfolio, calculate and create a csv file named Summary in the C:\Span4 folder with my performance bond summary.

Hopes this helps.


****UPDATE****
Make the following changes to the instructions above to see the Position and PB Requirement Reports:

- In the SpanScript.txt type the following lines:
Load C:\Span4\cme.20131018.s.pa2
Load C:\Span4\nyb.20131018.s.pa2
Load C:\Span4\RJO 131018.pos
Calc
Save C:\Span4\Risk.xml

- In the SPAN-Batch.bat file type the following lines:
C:\Span4\Bin\spanit.exe C:\Span4\SpanScript.txt
C:\Span4\RptModule\spanReport.hta C:\Span4\Risk.xml

This will create the reports in the C:\Span4\Reports folder.

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  #6 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
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VBA

This is my first take at some VBA in a spreadsheet to help automate some of the tasks ... it's not pretty, but does some of the basic functions I was looking for (download risk arrays, unzip, rename, run batch file). It would be easy to tweak to have it open the Summary.csv and edit, etc. if you are comfortable with VBA. If not, let me know and I'll see what I can modify to have it do what you are looking for.

Attached Files
Register to download File Type: zip PC-SPAN.zip (18.2 KB, 170 views)
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  #7 (permalink)
Steubenville Ohio
 
Trading Experience: Intermediate
Platform: OX, OEC, RJO
Favorite Futures: Options on Futures
 
Posts: 264 since Sep 2012
Thanks: 30 given, 272 received

RiskReporter

ron99,

Do you use the RiskReporter in PC-SPAN to calculate the risk per position ... I believe they refer to it as Scan Risk Contributions? If you do, do you use the command line to generate the report?

Thanks

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  #8 (permalink)
Market Wizard
Cleveland, OH
 
Trading Experience: Advanced
Platform: QST
Broker/Data: QST, DeCarley Trading, Gain
Favorite Futures: Options on Futures
 
Posts: 3,033 since Jul 2011
Thanks: 941 given, 5,600 received


Dudetooth View Post
ron99,

Do you use the RiskReporter in PC-SPAN to calculate the risk per position ... I believe they refer to it as Scan Risk Contributions? If you do, do you use the command line to generate the report?

Thanks

No I do not.

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  #9 (permalink)
Knoxville Tennessee USA
 
Trading Experience: Intermediate
Platform: TOS
Favorite Futures: ES, NQ, CL, /6E futures options.
 
Posts: 307 since Oct 2012
Thanks: 134 given, 116 received

File location.

I have my copy of the PC Span, and it seems to work.

"Here is where you acquire the daily array files.
ftp://ftp.cmegroup.com/pub/span/data/"


Can some one direct me to the file name for the ES Span values(as an example) as a point to get started?

Thanks HH.

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