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PC-SPAN

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  #1 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
 
Posts: 3,065 since Jul 2011
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We will use this thread to discuss working with the CME PC-SPAN program.

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  #3 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
 
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Here is the opened tree showing where you can find product codes.

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  #4 (permalink)
 datahogg 
Knoxville Tennessee USA
 
Experience: Intermediate
Platform: TOS
Trading: ES, NQ, CL, /6E futures options.
 
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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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  #5 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
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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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  #6 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 266 since Sep 2012
Thanks: 30 given, 274 received

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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  #7 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 266 since Sep 2012
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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, 199 views)
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  #8 (permalink)
 Dudetooth 
Steubenville Ohio
 
Experience: Intermediate
Platform: OX, OEC, RJO
Trading: Options on Futures
 
Posts: 266 since Sep 2012
Thanks: 30 given, 274 received

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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  #9 (permalink)
 ron99 
Cleveland, OH
 
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
 
Posts: 3,065 since Jul 2011
Thanks: 965 given, 5,719 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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  #10 (permalink)
 datahogg 
Knoxville Tennessee USA
 
Experience: Intermediate
Platform: TOS
Trading: ES, NQ, CL, /6E futures options.
 
Posts: 329 since Oct 2012
Thanks: 134 given, 135 received


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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