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Search: Posts Made By: uwevoelker
Forum: Options January 18th, 2017, 01:32 PM
Replies: 608
Sticky: PC-SPAN
Views: 119,164
Posted By uwevoelker
Now I found it! I was looking for a field...

Now I found it! I was looking for a field "underlying price" or similar. Instead I have to search for CME/ES/FUT. It is in Type 82 (like for the options).
Forum: Options January 18th, 2017, 01:00 AM
Replies: 608
Sticky: PC-SPAN
Views: 119,164
Posted By uwevoelker
I have a general question about the SPAN data...

I have a general question about the SPAN data files. Is the price of the underlying (ES in my example) part of the .c.pa2 files? I see it in Ron99's backtest spread sheet.

I have looked for it in...
Forum: Options October 25th, 2015, 03:40 PM
Replies: 608
Sticky: PC-SPAN
Views: 119,164
Posted By uwevoelker
I noticed the same (ES missing). Apparently you...

I noticed the same (ES missing). Apparently you have to use SP. Is this somewhere encoded in the data?
Forum: Options October 23rd, 2015, 01:45 AM
Replies: 608
Sticky: PC-SPAN
Views: 119,164
Posted By uwevoelker
Thanks Dudetooth, I will have a look into the...

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...
Forum: Options October 22nd, 2015, 03:46 PM
Replies: 608
Sticky: PC-SPAN
Views: 119,164
Posted By uwevoelker
Is the format documented somewhere? Let's...

Is the format documented somewhere?

Let's look at the E-Mini January 2016 1575 Put (data files are from October 16th):

81CMEEW ES OOFP201603 201601 ...
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