uuu1965 

@Dudetooth Sorry, I forgot how to get simple futures price, f.e. CLQ7

I tried to get this and other NYMEX and COMEX contracts and got this



but when I tried LH or ZC or CC or ES I got the futures data for 20170609???

ron99 

I tried to get this and other NYMEX and COMEX contracts and got this but when I tried LH or ZC or CC or ES I got the futures data for 20170609???

I had just developed the code for tracking futures back when I first put this out and didn't get a lot of troubleshooting in on it. NYMEX and COMEX contracts had issues because the future contracts were being skipped in the code.

It's not too difficult of a fix, though there may be other issues I haven't seen yet. I've uploaded the spreadsheet because posting the code in the forum may not show the proper spacing and you can copy the code over to your existing spreadsheet. There are three areas to address ...

1) In MainCalculation module - add the bit about clsOpt.TypeB1:

'*********** TypeB ... option month details: dte, base volatility, delta scaling factor
Case 3
If InStr(rline, clsOpt.TypeB) = 1 Or InStr(rline, clsOpt.TypeB1) = 1 Then '170611 TypeB1 needed for loading COMEX/NYMEX Fut contracts


2) In COption class module - At the top add pTypeB1:

Private pTypeB As String, pTypeB1 As String, pType8F As String, pType8O As String, pType30


3) Down further in the COption class module - add this new set of code:

Public Property Get TypeB1() As String '170611 needed for loading COMEX/NYMEX Fut contracts
Select Case pCommodity
Case "CL": TypeB1 = "B NYMCL "
Case "GC": TypeB1 = "B CMXGC "
Case "HG": TypeB1 = "B CMXHG "
Case "HO": TypeB1 = "B NYMHO "
Case "NG": TypeB1 = "B NYMNG "
Case "RB": TypeB1 = "B NYMRB "
Case "SI": TypeB1 = "B CMXSI "
Case Else: TypeB1 = "XXXX"
End Select
End Property

I tucked it in between Public Property Get TypeB1() and Public Property Get Type8F(), but anywhere should do. There should be 8 spaces between the last letter of the B code and the last quotation mark.

Let me know if there are any other issues.

Hi

This is Pawan Mishra. I'm new to PC-SPAN, but I know basics of batch scripting. I'm looking for how to process .spn/.pa2 file using scripting. I tried below suggested way, it is working for .spn / .pa2 span files. But, it is failing while loading .pos file.

1- Getting "Error processing script" while loading .pos file. What could be the reason?

2- How can I create .pos file from my existing .csv or .txt files?

Thanks in advance for your kind help

Thanks and Regards

Dudetooth 

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.

Pawan Mishra 

Hi This is Pawan Mishra. I'm new to PC-SPAN, but I know basics of batch scripting. I'm looking for how to process .spn/.pa2 file using scripting. I tried below suggested way, it is working for .spn / .pa2 span files. But, it is failing while loading .pos file. 1- Getting "Error processing script" while loading .pos file. What could be the reason? 2- How can I create .pos file from my existing .csv or .txt files? Thanks in advance for your kind help Thanks and Regards

Have you tried the SpanPosConv utility?

PC-SPAN For anyone who may be interested, I have found a few more useful command-line utilities to use with PC-SPAN. SpanPosConv.exe allows you to convert a CSV file with your portfolio to a XML file that PC-SPAN can import (PC-SPAN imports your positions …

It may be something that can help.

Pawan Mishra 

Hi This is Pawan Mishra. I'm new to PC-SPAN, but I know basics of batch scripting. I'm looking for how to process .spn/.pa2 file using scripting. I tried below suggested way, it is working for .spn / .pa2 span files. But, it is failing while loading .pos file. 1- Getting "Error processing script" while loading .pos file. What could be the reason? 2- How can I create .pos file from my existing .csv or .txt files? Thanks in advance for your kind help Thanks and Regards

The SpanPosConv from CME works great for that purpose. I use it every day to convert csv's to .pos (xml files).

However, it does not work consistently when going from .pos to csv. I recommend using the functionality in Excel with the proper xml map (xsd) for that.

ItalianBmT 

Thanks Dudetooth. But unfortunately this doesn't solve the issue even when adding PtrSafe. Thanks anyway and I shan't disturb you further. Hopefully others who are using 64 bit version could chime in if they experience similar instance on their machine? Thanks.

I had the same problem.

You should only change "Dim lngRetVal As Long" to "Dim lngRetVal As LongPtr"

That should do it.

I trade options on currencies futures. Some month ago 6A was the pair with less margin required so the ROI was the best one. Nowadays when I use the SPAN spreadsheet I can't find any pair. Does anyone know if margin in currencies futures has changed?

Hills 

I trade options on currencies futures. Some month ago 6A was the pair with less margin required so the ROI was the best one. Nowadays when I use the SPAN spreadsheet I can't find any pair. Does anyone know if margin in currencies futures has changed?

Actually, I was just noticing that issue this morning. It seems like the options are now structured like ES with one code for Mar, Jun, Sep & Dec options, another code for the off months, and another code for weekly options.

It'll take me a little bit to change the code to assimilate the new products.

There is some sight modifications to the COption Class Module and MainCalculation Module to add the new currency options contracts for months with no underlying futures contract (Jan, Feb, Apr, May, Jul, Aug, Oct, Nov). Option contracts with underlying futures (Mar, Jun, Sep, Dec) still use the older code.

The new codes are located on the Parameters tab (ADU, GBU, CAU, EUU, JPU).

So, if you were scanning for 6A options with 30-90 DTE on the Scan tab you would have one line with AD and one line with ADU to see if either contract meets your time-frame.



It seems to be working correctly, but there may be some bugs ... just let me know if there are any and I'll try to sort them out.

to @Dudetooth
HI,
some ES contract are displayed on Scan sheet but cann`t work on Track sheet, f.e. EWZ7 P 2565 (I use 05c version of XLS-SPAN). Please see attachment