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@uuu1965, I think I tracked down the issue ... in the Class Module COption find the section that begins with "Public Property Let OptContract(Value As String)" ... replace that section of code with the code on the attached txt and you should be ok. Let me know if there are any other issues.
@Dudetooth I am having a strange problem. When I run H-Track on the first spread
I get this.
The spread IM is 396 from 20171011 to 20171031 even though all other data changes. When I run the 2nd spread I get 396 for every day for spread IM.
I used PC-SPAN and I get different Spread IM than 396. For 20171031 PC-SPAN gives me 277 for 1st spread.
I ran it in both XLS-SPAN (05a) and (05c). Same result. Does the same thing if I do Track Spread for one day. I redownloaded the 20171012 & 20171013 arrays from CME and that made no difference.
On 20171012 I copied the spreadsheet to a laptop to use while on vacation. When I got back I copied the spreadsheet back to my desktop. But I didn't do that to the (05c) version.
So I think I tracked it down. Short story - seems like sometime in June the SOM for SP increased drastically and that was impacting the spread IM. I believe that they use the delta scaling factor to modify the SOM, which was missing from my code. I modified only two procedures in the COptions Class Module: Public Property Let TypeBstr(Value As String) and Public Property Let Type82str(Value As String) in order to remedy this ... at least it seems like it is working correct. You can copy it from the attached update.
@Dudetooth
When I open a synthetic position that uses the various months of future and option, XLS-SPAN (05d) does not calculate the total margin.
F.e., Short ESH8 and long EWF8 C 2665 (Zaner platform shows margin of $2570)
Hi Dudetooth, downloaded the latest and there is still an issue for 64bit users.. In this section to download the risk arrays file, it output a file mismatch error. On rectifying by entering a Private PtrSafe Function, the before mentioned SaveWebFile gave an error that it was not defined. Which was puzzling because it was defined as per the code below.
Private Function SaveWebFile(URL As String, LocalFilename As String) As Boolean
Dim lngRetVal As Long
lngRetVal = URLDownloadToFileA(0, URL, LocalFilename, 0, 0)
If lngRetVal = 0 Then SaveWebFile = True
End Function
Sorry for a slight off topic question. Trying to get historic settlement or end of day data for exchange traded crude calendar spreads say for at least 4 years. can I do that somewhere somehow? I have sierra and cqg I can load individual individual months for past data one by one, use the spreadsheet study then export and then calculate the spread but is there a better way? So as example I can load June 2015 symbol ad then Dec 2015 then extract and calculate the difference but any ready way to get data readily for the 6 month exchange spread from CME?
I have a spreadsheet that has all CL settlements for the last 9 months of a contract for all contracts since 2006. You'll have to calculate the spread prices yourself. Do you want it?