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Updated July 28, 2023
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June 11th, 2017, 08:50 PM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
LordV
@
ron99
If you get a spare minute would you please tell me what you would have as
initial and maintenance margin for 20 ESU7P1800 by 10 ESU7P2040 99
DTE ? (5 by 1.5
Delta )
IB has $13190 X $10552
Thanks
I get for all contracts combined $2,772 IM then divide that by 1.1 to get MM of $2,520.
Friday's settlement had the 2040 at -4.72 delta. The 1800 was -1.33 delta. But that is a -2.06 net delta.
Can you help answer these questions from other members on NexusFi?
Best Threads (Most Thanked) in the last 7 days on NexusFi
June 11th, 2017, 10:44 PM
Chicago IL/USA
Posts: 23 since Jan 2012
Thanks Given: 70
Thanks Received: 10
ron99
I get for all
contracts combined $2,772 IM then divide that by 1.1 to get MM of $2,520.
Friday's settlement had the 2040 at -4.72
delta . The 1800 was -1.33 delta. But that is a -2.06 net delta.
Man, that is crazy...
It was -5 x -1.5 when we were trading at the lows.
May I ask why you are pointing out that it was a -2.6 net Delta?
Is that a problem?
Thanks,
June 12th, 2017, 08:10 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
LordV
Man, that is crazy...
It was -5 x -1.5 when we were trading at the lows.
May I ask why you are pointing out that it was a -2.6 net
Delta ?
Is that a problem?
Thanks,
-2.06 net delta. No problem. A -5 x -1.5 is a net -2.00. So this spread is about the same.
June 12th, 2017, 09:02 AM
Cape Town South Africa
Experience: Intermediate
Platform: Rithmic
Broker: Optimus
Trading: Commodities:Grains, Meats, Energy
Posts: 52 since Jun 2015
Thanks Given: 307
Thanks Received: 27
ron99
This is the post from 2015 with modifications to current version XLS-SPAN (05b) Copy for Forum
The first thing you will need is this folder on your computer.
C:\Span4\Data
All spreadsheets and files need to be in this file. It must have this name exactly as shown.
This Excel spreadsheet is 2010 version. It needs to be Macro enabled. When you first open it it will say Security Warning Macros have been disabled. Click on the box that says Enable Content.
The Excel sheet was done by @
Dudetooth . It is a fantastic spreadsheet. Amazing work.
The excel attached is his spreadsheet with a few modifications that I have made to it. The PC-SPAN thread has his version of it at the end of the thread.
On the Parameters sheet the first thing to do is to go to column D and put an "x" in this column for all commodities you will ever use. This is only for
CME products. The ICE products listed will be included. This is so that the CME file size can be reduced dramatically and things will run much faster. Right now only the commodities listed can be run.
There are over 2,000 symbols at the CME. Just about all of us will us less than 20. This will reduce the lines in the file from almost 470,000 to < 100,000.
You will need to download a disk array file (CME & ICE) for each trading day you want to include in your research.
Right now you can put in the date (YYYYMMDD format) in cell A1 on the Track sheet and then click tab XLS-SPAN (to the right of "File" then click "Download" on left. But you can only do that for the dates that the CME has in the current file. In cell D1 you can enter a later date and download multiple days of files. Don't try to do multiple years. I have had problems when downloading too many days.
The first date available is 20130102.
Here is the link to the files.
ftp://ftp.cmegroup.com/pub/span/data/
Click on cme.
Here is part of what you will get right now.
Some folders at the top and then files below them.
We are downloading the files that looks like this cme.20151202.s.pa2.zip The "s" is the important part. That is the end of the day file.
As you can see the files on this example start with 20151130 and go to 20151204.
If you think you will ever need 2013 files I suggest you get all of them now before the end of the year because in the past the CME has removed old years from this ftp page when a new year started. You can just put the zipped files in a separate folder and if you need them you can unzip them into the Data folder.
If you need ICE files they are in the folder named "nyb". They don't need to be reduced in size.
How to use the spreadsheet will be in a following post.
The spreadsheet is saved in Excel 97-2003 format because the forum software wouldn't let me upload a spreadsheet that was macro-enabled.
If you have a newer version of Excel then immediately after opening it and enabling macros, click Save As and use Save as type: Excel Macro-Enabled Workbook.
Remember it must be in folder C:\Span4\Data
Hi Ron99,
I am unable to find the following tab:
click tab XLS-SPAN (to the right of "File" then click "Download" on left......
HELP..............
June 12th, 2017, 09:16 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
Kruger
Hi Ron99,
I am unable to find the following tab:
click tab XLS-SPAN (to the right of "File" then click "Download" on left......
HELP..............
In the upper left you should see this
Click on XLS-SPAN. Then on left of this ribbon is a 4 colored button that says Download below it. Click on that.
June 12th, 2017, 10:27 AM
Cape Town South Africa
Experience: Intermediate
Platform: Rithmic
Broker: Optimus
Trading: Commodities:Grains, Meats, Energy
Posts: 52 since Jun 2015
Thanks Given: 307
Thanks Received: 27
June 12th, 2017, 10:40 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
Kruger
I'm obviously missing something .........please bear with me, a newbie in this business
Did you do this?
" immediately after opening it and enabling macros, click Save As and use Save as type: Excel Macro-Enabled Workbook."
June 12th, 2017, 10:49 AM
Cape Town South Africa
Experience: Intermediate
Platform: Rithmic
Broker: Optimus
Trading: Commodities:Grains, Meats, Energy
Posts: 52 since Jun 2015
Thanks Given: 307
Thanks Received: 27
ron99
Did you do this?
" immediately after opening it and enabling macros, click Save As and use Save as type: Excel Macro-Enabled Workbook."
This is what I did
June 12th, 2017, 11:13 AM
Cleveland, OH
Experience: Advanced
Platform: QST
Broker: QST, DeCarley Trading, Gain
Trading: Options on Futures
Posts: 3,081 since Jul 2011
Thanks Given: 980
Thanks Received: 5,785
Kruger
This is what I did
Sorry but it looks like my file doesn't have the XLS-SPAN tab.
This attached file should work. The file I attached in that post didn't have macro ability because I saved it in 97-2003 format, not macro enabled. I should have zipped the original.
I asked the forum moderators to change that post's attached file.
Attached Files
Elite Membership required to download: XLS-SPAN (05a) Copy for forum2.zip
June 13th, 2017, 01:23 PM
vancouver BC/Canada
Experience: Beginner
Platform: Zaner360, OX
Broker: DeCaley
Trading: options
Posts: 264 since Jan 2015
Thanks Given: 13
Thanks Received: 205
All,
I've switched over from DeCarley to ThinkorSwim and also to a Mac. I know it's not the best but the screen is so much easier on the eyes. Either way, I can no longer use a lot of the programatic tools that I was able to leverage on Windows. RTD for excel for example. I'm trying to build a new set of tools that automatically grabs
1. bid /ask
2. last
3. volume
4. IM
5. MM
6. Underlying price
and a few other metrics. I've searched yahoo, google, and other website's financial pages but no one provides pricing for options on futures. Does anyone have a site that has a data feed that I can leverage? I really don't want to put the numbers in manually.
/rsm005/
Last Updated on July 28, 2023