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SpanPosConv Utility

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Krishna Vetal
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120 views8 pages

SpanPosConv Utility

Uploaded by

Krishna Vetal
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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SPAN Position Converter

Downloading SpanPosConv.exe

• Visit http://www.cmegroup.com/clearing/cme-core-cme-clearing-online-risk-
engine.html and click...

… located at the right sight of the webpage.

• Enter your Smart Click ID login credentials at the login screen.


– If you have forgotten your login credentials or are experiencing trouble logging in, please contact us at
EASE.AtYourService@cmegroup.com

© 2010 CME Group. All rights reserved 2


Downloading SpanPosConv.exe

• Click “Download Center” at the top of the page, then select the “Software”
tab

• Select to download the SPAN Position Converter and the Documentation


sheet shown below:

© 2010 CME Group. All rights reserved 3


Getting Started - SpanPosConv.exe

• Once the SPAN position converter utility is downloaded, open up


file explorer to C:\Span4 and create a folder titled “Util” and move
the converter utility and the accompanying application extension
.dll file that was just downloaded into the Util folder that was just
created. This step is for ease of access and convenience.

• Now, open a blank excel spreadsheet and title the columns at the
top of the page with the appropriate tags (case-sensitive) as
outlined in the supplementary utility documentation that was
downloaded along with the converter application. An example is
below:

• The utility documentation defines the values that should be placed


in the columns

© 2010 CME Group. All rights reserved 4


Creating a “.csv” Portfolio

In the case of a net position file, an Excel spreadsheet should have the following fields:
- date (column A): business date (YYYYMMDD)
- isSetl (column B): settlement or intraday flag (1 is default);
- firm (column C): clearing member firm or other firm holding the portfolio;
- acctId (column D): account number or identifier;
- acctType (column E): type of the account, e.g. member (M), hedger (H) or speculator (S);
- isCust (column F): customer or clearing level calculation (1–cust; 0-clrn);
- seg (column G): segregation type (CUST or CLR);
- currency (column H): 3 byte ISO code for the portfolio currency;
- ec (column I): exchange complex acronym (for all CME Group exchanges, this should read “CME”);
- cc (column J): combined commodity code (may be different from the pfCode);
- exch (column K): exchange acronym (ex, CME, NYM, CBT, or CMX);
- pfCode (column L): product family code (ex, CL or GC);
- pfType (column M): product family type (e.g. FUT, OOF);
- pe (column N): period code (expiration of contract, typically in YYYYMM);
- undPe (column O): underlying period code (blank if futures contract, if option YYYYMM of und;
- o (column P): option right code (C,P);
- k (column Q): option strike price;
- net (column R): net position.
- coupon (optional column)

© 2010 CME Group. All rights reserved 5


Example “.csv” Portfolio

• An example portfolio consisting of:


• Calendar spread
• Long (1) June 16’ 10-Yr T-Note Future – Short (1) September 16’ 10-Yr T-Note Future

• Option
• Short (1) 1730 April 16’ E-Mini S&P 500 (ES) Put option

.csv portfolio looks like…

• Once the portfolio is complete, save the file as a “.csv” file on your “C:\”
drive somewhere as we will need to know the location in order to convert
the file into a SPAN readable “.pos” file

© 2010 CME Group. All rights reserved 6


Finding pfCode’s and cc’s

• “pfCode” values can be found on the “Contract Specs” tab of the product
page found on our website at http://www.cmegroup.com/trading/products/
after typing in the product you’re looking for.

• “cc” values are a little more difficult to find. They can be found in the user
interface of SPAN by drilling down onto the parameter file folders:
• “Exchange Complexes”  “CME – Chicago Mercantile Exchange”  “Combined Commodities

This picture of a drill down into the “06” cc explains


which pfCodes all fit into the umbrella cc of “06”

© 2010 CME Group. All rights reserved 7


Running SpanPosConv.exe
• The application cannot be launched by clicking to run the application
directly, it can only be run via calling upon it from the command prompt
application

• Open up the Command Prompt application from the Windows Start menu

• Enter a line command that matches the format outlined in the


SpanPosConv utility documentation then press Enter to execute the
command line
[complete file path location of the converter application] [/i] [complete file
path location of your saved csv portfolio file] [/o] [complete file path location of
where you want the .pos file to be saved along with the file type]

Ex.

[/i] denotes the following file is the input file

[/o] denotes the following file is the output file

© 2010 CME Group. All rights reserved 8

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