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Total Posts: 1682
Joined: Jun 2004
Posted: 2021-06-16 16:54
Have anyone manage to replicate SPAN margin methodology for CME ES futures and futures options? Would you be willing to share?

PS. I know there is PC SPAN but if I want to run a margin calculator automatically it's not a viable solution

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Total Posts: 1376
Joined: Mar 2004
Posted: 2021-06-16 21:47
In commod space I recall getting close but not 100% when I tried. I think there were some offsets and rules around the edges of the main SPAN scenarios that I either didn't find the data for or didn't manage to implement correctly. Memory is a bit fuzzy.

Is the intent fully replication or "good enough" to make decisions from?

P.S. I also recall managing to wrap PC SPAN so I could run it on-demand on a Linux server. Think it was a .NET thing and I managed to get it running with mono, or if it wasn't .NET via wine. I don't recall the tooling between ICE and CME, got both working at least.

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Total Posts: 1682
Joined: Jun 2004
Posted: 2021-06-21 18:56
I just want it to be close enough to real numbers. The purpose is (a) know if I breaching my margin limit at the run-time and (b) be able to know my margin usage for the backtests. I manage to build something that does OCC SPAN margin very close, but CME so far is "elusive".

'Progress just means bad things happen faster.’


Total Posts: 260
Joined: May 2006
Posted: 2021-06-22 07:05
Also, CME is in the progress of migrating to its SPAN 2 methodology, so it may be a bit of a moving target.

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