billm

Are you utilizing an option pricing model? Obviously the model employed should be aprropriate to the underlying instrument you are trading. If you go the commercial platform route, it should give choice of models for each instrument, and at this point most platforms have a quick and dirty algorithm to replicate span (standard portfolio analysis) arrays the CME uses for calculating option margins on cme products. If you are trading CME options products you can get the exchanges span application here: CME Clearing House Back of the envelope/quick and dirty approximations are rough as the cme still uses securities style margining (thus lov & sov) - it gives them more of your money to hold in the clearing house. Liffe pioneered the way by taking Ed Gogol's original span model and changing it to futures style margining for futures options, a much fairer approach, but not as profitable if high customer margin balances on which to earn interest are a consideration, sic. I hope this helps.

mim = Market Information Machine see: Market Information Machine | LIM If you want to determine whether a trading idea has merit this product is priceless. It is used at the most profitable trading shops in the world. Here is an example from one user: Stocks and Mid-Term Elections - Part I | markethistory.com | historical market intelligence If you can think up a scenario, the MIM can profile its past occurances. Just remember, gigo, except with this powerful tool I would caution for g-i-stir-g-o. Good luck, BillM

If you want to query the fundamental data to find tradable relationships you may want to try logical information machines 'mim'. Good luck, it goes deep... Cheers

Thank you for the response, momentom. Small world, I too, was an early comutrac member, traded fx at clearer, member at chi exch. etc. I have the hand calculator instructions Jim sent me but it has been many years since I did any programming (fortran) and consequently thought I would check if anyone knew of Jim's work and was willing to share.

Has anyone coded the Demand Index by James Sibbet for use with real-time volume? Those familiar with Humphrey Neill's 'Tape Reading and Market Tactics' may know of Jim's work adapting buying power and selling pressure to commodity markets. Thanks, BillM