Span part 2 - this time the file is XML

Oh ho! It transpires that the Australian Stock Exchange (ASX) publishes their Span data in XML. I haven't found the schema description but, because XML is human-readable, I was able to build a parser. This time I did it using discriminated unions. Much better, although disappointingly more difficult to query after construction. That merits further investigation. (edit: URL at ASX which explains what Span is all about: ASX) and here is a link to the input files used by the parser: Risk parameter files Go and check out Span2 on Google Code Aha! I've found the schema definition. It's here

Span (or SPAN?) - they use it for margin calculations but I need to build a parser

London Clearing House provide daily Span files at LCH which list, as far as I can determine, a large number of contracts and the inter-contract spreads. These inter-contract spreads may apply to 2, 3, 4 or more particular contracts and they are applied in a specific order. Therefore, if the portfolio contains contracts AA, BB and CC and there is a listed spread between AA and BB and another between BB and CC then we take the one with the highest priority and calculate margin for the remaining contract by itself. For example, if AA - BB has priority 1 and BB - CC has priority 2 we will be left with CC in our portfolio on which we must calculate the full amount margin. AA and BB are mutually (although not necessarily completely) offsetting. The Span files given at the LCH URL above are fixed-format. Ewwww! When was the last time you had to build a parser for a fixed-format file? Especially one containing hierarchical data. Moreover, when I started this the specific column format of the file was unclear and required reverse-engineering. Hmm, nice. Luckily, before I had mistaken too much error as progress, I found a specification for the format. Phew! The Span v4 file format specification There it is. What a beauty! It seems that the format specification is incomplete. That is, it is sufficient for files received from LCH but for the general case, there is a fuller description. This format is specified at the CME and this is it. So I set about creating a parser for this little gem. Oh, and I should mention that I did it in F#. Check it out at Google Code in the Span directory. Yes, I know it's in the wrong place but it'll do. So go and look at it. Note that the fixed-format parser does not currently support the fuller format from CME, just the one supplied by LCH. Lovely. Now, assuming you've made it this far you'll be thinking that that code is not very nice. Well, you'd be right! I'm not afraid to admit that it's pretty evil stuff. In my defense, however, I would like to say that it was done quite quickly with a view to being rewritten later and that it's been quite a while since I wrote any F#. Ho hum ...