CQG Trading Platform Service

CQG Logo

Introduction

Sierra Chart supports the CQG Trading platform service. With the CQG Trading platform service you are able to trade futures and futures spreads for many exchanges in the world.

Refer to the supported CQG exchange list for the exchanges that you can trade on.

The Sierra Chart trading features fully support the CQG trading platform service.

Sierra Chart supports the FIX connection and the CQG Web API connection for trading when using CQG. We recommend using the FIX connection as it is more reliable.

What is Included

  • Supported Exchanges: Refer to the supported CQG exchange list.
  • Streaming Real-Time Data: Yes .
  • Historical Intraday Data: Yes. Requires a Sierra Chart service package which includes the Sierra Chart Historical Data Service for historical Intraday data for expired futures contracts. At least 5 years of data available for major futures markets. Data is tick by tick for current futures contracts. For expired futures contracts, tick by tick data is available with Sierra Chart service package 5. Futures markets on exchanges other than the CME, ICE, and EUREX may have a 10 minute delay with historical Intraday data. Although the major futures markets do not have a 10 minute delay.
  • Historical Daily Data: Provided by the Sierra Chart Historical Data Service.
  • Historical BidVolume and AskVolume: Yes.
  • Market Depth Data: Yes.
  • Live Trading Services: Yes.
  • Simulated Trading: Yes. Only through Sierra Chart Trade Simulation Mode.
  • Order Types Supported: All except Market if Touched.
  • Server Managed OCO (Order Cancels Order): Yes when using the CQG FIX Trading or the CQG Web API Service if Global Settings >> General Trade Settings >> Use Server-Side OCO and Bracket Orders is enabled.
  • Server Managed Bracket Orders: No.
  • Automated Trading (applies to Live or Simulated): Yes.
  • Historical Order Fills from Trading Server: Yes. Current day only and clears at the end of the trading day.

Setup Instructions

  1. In order to use the CQG Trading platform you must have an account with one of these brokers or clearing firms supporting CQG:
  2. Your broker will provide you with the necessary CQG Username and Password. You will need that from them before you can proceed.
  3. Make sure your broker has configured your CQG account with the necessary Product Enablements. This is essential to be able to connect.
  4. Go to Sierra Chart. Select Global Settings >> Data/Trade Service Settings on the menu.
  5. Click on the Service list box at the top of the window. Select the CQG FIX Trading [trading] service name from the list.
  6. In the case of a CQG demo account or in the case where your broker has specified you need to use the CQG Web API, then select the CQG Web API [trading] service name from the Service list.
  7. In the Server box, select Live. Only select Demo if you are using a CQG demo account.
  8. In the Connection Details frame, enter your CQG trading account Username and Password. These are case sensitive! Make certain you enter them exactly as provided by your broker/trading service.
  9. Make sure that Connection Details >> Connect to Market Data Server is set to True. However, if you will be using the Sierra Chart Exchange Data Feed exclusively for market data, then set this to False.
  10. Normally Allow Server to Drop Data should be set the False. This is a CQG specific option. If this is set to True, then it tells the CQG server that when it detects the client-side is not processing data as fast as the server is sending the data, it will start dropping some market data and not send it through to the client. Set this option to True if you notice that the connection to CQG is frequently getting lost.
  11. Enable the Connect On Program Startup and the Reconnect on failure options.
  12. Set the Time Zone setting to the time zone that you want times displayed in.
  13. Set the Intraday Data Storage Time Unit to what you require.
  14. Press OK to close the Data/Trade Service Settings window.
  15. To connect to the data and trading servers, select File >> Connect to Data Feed on the menu.
    Connect
  16. If the Window >> Message Log window opens and displays messages indicating there was an error connecting to the CQG Trading service, then select File >> Disconnect to prevent further connection attempts. Next, carefully review the setup steps above again.

    If you receive the following message: CQG Trading | Market data logon unsuccessful. Server message: Logon failed: Trader is not enabled to use SierraChart client application. Please contact your FCM., then contact your Trading service and refer them to the CQG Account Requirements section for what needs to be enabled on your CQG account.

    If you receive the following message: CQG WebAPI | Market data logon unsuccessful. Server message: Username or password is incorrect, then check the Username and Password in Global Settings >> Data/Trade Service Settings >> Connection Details. Contact your broker/trading service to find out what those are if you do not know. Sierra Chart support will not know what they are.

    If there is some other message displayed, then in most cases it is a message from the CQG system. You need to read what it says and contact your broker/trading service about it. The message should be self-explanatory. If not, contact CQG for interpretation.

    After checking the connection settings in the Global Settings >> Data/Trade Service Settings window and your CQG account enablements through your Trading service, try connecting to the data and trading servers again by selecting File >> Connect to Data Feed on the menu.

    If there still is an error connecting, then review help topic 1.5 or Common Error Messages.
  17. To open a Historical Chart, an Intraday Chart or a Trading DOM, select File >> Find Symbol on the menu. Locate the symbol in the lists and press the appropriate button. If you do not see the symbol that you need to use listed, contact Sierra Chart support so that we can add it for you.
    Find Symbol


    If you do not see any symbols listed in the Find Symbol window, then select Global Settings >> Symbol Settings >> Update From Server. Wait for the symbol list to update and then press OK and try opening the Find Symbol window again.
  18. For a complete list of CQG symbols, refer to the CQG Tradable Symbols XLSX.
  19. Note: When performing trading, the Trade Account in the list of accounts on the Trade Window, may be different than your actual Trade Account identifier. This is not unusual with CQG FIX.
  20. Continue with step number 3 on the Getting Started documentation page.

CQG Account Requirements

To use Sierra Chart with CQG requires that you have a CQG account which has the following enablements: The Sierra Chart Connection Mode with the SierraChartData private label. And the FIX Connection Connection Mode with the SierraChart private label. Refer to the screenshot below.

CQG charges for both of these. Check with your broker to find out the costs of these.

However, the FIX Connection is not required if your CQG account will only be used with the CQG Web API.

If you will be using the Sierra Chart Exchange Data Feed exclusively for market data, then you do not require the Sierra Chart Connection Mode with the SierraChartData private label. In this particular case you will need to set Global Settings >> Data/Trade Service Settings >> Connection Details >> Connect to Market Data Server to False.

CQG only allows one connection to the CQG system per CQG username at a time. The solution to this is to use the DTC Server in Sierra Chart.

Market Data Authorizations for Symbols/Exchanges

To receive streaming real-time data from the CQG Trading Platform service for a particular symbol requires that your CQG Trading account is authorized for the exchange that the symbol trades on.

You will need to contact your Trading service and have them authorize your CQG account for the exchanges that you require.

An example message you will see in the Sierra Chart Window >> Message Log is the following which indicates your CQG trading account is not authorized for the particular exchange the symbol trades on:

CQG FIX Trading | Market data subscription for F.US.EPZ15 was unsuccessful. Text: Real-time data for instrument F.US.EP (corresponding to ID = 1) are not allowed.

You will also see Symbol is Unknown displayed on the chart for 30 seconds when a Symbol is not authorized on your CQG trading account.

Additionally, to receive market data, select Global Settings >> Data/Trade Service Settings. Set the Connection Details >> Connect to Market Data Server to True. This is necessary if you are using the CQG market data feed.

After your account has been authorized for the exchange or exchanges for the symbol or symbols that you want to follow, and you have set your correct CQG Username and Password in Global Settings >> Data/Trade Service Settings, then follow the procedure to reconnect to the data feed.

ICE Historical and Real-time Data: Unless you are paying the USD 110 exchange fee for the ICE exchange you will not receive any historical or real-time data for any ICE symbols. There is a separate USD 110 cost for both ICE US and ICE Europe.

Common Error Messages

This section lists common error messages you may receive in the Sierra Chart Message Log (Window >> Show/Hide Message Log) or Trade Service Log (Trade >> Trade Service Log) relating to CQG Trading.

  1. CQG Trading FIX: Received a Logout message. Text = Too many logon attempts. Please contact your FCM.

    The above message, "Too many logon attempts. Please contact your FCM." means there have been too many connection attempts to the CQG FIX server and further connections are being blocked. Follow through the instructions at step 4 in the Setup Instructions and reenter your Username and Password to make sure they are correct. If you are not sure what they are, confirm them again with your broker.

    Connect again to the server with File >> Connect to Data Feed. If you continue to get the message "Too many logon attempts.", contact your broker and see if they need to unlock your account.

  2. CQG FIX Trading | Market data logon unsuccessful. Server message: Logon failed: Trader is not enabled to use SierraChart client application. Please contact your FCM.

    The above message means you need to contact your broker/trading service and have them enable the SierraChart client application on your CQG account to connect to the CQG Web API. For additional details, refer to CQG Account Requirements.

  3. CQG FIX: Connecting to demo.cqgtrader.com. Port: 6912.
    CQG FIX: Sending the Logon message.
    CQG FIX: Received a Logout message. Text = Trader is not enabled to use SierraChart. Please contact your FCM.

    The above message means you need to contact your broker/trading service and have them enable your CQG account to allow the SierraChart client application to be able to connect to the CQG FIX server. For additional details, refer to CQG Account Requirements. As an alternative try setting Global Settings >> Data/Trade Service Settings >> Service to CQG Web API and try connecting using that Service.

  4. Text: Order Action rate exceeded. Order Modification failed. Please call CQG.

    A message containing the above text can be displayed in the Trade Service Log when there are too many order actions (new orders, order modifications, or order cancellations) occurring within too short of a time period. You need to contact CQG and have them increase the allowed order action rate for your account. This message comes from CQG.

CQG Symbol Format

The symbols passed to CQG FIX API are expected to be strictly formatted as shown below.

Refer to the CQG Tradable Symbols XLSX document for the available symbols.

Type Formula
Futures F.[commodity prefix].[instrument symbol][month code] [two-digit year code]
Relative Daily Future F.[commodity prefix].[instrument symbol]
Options [C or P].[commodity prefix].[instrument symbol][month code][twodigit year code][strike price]
Fixed Income T.[commodity prefix].[instrument symbol]
Cash and Currency X.[commodity prefix].[instrument symbol]
Exchange-Traded Spreads The [instrument symbol] should include the type of strategy and strategy leg gap without additional periods. See: http://www.cqg.com/Docs/ExchangeTradedStrategies.pdf

The commodity prefix is usually US. You can confirm the prefix using Symbol Search in CQG IC. Some exceptions are stocks on the Australian Stock Exchange (AU), the Bombay Stock Exchange (IN), and German Equities (DE), for example.

CQG Exchange Traded Strategies/Spreads Symbol Format

Sierra Chart supports CQG exchange traded strategy and spread symbols. It is necessary to use the standard CQG format for these.

The format is described in the Symbology for Exchange-Traded Strategies PDF document.

Once the correct symbol format is determined, add F.US. in front of it. Example: F.US.ZSES4N6

To open a chart or Trade DOM for one of these strategy symbols, select File >> Find Symbol. In the Selected Symbol box, enter the complete symbol and press the appropriate button.

If you want to change the symbol of an existing chart or Trade DOM, refer to the Changing the Symbol of a Chart section.

Historical Price Data

To be able to receive historical data for strategies/spreads, requires that your CQG account is authorized for historical price data.

If it is not, you will see a message like the following in the Window >> Message Log.

Time and sales data for instrument F.US.EDAL12 (corresponding to ID = 21) is not allowed.

Even if you are using strategy symbols only with Trade DOMs, it still is necessary to have historical data if you will be using the Volume by Price study on the Trade DOM. Otherwise, it is not necessary to have access to this data.

CQG Options Symbol Format

Sierra Chart supports charting and trading options when using CQG.

Historical chart data for options may not be available from the CQG data feed. However, when connected to the CQG data feed, any data received in real-time is stored by Sierra Chart for the option symbol.

The option symbol format is as follows:

[Call or Put].US.[Base Symbol][Month Code][2 Digit Year][Strike Price]

To look up the Base Symbol, refer to the CQG Tradable Symbols XLSX document.

Example option symbol: C.US.EPU1622000. This is a call option with strike price 2200 for the S&P 500 mini futures for September 2016.

To open a Chart or Trading DOM for an options symbol, select File >> Find Symbol. Enter the options symbol in the Selected Symbol box. Press the Historical Chart, Intraday Chart or Trading DOM button.

Solving CQG Market Data Feed Problems

When using CQG the following problems can be encountered with market data from CQG.

  • Symbol does not update in real time on a Chart, Trade DOM, or Quote Board.
    1. Make sure you are using the correct symbol format. Refer to CQG Symbol Format.
    2. Refer to the Market Data Authorizations for Symbols/Exchanges section to make sure your CQG trading account has the proper authorizations for the exchanges that you need data for.
  • Data is Lagging.
    1. Refer to help topic 4.
    2. Set Global Settings >> Data/Trade Service Settings >> Other Settings >> Allow Server to Drop Data to True.
    3. After changing the above setting, reconnect to the data feed.
    4. If this does not resolve the problem or if you notice missing data from your charts when this setting is set to True, then use the Sierra Chart Exchange Data Feed. This data feed requires a Direct Account.
  • Data Feed Stops.
    1. Reconnect to the data feed.
    2. If this problem is ongoing and you have to frequently reconnect, then use the Sierra Chart Exchange Data Feed. This data feed requires a Direct Account.
  • Frequent Reconnections.
  • If the data feed stops, there is a reconnection to the data feed and the following messages are listed in the Window >> Show/Hide Message Log at that time, then this indicates the CQG server has closed the connection for unknown reasons.

    CQG WebAPI websocket (24) | Closed. No error.
    CQG WebAPI websocket (24) | SSL shutdown indicates not able to send 'close notify'.
    CQG WebAPI websocket (24) | SSL has been shut down.
    CQG WebAPI websocket (24) | SSL object has been freed. SSL state is now disconnected.
    CQG WebAPI websocket (24) | Shutdown and closed.
    CQG WebAPI | Network socket for websocket has been closed by remote side.

    Or
    CQG WebAPI | Websocket received OpCode Close. Received status code: 1000
    CQG FIX Trading | Websocket closed.
    Connection to the external service has been lost.

    If this problem is ongoing, then it is recommended you use the Sierra Chart Exchange Data Feed. This data feed requires a Direct Account.

    If the problem has to do with market data not being received to your client-side quickly enough and the server is closing the connection for that reason, then the Sierra Chart Exchange Data Feed has a Low Bandwidth Option which may help.

CQG Trading Account Numbers

When Sierra Chart connects to the CQG trading server whether this is the FIX server or the Web API server, it receives the account number or numbers assigned to your CQG username. You can select a particular Trade Account you want to use, on the Trade Window. Refer to Selecting Trade Account.

The correct account number should be properly assigned to your CQG username, however you need to check with your broker about this.

The account number that you actually see from the FIX server and listed on the Trade Window may be different than the account number you see on the account statements from your broker. The account number you see listed is the account number from FIX Tag 1. This is a valid account number.

Trust the account number received from the FIX server is the correct account number and maps to the correct account name that your broker may use. Your broker should be able to confirm this.


*Last modified Saturday, 17th September, 2016.