CQG traders interested in having a one page Quote SpreadSheet display of ICE instruments linked to a chart and a DOMTrader can download the following PAC into their CQG. To import, save the zipped file to your hard drive, unzip it, and import the PAC into CQG.
iceinstrumentspac.zip
You are invited to a free joint seminar put on by CQG and ICE in London on Friday, July 18th. For more information, please download the PDF Flyer.
CQG 7.7 introduces Time-Based TradeFlow Charts. This new charting style is similar to CQG’s TradeFlow™ charts, but this new version, as the name implies, is based on time. Please recall that TradeFlow charts are CQG’s innovative view of traders’ actions at the best bid and ask prices in the exchanges order book. The high and low of the TradeFlow bar is the best bid and best ask. The TradeFlow bars are color-coded to reflect the level of executed volume. The red portion is the percentage of trades executed at the bid price and the green portion is the percentage of trades executed at the ask price. The color brightness and the width of the TradeFlow Bars reflect the volume of executed trades. Bright and wide TradeFlow bars indicate heavy volume and thin, dark TradeFlow bars indicate low volume. Time is not a factor. New TradeFlow bars are plotted as the bid ask prices change.
Time-Based TradeFlow are similar to TradeFlow bars except they use time for plotting new bars. You can set up Time-Based
TradeFlow to be built on any intraday period you choose. The example shown here is a 1-minute Time-Based TradeFlow chart with a couple of my custom studies using a 5-bar running sum of trades at the ask price (the green line) versus trades into the bid price (the red line). The histogram oscillator is plotting the difference between the two lines.
Time-Based TradeFlow are color-coded to indicate the percentage of the trades at the ask price (green) and trades into the bid price (red). In addition, the width and brightness of the coloring indicate heavy or light volume. Wide bright bars indicate heavy volume.
We can see in the chart that following the retest of the 1322.00 low and when some economic news came out at 9:00 Central Time the market rallied with heavy volume. The Time-Based TradeFlow bars became wide and bright. Buyers were coming in. As the market climbed above 1334.00 to 1335.25, the prices bars began to narrow. The Time-Based TradeFlow bars were darker during the second test of the high. In addition, the 5-bar running sum of trades into the ask price (the green line in the middle pane) diverged with the earlier peak. Traders were no longer willing to pay up and the market started to move back down.
Some traders may find that Time-Based TradeFlow Charts are a nice bridge between classic intraday bar charts they are used to and CQG’s TradeFlow charts, which do not use time. The key element I think is getting the important volume information detailed by either version as to what traders are doing. Other charting styles only give you the last price and total volume. TradeFlow charts including the new time based version provide for you better insight into traders actions at the best bid and best ask price.
As more and more new features are added to CQG, there is a point where, depending on your computer, you can cause your computer to slow down as it works to update your charts, calculate all of your studies, plot constant volume charts, draw TradeFlow charts, monitor alerts, and so on. To better manage your computer and CQG, the folks here have created a document outlining the computer requirements and tips to better managing CQG to get the optimum performance.
The PDF file is found here:
http://www.cqg.com/Support/Customer-Education.aspx
Scroll down the page and you will see the link to the PDF file:
Technical Specifications - Check the specifications required for running CQG.
Tips for Optimizing Your CQG Experience (http://www.cqg.com/Docs/optimizecqgletter.pdf)
CQG offers fourteen different charting styles. One I like to use for tracking the energy markets is the Analog Chart. This chart style allows you to overlay different markets on the same chart. In my example, I have heating oil (the blue line), gasoline (the red line), and crude oil (the black bars) all plotted on the same chart.
I use the line charts to track the closing prices of heating oil and gasoline. As the chart shows, I also plot the 14-bar relative strength study (RSI) for each of the three markets using the same colors. One of my pet theories is that there is a shift in the RSI reading due to the trend of the market. If the trend is up, then the RSI will close higher than 62 and not lower than 38 during declines before turning back up. If the trend is down, then the RSI will peak below 62 during rallies and close below 38.
I like to track all three markets, crude oil and the products using the above monitoring of the RSI for all three markets. Currently, the RSI readings for all three markets have turned up from above 38 and appear to be starting to close above 62, again. This is up trending momentum behavior.
Of course, as with all technical analysis, the market can turn on a dime due to news or other events that can shift traders’ attitudes. Still, looking at momentum readings with an understanding of the effect of the trend is often not addressed in the classic textbooks.
The Analog chart is an easy way to monitor multiple markets and associated studies.
CQG will again this year at the FIA be displaying some of our latest developments for traders. Here, I will give you an early view of two of our latest work for traders using CQG for order routing: bracket orders and trailing limits.
Bracket orders
Bracket orders are an OPO (order-places-order) combined with an OCO (order-cancels-order). The concept is that traders may place a trade and they then place a target order to take a profit, which is linked to a stop loss order to limit the loss on the trade should the market go against the position. These two orders are OCO, so if one is filled, the other order is automatically canceled.
The Bracket Order functionality is selected from a pull down menu on the DOMTrader or the Order Ticket.
Then, if you place a limit order to buy or sell, the Bracket Order Confirm window opens for you to set the profit target and stop loss price levels. You can use points (ticks) or a dollar value. In addition, you can use either a Limit order or Iceberg order for the target price. For the stop loss order type, you can use a regular stop/stop limit, trailing stop/trailing stop limit of the new DOM Triggered Stop (DTS), which was originally called the Quantity Triggered Stop (QTS). The DTS order allows you to pick a level in the bid/ask order queue the amount of resting orders have to drop below before your order is sent to the exchange. The DTS places your stop order at the back of the order queue.
The next image is the DOMTrader, we can see the limit bid was filled at 1457.00 and there was an OCO order placed to sell at 1459.00 Limit, and a trailing stop was placed at 1455.75. The trailing stop price trigger level has moved up to 1456.00 because the market climbed one tick and the trailing stop climbed with it.
Trailing Limits
Trailing Limits are similar to our Trailing Stops.
Once a Trailing Limit is placed, the CQG Gateway will automatically adjust the
price level of the order. The preferences allow you to pick whether you buy order tracks the best bid, best ask, or last trade. Same for you sell order. These preference settings are very important depending on the market you trade because some markets the difference between the best bid and best offer can range from two to four ticks.
The value here is that if you placed a limit bid to buy in the best bid order queue and say you set the preferences to track the best bid for buys, if the best bid climbed one tick then your bid is automatically updated and moved up one tick. The goal is to get your bid into the best bid order queue as fast as possible, so you are near the start of the order queue, not at the back.
You can select the Trailing Limits from the pull down menu on the DOMTrader and the Order Ticket.
Summary
Bracket Orders, Trailing Limits, Trailing stops, and DOM Triggered Stops, are more examples of CQG development of order routing solutions. There are more to come.
The Order Display study shows on an intraday bar chart your entry points for executed trades and any resting orders. The executed trades are upward arrows for buys and downward arrows for sells. Any open orders are shown as horizontal lines from the time point the order was placed.
The Order Display study works well in conjunction with the SnapTrader and Order Book. These two features are order routing and order management. Use the SnapTrader place market, stop and limit orders. The Order Book details your current position, open orders, and you can cancel open orders.
The Order Display study is a useful study on two counts. First, you see the placement of your fills on the chart and you can easily monitor your resting orders by seeing them marked on the chart. If you trade with set targets and set stop loss points, and don’t happed to have set them as an OCO (order-cancels-other), then you will see resting orders still on the chart to cancel if other order is filled. You can cancel any resting orders by right clicking on the line and select cancel order.
Another feature about the Order Display study is it is an excellent tool for reviewing your trades at the end of the day. You can evaluate where you are entering and exiting the market and determine if you are executing according to your plan or at least your expectations.
Are you buying when the market is testing support or are you hesitating and executing late, which will increase your risk and cut down on your potential profits. Do you tend to chase the market? Or, and even a more serious problem, is do you let a losing position get away from you and you end up with losses larger than planned.
Here are two charts to compare ideas, which I created in PhotoShop. (I am still working on getting my trading right!)
Chart 1 is an example of what you would like to see as signs that you are buying near support and selling near resistance and if the trade does not work then the trade is exited with a break of the support or resistance.
Chart 2 exhibits evidence that the trades are taken far from support and resistance levels, and that the profits are taken quickly and the losses are allowed to run. The last sell was taken based on fear that support would be broken, but support was not broken. This trading is buying high with the hope of selling higher. Instead, the trader is buying high and selling low.
Using the Order Display study to review order entry and trade management at the end of the session can lead to a clear evaluation of the results coming from trading decisions.
On October 31, at 14:15 EST or 13:15 CST the FOMC released its new policy directive. This announcement often has a big impact on the markets. I think it is an interesting study to follow how the E-mini S&P traded just before and following the announcement using the CQG TradeFlow charts and Pre-Trade Analytics studies.
The value of CQG’s TradeFlow charts, TradeFlow studies, and Pre-Trade Analytics is the look it provides to you of what other traders are actually doing. Other charting styles just give you the last price. You do not know who the aggressor is in generating the trade. Is the last trade a trader buying or was the trader selling.
TradeFlow charting and TradeFlow studies give you that information. And, with the addition of Pre-Trade Analytics, a group of studies monitoring the activities by traders in the exchange’s electronic order book, you can now track what traders are doing away from the best bid and best ask prices. For example, are traders increasing or canceling their bid orders or ask orders as the market is moving.
Let’s start with the first minute before the announcement. The charts are rather large, but that is because there is a lot of information to follow and the market is really moving around.
Each chart uses a three-tick range aggregated TradeFlow bars, includes my two studies, the TFCross and the TFUmTFD, (I originally called the first study TF5VCrs, but I made it so you could put in any look back period). The next set of studies is from the Pre-Trade Analytics group: the DmTr (DOMTracker) and the DmTrOsc (DOMTracker Oscillator).
The final two sets of studies are the DmAct (DOMActivity), which tracks the amount of changes of the bid orders and ask orders (if a trader enters an order to buy 100 contracts and then cancels the 100 contracts, the reading is 200 contracts) and the DOMActivity Oscillator. The DOMActivity oscillator calculates the difference between the bid volume line and the ask volume line of the DOMActivity Study. Post a comment and I will send a PAC that has one page created with these studies. You need Pre-Trade Analytics enabled to see the studies.
Now, one other point: The DOMTracker measures the resting bid orders and ask orders in the order book. I have noticed that when the amount of resting ask orders is more than the bid orders then the market tends to climb. If the amount of bid orders is more than the amount of ask orders, then the market tends to go lower. This does not happen in every case, and it does not work this way in other markets. It’s just something I have noticed in the e-mini S&P.
So, I changed the colors to be green for the sum of the ask orders line and the sum of the bid orders line is colored red. The default preferences are the opposite. The idea on the default is that more bids should be signs of buyers so it is green and more ask orders is sign of sellers, so it is red.
The Market
The first chart shows the market action two minutes before the announcement. We can see that readings of all of the
studies collapse towards zero. Obviously, traders are backing away. They are not executing trades, which is indicated by the TFCross study falling, and they are not placing orders as indicated by the DOMTracker falling as well.
However, what trading is going on is to the downside and with the small sized orders as resting bids the selling is sweeping the market. Whenever a market is swept (all of the bid or ask orders are taken out) then the TradeFlow bars form a triangle pattern to alert you to this illiquid situation.
The second chart shows again, how thin the market is as we continue to see swept market conditions. Remember, this is a
three-tick range aggregated TradeFlow chart. Each bar should only have a high low difference of three ticks in price. One observation and that is some one did do some large trading at just one point.
The third chart shows what happened as the announcement was made. The initial
reaction is the market swept to the upside and then to the downside. All of the studies are starting to flash higher readings, but they are still low readings relative to typical readings as traders are trying to decide how to react to the FOMC announcement.
The fourth chart shows the completion of the first
minute following the announcement. The market is beginning to be less chaotic as the TradeFlow bars are starting to be the three-tick range and when the market is swept, the ranges are getting smaller.
The fifth image shows the market starting to trend. The red line of the TFCross, which is the five bar running sum of
trades into the bid, is starting to dominate. Usually, a sign of a trend is one line dominates the other, and during the counter trend move, both lines go flat.
Also, like I said, when the market is headed down, the bid line (red) of the DmTr (DOMTracker) study tends to dominate. However, in this example, the opposite is happening, as the green line is dominating. Traders are increasing the size of their orders to sell.
The sixth image shows the trend turned up. One possible indication of a short-term bottom was a peak in selling relative to what we had been seeing as the trades into the bid line climbed above 5,000 contracts. The second indication was
following the low the market climbed and then tuned down, but the bid volume line did not climb. Sellers were backing away. Next, the green line (trades at the ask price) started dominating. That is up trending price/volume action.
The seventh image is interesting. Notice that the trades at the ask (the green line)
climbed above the peak immediately to the left and the red line limbed, too, but the market did not take out the nearby high. It looks like (with the benefit of hindsight) that the buying was not able to take out the resting sell orders. And, the red line of the TFCross climbing with the green line meant traders were selling into to the short-term rally. The lesson is that just because there is a lot of buying does not guarantee that the market will go up. Following this failure, sellers became more aggressive.
The eighth and last image shows the market making a new low, but the trades into the bid (red line) did not make a new
high. The lower prices did not attract more selling.
Then, there was a change as traders became more aggressive at buying then selling. The green line of the TFCross was dominating the red line. Also, when a market is trending, check the TFUmTFD oscillator. That tracks the difference between the bid and ask volume lines of the TFCross. Peaks and troughs can be an early warning to a new short-term trend.
Summary
TradeFlow and Pre-Trade Analytics provide a view into traders actions at the best bid price, best ask price, and what traders are doing away from the current market. This is a view not available in other charting styles. This may seem to close of a view for some, but it could be the final step of analysis. TradeFlow and Pre-Trade Analytics can dovetail with your tried and true market analytics.
Another feature coming in 7.6 is the ability to link windows. There is a main or parent window and then all of the other windows are linked to the parent window. If you change symbols in the parent window, for example in the image provided the Quote spreadsheet is the parent window, then the other widows change symbols.
The red square icon towards the right on the title bar identifies the parent window. The linked windows have the same color, in this case red, and the circle shaped icon. So, when I select a different symbol on the Quote Spreadsheet, then the
charts and the Order Ticker changes symbols, too.
Moreover, I have set up a Quote Spreadsheet for trading. So, I can move through symbols, checking the charts, and place trades, all though one main display.
Linking is available on these windows:
-Chart
-Last/Net Change
-Market Watch
-Quote Board
-Custom QuoteBoard
-Quote SpreadSheet
-Enhanced Quote SpreadSheet
-Time & Sales
-Options Window
-Options Graph
-AllCons
-SnapQuote
-DOMTrader
-Order Ticket
-Order Ticker
Version 7.6 should be released later on this year and it has some features that combine monitoring the markets and order routing into one solution. The Quote Spreadsheet has additional columns available for placing orders at the current best bid or offer, as well as at the market. You can set up groups of markets with buy/sell order routing columns and create a wide view of the markets along with quick and easy order routing.
The Quote spreadsheet lists symbols by rows and has well over 200 choices for columns depending on the market.
Here, is an example of setting one up for tracking and trading options on the E-mini S&P 500.