The CQG Order Ticker
One of the fun aspects about working for CQG is I get to see some new tools in the pipeline, and in this section, “From the Alpha/Beta Corner”, I will share with you some that I think you will find interesting, too.
The first one I will review is one scheduled for release with CQG 7.5 and is called the Order Ticker. Now, I have just started working with this display, so think of this as an initial introduction as compared to explanation of how to interpret the Order Ticker.
Before I get into the details, have you stared intently at the depth-of-market ladder for a market, such as the e-mini S&P on Globex, thinking it would be helpful if you could actually track the changes occurring in the order book. That seeing not only trades going off at the best bid and ask, but also how the size of the best bids and asks were changing, as well as changes in the order book away from the market would be useful?
This is exactly what the Order Ticker provides for you.
The Order Ticker gives you a live view of the changes occurring in the depth-of-market ladder including trades executed, orders placed, orders canceled, and orders canceled and replaced. The Order Ticker gets its name because it uses a scrolling window similar to the old ticker tapes for the stock market.
You can set a threshold for minimum order size for details. In other words, only orders of a set size and higher are displayed. This slows down the information scrolling across the Order Ticker.
Here is an example of the Order Ticker for the e-mini S&P set to show only trades and orders greater than 5-contracts. I have labeled the events so you can see just how much information is detailed in the Order Ticker.
Actual trades are highlighted using bright background colors. Canceled orders are grey with a strike through the order size. A “cancel and replace” order shows the lot size and price level with a strike through the lot size and a line to where the new order is placed.
In addition, whenever the best bid ask pair changes the background switches between black and a slight grey screen is used. In addition, if the best bid ask pair shifts upward, the boundaries are colored green. If the best bid ask pair shifts downward, the boundaries are colored red. If the best bid ask pair shifts upward once, and then a second consecutive tick upward, the back ground changes colors for each change and the boundaries would be colored green for both segments.
The right hand scale matches the current segment, which will have a black or grey background. Trading and order activity in segments to the left of the current segment reflect the market price levels for that segment.
The second image has the threshold set to 50 contracts and higher. This slows down the information coming across the order ticker.
By adjusting the lot size, you can look for patterns that may help you gain better insight into what other traders are doing and how the market may be responding.
Moreover, as CQG always does, there will be enhancements to this tool in the future. The electronically traded markets have introduced new information for traders through the transparency available in the depth-of-market order book.