Custom Market Algo Order Dashboard

This Microsoft Excel® dashboard displays market data for a user-selected symbol. The standard market data includes the CQG Algo Orders study, which is only available in CQG’s flagship product, CQG Integrated Client (CQG IC). This study monitors executed iceberg orders. The study displays “executed volume - displayed volume” for buy and sell orders. Using RTD syntax, you can pull the study values from CQG IC to Excel in real time.

When entering the symbol you'd like the dashboard to display, you must enter it in uppercase format.

In CQG IC, the study is applied to a chart. In Excel, the study output is displayed in two market data groups with each group having four columns. The market data groups are:

  • one-second sub-minute bars
  • five-second sub-minute bars

The first column in each group is the time of the closing prices and the second column is the closing prices.

Next to the closing prices are columns for the AlgOrdBidVol (Buys) study and the AlgOrdAskVol (Sells) study for each bar. At the top, there are filters for the two studies. If the AlgOrdBidVol study value exceeds the filter value, then the last price is highlighted green. If the AlgOrdAskVol study value exceeds the filter value, then the last price is highlighted red. If they both exceed the filter, then the larger one’s color is applied to the last price for the bar.

In addition, the two charts use one-second and five-second sub-minute time frames. The two charts display the Bid Ask Volume Cross study.

Related Resources:

Make sure to lower your Excel RTD throttle to 50 milliseconds or lower. Learn how to do that here.

Requires CQG Integrated Client version 16x and higher with a trading enablement. 64-bit Microsoft Excel is recommended.​

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