Customers using our flagship product, CQG Integrated Client (CQG IC), have access to a new study called Algo Orders. Using a proprietary algorithm, this trading activity indicator detects and exposes hidden volume (iceberg orders) on the market. This study displays “executed volume - displayed volume” for buy and sell orders. Using RTD syntax, you can pull the study values from CQG IC into Microsoft Excel® in real time.
The spreadsheet displays four market data groups with each group having four columns. The market data groups are:
- one-second sub-minute bars
- five-second sub-minute bars
- one-minute bars
- five-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 and AlgOrdAskVol study values 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, charts, the Bid/Ask Volume study, and a horizontal depth-of-market view are displayed.
Four charts use the same time frames along with the BA Volume Cross study. The BA Volume Cross study is the 5-bar running sum of traded volume at the ask price (green line) and traded volume at the bid price (red line).
For more details about this new CQG study, here is a link to the Algo Orders help file: https://help.cqg.com/cqgic/16/#!Documents/algoordersalgord.htm.
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 plus trading enablement. 64-bit Microsoft Excel is recommended.