CQG-Powered Excel Dashboards

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Updated: 6 days 7 hours ago

CQG Custom Market Dashboard

Fri, 01/12/2018 - 12:00
This Microsoft Excel® dashboard displays market data for eight user-inputted symbols. The symbols must be entered in uppercase format. The dashboard displays the following data: Long description Price with the largest traded volume for the current session Horizontal depth-of-market price and volume ladder Time of most recent update in minutes, seconds, and micro-seconds Today’s traded volume by price in the price ladder (requires MarketDelta enablement) Open, high, low, last, and net change Best bid highlighted red if the last trade matches Best ask highlighted... more

CME Globex US Treasuries Algo Orders Tracker Dashboards

Fri, 01/05/2018 - 11:01
Customers using our flagship product, CQG Integrated Client (CQG IC), have access to a new study called Algo Orders. Using a proprietary algorithm, this indicator of trading activity detects and exposes hidden volume (iceberg orders) in the market. The 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. These dashboards are available: 2-Year Treasuries (Symbol: TUA) 5-Year Treasuries (Symbol: FVA) 10-Year Treasuries (Symbol: TYA) 30-Year Treasuries (... more

RTD and Historical Implied Volatility

Tue, 01/02/2018 - 09:34
CQG offers an Implied Volatility (ImpVol) study that allows you to pull in historical implied volatility data onto a chart. ImpVol is not the implied volatility of one particular option. CQG uses the outright contract symbol from the chart and initially starts with a baseline of 3 at-the-money contracts for each month for calls and puts, then several filters are run to eliminate series which would distort the implied volatility calculation. More information about the Implied Volatility study can be found here. This study can be applied to both an outright contract or to an... more

RTD and CQG Conditions

Tue, 12/12/2017 - 11:01
CQG offers a collection of conditions you can use to mark points on a chart when the condition is met. In addition, you can create your own custom conditions. You can easily bring conditions into Excel using RTD formulas. Excel displays a 1 if the condition is currently true or a 0 if the condition is currently false. In Figure 1, the cqg.ADXHigh condition is highlighted. Figure 1: CQG Formula Builder, Conditions tab Right above the description box is the title B.cqg.ADXHigh. This is what you enter for the symbol parameter in an RTD Study Data formula for 15-minute... more

ICE Cocoa Spreads Monitor

Mon, 12/04/2017 - 10:44
This Microsoft Excel® dashboard displays market data for cocoa spreads traded on the ICE platform using a matrix-style format. The outrights are along the top row and at the start of each row. The best bid and best ask are also included. If the latest quote is a new bid, then the bid price is highlighted green. If the latest quote is a new ask, then the ask price is highlighted red. Below the best bid row for each contract is today’s traded volume. Each volume row is heat-mapped using black for the lowest traded volume and increasing levels of intensity of blue for the higher levels of... more

ICE Coffee Spreads Monitor

Tue, 11/28/2017 - 11:38
This Microsoft Excel® dashboard displays market data for coffee spreads traded on the ICE platform using a matrix-style format. The outrights are along the top row and at the start of each row. The best bid and best ask are also included. If the latest quote is a new bid, then the bid price is highlighted green. If the latest quote is a new ask, then the ask price is highlighted red. Below the best bid row for each contract is today’s traded volume. Each volume row is heat-mapped using black for the lowest traded volume and increasing levels of intensity of blue for the higher levels... more

Pulling Market Data by Time Using Bar Index Function

Tue, 11/21/2017 - 11:01
You can use LocalHour and LocalMinute functions in the RTD formula to pull in the open price for a market using a 5-minute bar at 12:00. This technique was detailed in a previous article here. If you are pulling in a large amount of data using the above functions, then it can create a heavy load on CQG and Excel. A better way is to use the Bar Index function. There is a study you can add to a chart called Bar Index (BarIdx). This study simply counts the number of bars based on one of the following choices: Start of Day = number of bars since the... more

Globex E-mini S&P 500 Most Active Options Dashboard

Mon, 10/30/2017 - 08:37
This Microsoft Excel® dashboard scans the options on the E-mini S&P 500 futures market using the CQG RTD Toolkit for volume and displays the strikes ranked by the volume traded for each listed expiry. The scan covers options traded 15 strikes above and below the at-the-money option. The options are sorted by volume, not strikes. The options volume data is heat-mapped by group with the highest call volume levels in bright green and the highest put volume levels in bright red. A drop-down menu next to Symbol: allows you to choose the options series: E-mini S&P 500... more

Calling Custom and Standard Study Data into Excel

Mon, 10/23/2017 - 13:16
There are numerous Excel samples that walk you through bringing various market data into Excel using RTD formulas. However, there is a lot to look through. One solution is to use the CQG Formula Builder. You can right-click a study, hover your mouse over Send to, select Clipboard, and then paste the information onto your Notepad. The following is all of the information brought over for the cqg.RSI w/MA study. cqg.RSI w/MA: -- Overlaid = FALSE Parameters: RSIPeriod = 9 MAPeriod = 10 Curve 'RSI (Display String) /* This... more

Multi-Market Display Excel Dashboard

Mon, 10/16/2017 - 11:25
This Microsoft Excel® dashboard presents different styles of viewing market and study information. The left-hand side is today's current market data. You can enter symbols and set the number of decimals. The HiLoAlert cell is a user-entered value where if the Last price is within that amount of the high or the low, then the high price is highlighted red or the low price is highlighted green. For example, you enter 2 in the HiLoAlert cell and if the Last price is 98.50 with the current High being 100, then the Last is within 2 points of the High so the High price is colored red. The... more

Calling DOM Data Using RTD

Wed, 10/11/2017 - 15:01
There is an RTD call for depth-of-market (DOM) data for futures markets. You call the DOM data by symbol and queue number. You can pull the bid or ask price, bid or ask volume, and the time of the last update. The best ask price for the symbol EP (the E-mini S&P 500) is queue 1: =RTD("cqg.rtd",,"DOMData","EP","Price","1","T") For the amount of contracts offered at the best ask, use: =RTD("cqg.rtd",,"DOMData","EP","Volume","1","D") And for the time of the latest update, use: =RTD("cqg.rtd",,"DOMData","EP","Time","1","T") You must format the... more

Natural Gas Market, Spreads, and Strips Dashboard

Fri, 10/06/2017 - 11:01
This Microsoft Excel® dashboard has three tabs. The first tab displays today’s market quotes, volume, and open interest data. If the last price is matching the open price, then the open price is highlighted blue. If the last price is within one tick or equal to the high, then the high is colored green. If the last price is within one tick or equal to the low, then the low is colored red. The second tab displays 1- through 6-month calendar spreads. The dashboard offers the ability to enter a date to compare where the same calendar spreads were trading. You can enter... more

Calling Bid Ask Data using RTD

Mon, 09/25/2017 - 09:08
CQG charts have a setting called the BATS Charts Preferences. Here, you select what data to use to build the chart. You can use the default setting where the chart is built using trade and settlement data. You can uncheck Use default and elect to build the chart using best bid and best ask data. This is helpful when you are charting deferred contracts that do not trade very often but new bids and asks are being placed in the exchange’s order matching engine. For example, to see just the bids and asks for data, uncheck Use default and select Bid and Ask.... more