CQG uses an electronic market data format based on the FIX standard which provides a sound model for reducing the overall content of data transmitted through an incremental book management approach. FIX provides a flexible protocol for market data messaging which is well suited for transmitting electronic books from the CQG trading platform to customers. Incremental book management provides significant efficiency and flexibility across the entire market data infrastructure. The use of incremental FIX market data messaging in combination with FAST compression produces a highly optimized feed which results in bandwidth savings as well as latency reductions.
CQG represents markets in executable orders and quotes using an order book that may grow indefinitely. This order book is constantly changing as market events cause orders to be added, modified, and cancelled. Updates are then sent out over a market data stream so client systems can then construct a copy of the book in order to track prices in the market and submit appropriately priced orders.
Incremental Book Management Applicable FIX Message Structures
The Market Data Incremental Refresh (tag 35-MsgType = X) message is used to apply instructions to a book. These instructions are incremental and update applicable parts of the book as necessary, as opposed to refreshing the entire book each time there is an update. This message is used to maintain the order book for contracts listed by CQG. This message, on a real-time basis, is also used to send statistics.
The FIX Market Data message has a FIX header followed by a number of data blocks. Each data block represents a single instruction such as a book update or trade. This section refers to the items as data blocks when describing how the book is maintained.
Common Book Update Tags
Common Tags
|
Tag |
Field Name |
Description |
|
279 |
MDUpdateAction |
Type of Market Data update action. |
|
269 |
MDEntryType |
Type of Market Data entry. |
|
83 |
RptSeq |
Sequence number per Instrument update. |
|
276 |
QuoteCondition |
Space-delimited list of conditions describing a quote. |
|
48 |
SecurityID |
Unique instrument ID as qualified by the exchange. |
|
1023 |
MDPriceLevel |
Position in the book. |
|
273 |
MDEntryTime |
Time of Market Data Entry. |
|
270 |
MDEntryPx |
Price of the Market Data Entry. |
|
271 |
MDEntrySize |
Quantity or volume represented by the Market Data Entry. |
Central Limit Order Book
The central limit order book is available over a market data feed that provides an aggregate book. The term “aggregate book” is used to refer to the case where orders are summarized at each price level. The quantity associated with that price level is the aggregation of all individual order quantities for that price level. CQG offers the following:
•multiple-depth book
•top-of-book
Notes: Client systems must be able to process all valid values in tag 279-MDUpdateAction.