While CQG FIX API uses the same contract symbols as CQG Integrated Client (CQG IC), additional requirements exist. Additionally, the CQG FIX API supports either exchange symbols or custom symbols mapped to base CQG symbols. Please see details above in the CQG Gateway-Specific Features section.
The symbols passed to CQG FIX API are expected to be strictly formatted:
|
Type |
Formula |
|
Futures |
F.<commodity prefix>.<instrument symbol><month code> <two-digit year code> |
|
Relative Daily Future |
F.<commodity prefix>.<instrument symbol> |
|
Options |
<C or P>.<commodity prefix>.<instrument symbol><month code><two-digit year code><strike price> |
|
Fixed Income |
T.<commodity prefix>.<instrument symbol> |
|
Cash and Currency |
X.<commodity prefix>.<instrument symbol> |
|
Exchange-Traded Spreads |
The <instrument symbol> should include the type of strategy and strategy leg gap without additional periods. See: https://help.cqg.com/cqgic/25/#!Documents/exchangetradedstrategysymbology.htm |
The future/commodity prefix is (US). Equities use a specific country code designation e.g. Australian Stock Exchange (AU), the Bombay Stock Exchange (IN), and German Equities (DE). You can confirm the prefix using Symbol Search in CQG IC.
Instrument symbols can be looked up using Symbol Search. Additionally, FIX Connect can support custom symbols that are mapped to CQG symbols.
Month codes:
|
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
|
F |
G |
H |
J |
K |
M |
N |
Q |
U |
V |
X |
Z |
Please note that not all contracts available in CQG are tradable. For a list of tradable contracts, please see https://www.cqg.com/partners/exchanges/tradable-symbols. Or download the .xlsx file here.
The following table shows examples of symbols for different types of contracts:
|
Symbol example |
Meaning |
|
C.US.QOJ091355 |
ICE Brent Crude, Apr 09 1355 Call |
|
F.US.EDAS6Z12 |
Eurodollar Calendar Spread 6, Dec 12, Jun 13 |
|
F.US.EPW1M09 |
E-mini S&P Reverse Calendar Spreads 1, Jun 09, Sep 09 |
|
F.US.EPZ08 |
E-mini S&P 500, Dec 08 |
|
F.US.RBECLEQ08 |
RBOB vs. WTI Crude Crack (Globex), Aug 08 |
|
P.US.EPH0915200 |
E-mini S&P 500, Mar 09 15200 Put |
|
T.US.B044P0510 |
BrokerTec US Note 4.500% May 10 #912828G |
|
X.US.LDKZ |
Copper (USD, 90d Fwd) SELECT (London Metals Exchange) |
Using Exchange Symbols in API Requests
Upon request to CQG API Support, a FIX API product (private label) can be configured to use exchange symbols for contracts.
To use exchange symbols, the client must specify a valid exchange symbol corresponding to a contract supported by CQG in the Symbol(55) tag of API requests.
In addition, specifying the exchange code in SecurityExchange (207) is mandatory.
The same rules apply to SecurityID(48) and to symbols used within repeating groups:
•LegSymbol(50600)
•LegSecurityID(50602)
•LegSecurityExchange(50616)
and other similar fields.
When this configuration is enabled, only exchange symbols may be used in requests.
Symbol and SecurityID Requirements
In this mode, the rules for Symbol (55) and SecurityID (48) are identical:
Both fields must contain fully qualified exchange symbols corresponding to specific contracts.
Using commodity codes, root symbols, or any partially specified identifiers (e.g., underlying only, without expiry) is not allowed.
Examples:
•Valid: ESZ6 (fully specified contract)
•Invalid: ES (commodity/root only)
All symbols returned in Execution Reports and other reports will also be provided in the same exchange symbol format.
When placing spread orders (both native spreads and UDS) using NewOrderMultileg (35=AB), the following rule applies:
•The client must specify the exchange contract name for each leg within the NoLegs(50555) repeating group.
This includes mandatory population of the following fields per leg:
•LegSymbol (50600) - exchange symbol of the leg
•LegSecurityExchange (50616) - exchange MIC (SegmentMIC or OperatingMIC)
•LegSecurityID (50602) (if used) - must also contain the exchange symbol
Exchange Symbol Reference Data
The list of supported exchange symbols and their mapping to CQG contracts can be obtained by downloading archives containing CSV files from sftp.cqg.com.
To populate the SecurityExchange (207) field:
•use the value from the SegmentMIC column;
•if SegmentMIC is not available, use OperatingMIC instead.
Credentials (username and password) for accessing the SFTP server must be requested from CQG API Support.