While CQG FIX API uses the same contract symbols as CQG Integrated Client (CQG IC), additional requirements exist. Additionally, CQG FIX API can support a custom set of symbols (Bloomberg and RIC) that can be mapped on base CQG symbols.
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: http://www.cqg.com/Docs/ExchangeTradedStrategies.pdf |
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) |