Futures Symbology

Format: F.<symbol><month code><year>

Example: SPU14 = September 2014 S&P 500 futures contract

For currently traded (non-expired) contracts, the lead digit of the year can be omitted, e.g. USAZ9.

Symbol are mapped to commodity symbols before contracts. Therefore, entering SF displays the lead month for Swiss Francs, rather than January soybeans. For soybeans, include the year, SF3.

For specific contracts	Type
most active futures contract, not including spot	<symbol>?
most active futures contract, including spot	<symbol>??
first non-expired futures contract	<symbol>?1
second non-expired futures contract	<symbol>?2
seventh non-expired futures contract	<symbol>?7

 

Entering Rolling Strips

Format: (SP?1 + SP?2 + SP?3)/3

A rolling strip is the average price for a series of contracts where the composition of the series is adjusted as contracts expire.

For example, February ?1, ?2, and ?3 would indicate the months of March, June, and September. In April, ?1, ?2, and ?3 would indicate the months of the June, September and December.

You can average as many contracts as you want.

Rolling strips are typically used with futures and cash.

Options Symbology

symbol = symbol of the underlying security

 

Full format (calls): C.<symbol><month code><year><strike price>

Full format (puts): P.<symbol><month code><year><strike price>

The strike price is 2-5 digits. Strike prices must be formatted exactly as shown on the Options Window.

Example: C.SPZ171500 = December 2017 1500 call on the S&P 500 futures contract

 

Short format: C.<symbol>_<month code><year>.<strike price>

Short format: P.<symbol>_<month code><year>.<strike price>

Example: C.SP_U7.1500 = September 2017 1500 call on the S&P 500 futures contract

 

For specific contracts	Type
at the money for the nearby month	C.<symbol>? P.<symbol>?
at the money for some other month	C.<symbol><month><year>? P.<symbol><month><year>?
strikes for the most active month	C.<symbol>? P.<symbol>?

 

On Options windows, you can enter the symbol only.

On the Quote SpreadSheet, you can enter C.<symbol><month code><year> then press CTRL+ENTER to view data for a series of one option class. (Enter P. for puts.)

Example: C.SPUZ = All September S&P 500 futures contracts.

Note: CQG does not currently carry calendar spread options because we cannot process negative strike prices.

Treasury (Bonds and Bills) Symbology

Bill format: <data source><ddmm>

Example: B0412

 

Bond format: T.<country code>.<data source><coupon><P/Y><maturity date>

Tullett uses US as the country code, while NASDAQ OMX eSpeed, BGC, and ICAP use the native country.

P = price. Y = yield. Some European, all Japanese, and all Latin American bonds use yield.

Example: T.US.B044P0412

CQG’s bond lists are groups of bonds of the same term with different maturity dates. On the All Contracts window, they are organized in reverse maturity order, which means the instruments with the furthest maturities are at the bottom of the list, and the instruments with the nearest maturities are at the top.

An alias is a wildcard used to exhibit the current benchmark or display all current debt issues for a given country and maturity term on a particular exchange. An alias points to the current benchmark bond of a given term.

Always use P (price) for aliases to receive benchmark as a price, such as CUS10P. Using CUS10Y returns the current 10-yr yield on a continuous basis.

For specific contracts	Type
benchmark bond	<alias>?0
first off-the-run bond contract	<alias>?1
second off-the-run bond contract	<alias>?2
ninth off-the-run bond contract	<alias>?9

 

Subsequent contracts (?1, ?2, ?9) all expand in reverse order from the benchmark to the top of CQG’s bond list (the oldest and least liquid issue) on the All Contracts window.

Negative indexes, for example ?(-1), show inverse functions of the contract.

On the Quote SpreadSheet, type the alias/benchmark symbol, for example JPY10Y, and ENTER for the benchmark bond. Typing the alias with CTRL+ENTER provides the full list of issues related to the given term maturity.

Mortgage-Backed Securities (MBS) Symbology

CQG’s wildcard notation allows you to enter MBS symbols that are calculated and updated automatically each month.

Asterisk notation tells the system to provide MBS data for the current month.

Question mark notation tells the system to provide MBS data for the current, second, and third delivery months.

For example, entering IF054P30?2 in August will give you the FNMA 5.5% TBA for 9/37. In September, that will automatically roll to the October offering.

Asterisk Format: T.US.<agency MBS><coupon rate><price or yield><maturity date>*

Question Mark Format: T.US.< agency MBS >< coupon rate >< price or yield >< maturity date >?<N>

(T.) and country code (US) are optional

Examples:

IG044P15* = IG044P0722

IG044P30* = IG044P0737

IG044P15?1 = IG044P0722

IG044P15?3 = IG044P0922

IG044P30?1 = IG044P0737

 

Field	Description
Agency MBS	Enter IM, IF, or IG. IM = FHMLC IF = FNMA IG = GNMA
Coupon rate	In eighths. Enter a three digit number that ends with 0 for whole percent or 4 for half percent. For example, 040 = 4.0% 044 = 4.5%
Price or yield	Enter P or Y. P = price Y = yield
Maturity date	Enter 15 or 30 for the maturity date. 15 = 15-year 30 = 30-year
N (question mark only)	Enter a number (1-3) for the delivery month. 1 = current month 2 = current month plus one 3 = current month plus two

 

Net Change symbology

By instrument: NC(EP)

By QFormula: NC(Q1)

By spread: NC(EP-ENQ) which equals NC(EP) – NC(ENQ)

By leg: NC(EP) – ENQ

Yield symbology

By instrument: YIELD(CUS10)

By QFormula: YIELD(Q1)

By spread: YIELD(CUS10-CUS30) which equals YIELD(CUS10)-YIELD(CUS30)

 

Related topics:

Synthetic Spread Strategies

Aggregation Strategies

User-Defined Strategies