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Futures Trading dxFeed Data using CQG OMS

Posted: Thu Jan 23, 2020 5:42 pm
by MontanaMark
Is there any interest in potentially marrying the CQG order management system with dxFeed Bookmap data for futures trading?

From my viewpoint there are many advantages to doing this.

dxFeed Bookmap futures data is more expensive than CQG, but provides better quote data.  It seems that by offering a better, more expensive data option, CQG will likely not impact existing data users; however, they might gain a larger market share from Bookmap traders who require better data and more futures exchanges than Rithmic offers.  One U.S. example of this is that dxFeed seems very willing to provide CFE VX futures data which Rithmic doesn't currently provide.

Don't know how overall cost and speed of execution might compare between Rithmic and a dxFeed/CQG option.  However, it seems like an interesting avenue to pursue.

MontanaMark

Re: Futures Trading dxFeed Data using CQG OMS

Posted: Fri Jan 24, 2020 7:04 pm
by roofgen
I agree.  I have wondered why CQG does not offer full book depth and market-by-order data.  I do not understand CQG's reasoning for not doing this.  And, yes, they should keep the cheaper option to not alienate existing customers but add the additional option to draw new customers from Rithmic / dxFeed.  I also agree that Rithmic is very limited in what exchanges it can reach, but I am okay with this for now.  Then again, this is the exact reason everyone who uses dxFeed uses it, it's the only data vendor to provide this quality of data for those markets (to my knowledge).  

CQG seems to support a lot of trading platforms/softwares, which use CQG's "client APIs", i.e., charting, data, order APIs.  https://www.cqg.com/products/cqg-apis/client-apis It seems obvious that every one of the many platforms that use CQG's client APIs would benefit from having full order depth (for example).  I guess the problem would be making a new API, which gives the higher level data, but is backwards compatible with the current API such that all the existing platforms won't have a problem converting over.  Then again, who says the current platforms/software need to switch to the new API..?  Build the new, maintain the old. I assume CQG would only have to change (or build new) the Data API.  Seems like it could be done even if it would be expensive to build the software/hardware infrastructure to support.  

Anyway, fwiw, I agree.  This would bring more competition to the data-vendor market.  

Re: Futures Trading dxFeed Data using CQG OMS

Posted: Tue Feb 04, 2020 6:14 am
by MontanaMark
Thanks for the reply.

In order to make my futures trading work near term, I am opening a new account and enabling Rithmic data and R Trader Pro.  Unfortunately, I will now unsubscribe to dxFeed CME Depth futures data, but will await further developments to be able to switch back.

FYI...I recently made a request for dxFeed Bookmap to expand exchange offerings by adding CFE futures, and they have agreed to pursue this.  So far, everything I have requested (or suggested) of dxFeed Bookmap, they have been willing to consider.  This is very refreshing customer service and much appreciated.  Not every data vendor is willing to do this.

Unfortunately, until an OMS is paired, only visualization is possible.  However, even without an OMS, I will happily subscribe to dxFeed CFE futures data as soon as it becomes available because no other provider currently offers the order book depth for this exchange.  Interestingly enough, I would probably still trade the CFE using CQG data/OMS after visualizing the exchange with separate dxFeed data in Bookmap.  All this because CQG order depth data is poor.

Please keep me informed if any of this might become a reality.  I will gladly explore subscribing to dxFeed futures data again as well changing trading platforms to whatever works.

MontanaMark