Energy Trading with CQG

Transcription

1 Energy Trading with CQG Order Routing Interfaces Enhanced DOMTrader TM TradeFlow TM chart can be linked to the DOMTrader Order-Cancels-Order (OCO) orders now available Buttons for placing limit, current best bid or best ask orders Average price of position now marked on the price ladder Net price change and current total volume displayed Volume by price displayed numerically and by histogram bars Trailing Stop and Stop Limit orders now available Additional order modifiers: Fill and Kill, and Fill or Kill Displays net position for related futures Quantity buttons can increment/decrement by single click New, sleeker looking Fill reports and messages Study Values can now be displayed on the DOM Smart Orders are available in version 7.5 and higher The TradeFlow chart is linked right to the DOMTrader. Select Trailing Stop (TSTP or TSTPL) and the price on the Stop Order will move with the market. Patent Pending SnapTrader TM Trade right from the chart Small but powerful design leaves room for analytics Drag it anywhere on the chart Displays the inside market More order types are available by rolling the mouse over the Buy or Sell buttons Click on the up or down arrows to set order prices Works on any time frame chart Order Book The Order Book displays positions, open equity, and working orders Cancel working orders Drag the Order Book anywhere on the chart Traders use SnapTrader to place trades from the chart. Roll the mouse over the button to bring up order choices. The Order Book displays positions, open equity, working orders, and the ability to cancel orders. Patent Pending

2 Order Routing Interfaces (continued) Order Ticket Combination DOMTrader, standard and scalper style order entry buttons, and Orders and Positions window in one view Order buttons update with the DOM ladder Displays recent trade sequence Keyboard order entry allows for typing orders directly into the interface Choice of three different volume displays: 4 Cumulative volume since start of session 4 Cumulative volume since market hit price 4 Last trade volume CQG s Order Ticket combines the Depth-of-Market ladder with standard and scalper buttons and an Orders and Positions tracking window. Combined Positions Display combined positions for related contracts Position Line will indicate the combined position Individual positions displayed in a mouse rollover balloon window Trailing Stops/Stop Limit Support CQG Gateway automatically adjusts order price as the market moves Available for Stop or Stop Limit orders Spread Orders Supported Crude oil products and crack spreads Bundles and pack spread orders CQG API Import CQG functionality and data into an end-user application Obtain instruments market data, quotes, and sessions Manual Fills Log trades executed outside CQG into the FCM account Add, update, and delete pit traded and electronically traded fills Reconcile all trades in the FCM account against the statement Order-Cancels-Order (OCO) Simultaneously set Target and Stop Loss orders Cancel multiple orders by one order TAS Orders Trade at settlement orders executed any time during the session Used by hedgers to manage the basis CQG XData Create synthetic instruments using CSV or tab-delimited text files Plot as a chart and apply CQG analytics 2

3 API Trading Templates The Spread Trading Matrix is used to place and manage Market, Stop, and Limit Spread orders for exchange-traded spreads and trader-defined intracommodity and intercommodity spreads. Spreads Trading Matrix View native data for exchange-traded intracommodity spreads and synthetic data for user-defined intracommodity and intercommodity spreads Three types of spreads are supported: 4 Exchange-traded intracommodity (e.g. CLES1K07) 4 User defined intracommodity (e.g. CLEK7-CLEQ7) 4 User defined intercommodity (e.g. CLEM7-HOEM7) Set individual quantities for each leg of the spread Price multiplier fields available for each leg View the inside market for each contract Define the price conditions to trigger spread orders Place Market, Limit, and Stop Spread orders Track and manage your orders in real time Select from multiple accounts for order routing 3

4 API Trading Templates (continued) The Energy Trading Template offers functionality to place Market, Limit and Stop orders while tracking the inside market and other market data for multiple markets. Energy Trader Excel -based template Customize the list of contracts you frequently monitor Place Market, Limit, and Stop orders Choose from a list of multiple accounts Inside market is displayed Size of last traded price is presented Last three trades are shown Other market data detailed include: 4 Open, high, and low 4 Previous settlement 4 Total contract volume 4 Total open interest 4 Net change 4

5 Tradable Symbols on CQG Bourse de Montreal BXA 3-Month Bankers Accept All Session Future CB Canadian 10-Year Bond Future ONX 30-Day Overnight Repo Rate Future SXA S&P/TSX Gold Index Future SXB S&P/TSX Financials Index Future SXH S&P/TSX Information Technology Index Future SXY S&P/TSX Energy Index Future TP SP/TSE 60 Future BrokerTec BUS02 US 2-Year Treasuries Fixed Income BUS03 US 3-Year Treasuries Fixed Income BUS05 US 5-Year Treasuries Fixed Income BUS10 US 10-Year Treasuries Fixed Income BUS30 US 30-Year Treasuries Fixed Income CBOT BO Soybean Oil Future C Corn Future DF Dow Jones Industrial Average Future FF Fed Funds 30-Day Interest Rate Future FV US 5-Year Treasury Note Future O Oats Future RC Rough Rice Future S Soybeans Future SM Soybean Meal Future TU US 2-Year Treasury Note Future TY US 10-Year Treasury Note Future US US Treasury Bond Future W Wheat Future YC Mini-Sized Corn Future YK Mini-Sized Soybeans Future YW Mini-Sized Wheat Future BO Soybean Oil Option C Corn Option DF Dow Jones Industrial Average Option FV US 5-Year Treasury Note Option O Oats Option RC Rough Rice Option S Soybeans Option SM Soybean Meal Option TY US 10-Year Treasury Note Option US US Treasury Bond Option W Wheat Option CME CA Canadian Dollar Future ED Eurodollar 3-Month LIBOR Future EU EuroFX Future FC Feeder Cattle Future LB Lumber Future LC Live Cattle Future LH Lean Hogs Future ND NASDAQ 100 Index Future NK NIKKEI 225 Future PB Frozen Pork Bellies Future SP S&P 500 Index Future COMEX ALE Aluminum Future CPE Copper Future GCE Gold Future MLA London Primary Aluminium Future MLK London Copper Grade A Future MLZ London SHG Zinc Future MQC miny Copper Future MQI miny Silver Future MQO miny Gold Future MQS Asian Gold Future NQR Asian Platinum Future NQT Asian Palladium Future SIE Silver Future ALES Aluminum Spread CPES Copper Spread GCES Gold Spread MLAS London Primary Aluminium Spread MLKS London Copper Grade A Spread MLZS London SHG Zinc Spread MQCS miny Copper Spread MQIS miny Silver Spread MQOS miny Gold Spread MQSS Asian Gold Spread NQRS Asian Platinum Spread NQTS Asian Palladium Spread SIES Silver Spread 5

6 E-CBOT ZCES Corn Calendar spread ZEES Ethanol Calendar spread ZIS Silver Calendar spread ZKES South American Soybeans Calendar spread ZLES Soybean Oil Calendar spread ZMES Soybean Meal Calendar spread ZOS Gold Calendar spread ZOES Oats Calendar spread ZRES Rough Rice Calendar spread ZSES Soybeans Calendar spread ZWAS Wheat Calendar spread AI Dow Jones AIG Futures Future DFA Dow Jones Industrial Average Future FFA Fed Funds 30-Day Interest Rate Future FVA US 5-Year Treasury Note Future TUA US 2-Year Treasury Note Future TYA US 10-Year Treasury Note Future USA US Treasury Bond Future YDD Big Dow DJIA $25 Future YE Mini Eurodollars Future YG Mini Gold Future YI Mini Silver Future YM Dow Jones $5 Mini Future ZCE Corn Future ZEE Ethanol Future ZI 5000 oz Silver Future ZKE South American Soybeans Future ZLE Soybean Oil Future ZME Soybean Meal Future ZO 100 oz Gold Future ZOE Oats Future ZRE Rough Rice Future ZSE Soybeans Future ZWA Wheat Future DFA Dow Jones Industrial Average Option FVA US 5-Year Treasury Note Option TYA US 10-Year Treasury Note Option USA US Treasury Bond Option YM Dow Jones $5 Mini Option ZI 5000 oz Silver Option ZO 100 oz Gold Option FVAR US 5-Year Treasury Note Reduced tick calendar spread TUAR US 2-Year Treasury Note Reduced tick calendar spread TYAR US 10-Year Treasury Note Reduced tick calendar spread USAR US Treasury Bond Reduced tick calendar spread EUREX DB Euro Bund 10-Year Future DD DAX Index Future DG Euro Schatz 2-Year Future DL Euro Bobl 5-Year Future DSX Dow Jones Euro STOXX 50 Future F2MX MDAX Futures Future FEU EURIBOR 3-Month Future FGBX Euro Buxl 30-Year Future SC 10-Year Swiss Bond Future SW Swiss Market Index Future DB Euro Bund 10-Year Option DC DAX Cash Option Option DG Euro Schatz 2-Year Option DL Euro Bobl 5-Year Option DSX Dow Jones Euro STOXX 50 Option FEU EURIBOR 3-Month Option ICE ETS WTI Light Sweet Crude Oil Calendar spread QOS Brent Crude Oil Calendar spread QPS Gas Oil Calendar spread EN ICE NYH (RBOB) Gasoline Future ET WTI Light Sweet Crude Oil Future QHO Heating Oil Future QO Brent Crude Oil Future QP Gas Oil Future QO Brent Crude Oil Option QP Gas Oil Option GLOBEX EDAL3 Eurodollar 3-Month LIBOR Butterfly spread EDAS Eurodollar 3-Month LIBOR Calendar spread BP6 British Pound Future CA6 Canadian Dollar Future CCB Cash-Settled Butter Future DA6 Australian Dollar Future EDA Eurodollar 3-Month LIBOR Future EEU E-Mini EuroFX Future EJY E-Mini Japanese Yen Future EMA LIBOR One month Future EMD E-Mini S&P MidCap 400 Future ENC E-Mini NASDAQ Composite Index Future ENQ E-Mini NASDAQ 100 Index Future EP E-Mini S&P 500 Index Future ER2 E-Mini Russell 2000 Future EU6 EuroFX Future GD Goldman Sachs Commodity Index Future 6

7 GLOBEX (continued) GDC Milk Class III Future GF Feeder Cattle Future GLE Live Cattle Future HE Lean Hogs Future JY6 Japanese Yen Future MX6 Mexican Peso Future NDA NASDAQ 100 Index Future NE6 New Zealand Dollar Future NIY Yen-Denominated Nikkei 225 Future NKD NIKKEI 225 Future RU6 Russian Ruble Future SA6 South African Rand Future SF6 Swiss Franc Future SPA S&P 500 Index Future YR Euro/Yen Future EDA Eurodollar 3-Month LIBOR Option ENQ E-Mini NASDAQ 100 Index Option EP E-Mini S&P 500 Index Option ER2 E-Mini Russell 2000 Option JY6 Japanese Yen Option NDA NASDAQ 100 Index Option EDAP Euro Dollar Pack EDAB Euro Dollar Bundle KCBOT KWES Wheat Calendar Spread KWE Wheat Future LIFFE QEAL3 EURIBOR 3-Month Butterfly spread QSAL3 Short Sterling 3-Month Butterfly spread QNAS Euroswiss 3-Month Calendar spread QA Robusta Coffee Future QBA Five-Year Euro Swapnote Future QC Cocoa Future QEA EURIBOR 3-Month Future QFA FT-SE 100 Index Future QGA Gilt Long Future QJ Japanese 10-Year Govt. Bond Future QLA Ten-Year Euro Swapnote Future QNA Euroswiss 3-Month Future QSA Short Sterling 3-Month Future QW White Sugar Future TWS Two-Year Euro Swapnote Future QE EURIBOR 3-Month Pit Option QS Short Sterling 3-Month Pit Option QXE FT-SE 100 Index Option (Euro) Option MATIF PIL CAC-40 Index Future PM Rapeseed Future MGE MWE Hard Red Spring Wheat Future NYBOT CCE Cocoa Future CTE Cotton Future KCE Coffee Future OJE Orange Juice Future SBE Sugar #11 Future SEE Sugar #14 Future CCES Cocoa Spread CTES Cotton Spread KCES Coffee Spread OJES Orange Juice Spread SBES Sugar #11 Spread SEES Sugar #14 Spread NYMEX BHWS Heating Oil v. WTI Crude Financial Crack spread HOECLE Heating Oil v. WTI Crude Crack spread RTWS RBOB Gasoline v. WTI Financial Crack spread CL Crude Oil Future HO Heating Oil Future HU Gasoline, Unleaded Regular Future JM PJM Monthly Electricity Future LG Propane Future NG Natural Gas Future NQL Central Appalachian Coal Future PA Palladium Future PL Platinum Future BHHOE Heating Oil Physical v. Financial Intercommodity spread HHNGE Natural Gas Physical v. Financial Intercommodity spread HPNGE Natural Gas (penult) Physical v. Financial Intercommodity spread HUERBE HU Gasoline v. RBOB Gasoline Intercommodity spread RBEHOE RBOB v. Heating Oil Intercommodity spread RTBH Gasoline v. Heating Oil Financial Intercommodity spread RTRBE RBOB Gasoline Physical v. Financial Intercommodity spread WSCLE WTI Crude Physical v. Financial Intercommodity spread BBT Brent Crude Financial Trade at settlement BHT Heating Oil Financial Trade at settlement CLT Crude Oil Trade at settlement HHT Henry Hub Financial (Last Day) Trade at settlement 7

8 NYMEX (continued) HOT Heating Oil Trade at settlement HUT Gasoline Trade at settlement NGT Natural Gas Trade at settlement RBT RBOB Trade at settlement RTT RBOB Gasoline Financial Trade at settlement WST WTI Crude Financial Trade at settlement NYMEXG (continued) RBE NY Harbor RBOB Gasoline Future RT RBOB Gasoline Financial Future WS Crude Oil Financial Future WXE iport Plus Energy Index Future YO Sugar 11 Future WXET iport Plus Energy Index Trade at Settlement NYMEXG BHS Heating Oil Financial Calendar spread CLES Crude Oil Calendar spread HHS Natural Gas Financial Last Day Calendar spread HOES Heating Oil Calendar spread HPS Natural Gas Financial Penultimate Calendar spread NGES Natural Gas Calendar spread NQBS E-Mini Brent Crude Oil Calendar spread NQGS E-Mini Natural Gas Calendar spread NQHS E-Mini Heating Oil Calendar spread NQMS E-Mini Crude Light Calendar spread NQUS E-Mini Unleaded Gasoline Calendar spread PAES Palladium Calendar spread PLES Platinum Calendar spread RBES NY Harbor RBOB Gasoline Calendar spread RTS RBOB Gasoline Financial Calendar spread WSS Crude Oil Financial Calendar spread WXES iport Plus Energy Index Calendar spread BC Brent Crude Oil Financial Future BH Heating Oil Financial Future CJ Cocoa Future CLE Crude Oil Future HH Natural Gas Financial Last Day Future HOE Heating Oil Future HP Natural Gas Financial Penultimate Future HUE Gasoline, Unleaded Regular Future KT Coffee Future LGE Propane Future NFJ FCOJ Future NFT Sugar 14 Future NGE Natural Gas Future NLQ E-Mini Palladium Future NPQ E-Mini Platinum Future NQB E-Mini Brent Crude Oil Future NQG E-Mini Natural Gas Future NQH E-Mini Heating Oil Future NQM E-Mini Crude Light Future NQU E-Mini Unleaded Gasoline Future NTT Cotton Future PAE Palladium Future PLE Platinum Future USFE (formerly EUREX US) TBX US 30-Year Treasury Bond Future TNL US 10-Year Treasury Note Future TNM US 5-Year Treasury Note Future TNS US 2-Year Treasury Note Future TBX US 30-Year Treasury Bond Option TNL US 10-Year Treasury Note Option TNM US 5-Year Treasury Note Option TNS US 2-Year Treasury Note Option WCE WLS Western Barley Calendar spread WRS Canola Calendar spread WWS Feed Wheat Calendar spread WL Western Barley Future WR Canola Future WW Feed Wheat Future Note: New symbols are added regularly. Visit for the most current list. 8

9 Exchange-Traded Spreads Defining Months in Exchange-Traded Spreads Example: Corn Calendar Spread Symbol ZCES1H7 ZCE = underlying contract S1 = strategy leg gap H7 = front month To determine the second month in an exchange-traded spread, you need to know: 1. the strategy leg gap; 2. the front month; and 3. the trading months for the contract. S1 indicates that the second month in the spread is one contract from the front month. The front month is March (H). This spread is between March (H) and May (K) contracts, ZCEH7 - ZCEK7. When the front month changes to K7, then the spread is ZCEK7 - ZCEN7. Trading Months for Exchange-Traded Spreads January February March April May June July August September October November December F G H J K M N Q U V X Z COMEX ALES Aluminum All months CPES Copper All months GCES Gold All months MLAS London Primary Aluminium All months MLKS London Copper Grade A All months MLZS London SHG Zinc All months MQCS miny Copper All months MQIS miny Silver All months MQOS miny Gold All months MQSS Asian Gold All months NQRS Asian Platinum All months NQTS Asian Palladium All months SIES Silver All months E-CBOT ZCES Corn H, K, N, U, Z ZEES Ethanol All months ZIS Silver All months ZKES South American Soybeans H, K, N, Q, U, X ZLES Soybean Oil F, H, K, N, Q, U, V, Z ZMES Soybean Meal F, H, K, N, Q, U, V, Z ZOES Oats H, K, N, U, Z ZOS Gold All months ZRES Rough Rice F, H, K, N, U, X ZSES Soybeans F, H, K, N, Q, U, X ZWAS Wheat H, K, N, U, Z GLOBEX EDAS Eurodollar 3-Month LIBOR All months ICE ETS WTI Light Sweet Crude Oil All months QOS Brent Crude Oil All months QPS Gas Oil All months KCBOT KWES Wheat H, K, N, U, Z LIFFE QNAS Euroswiss 3-Month H, M, U, Z NYBOT CCES Cocoa H, K, N, U, Z CTES Cotton H, K, N, V, Z KCES Coffee H, K, N, U, Z OJES Orange Juice F, H, K, N, U, X SBES Sugar #11 H, K, N, V SEES Sugar #14 F, H, K, N, U, X NYMEX BHS Heating Oil Financial All months CLES Crude Oil All months HHS Natural Gas Financial Last Day All months HOES Heating Oil All months HPS Natural Gas Financial Penultimate All months NGES Natural Gas All months NQBS E-Mini Brent Crude Oil All months NQGS E-Mini Natural Gas All months NQHS E-Mini Heating Oil All months NQMS E-Mini Crude Light All months NQUS E-Mini Unleaded Gasoline All months PAES Palladium H, J, K, M, U, Z PLES Platinum F, H, J, K, N, V RBES NY Harbor RBOB Gasoline All months RTS RBOB Gasoline Financial All months WSS Crude Oil Financial All months WXES iport Plus Energy Index All months WCE WLS Western Barley H, K, N, V, Z WRS Canola F, H, K, N, X WWS Feed Wheat H, K, N, V, Z To find this information in CQG Integrated Client, click the AllCon button and enter the underlying symbol. You can also click the More button and then Contract Spec. 9

10 Entering Spreads in CQG Identify the instrument s symbol View our list of exchange-traded spreads at Identify the type of strategy Calendar Spread S Simultaneous buy and sell orders for the same commodity with different delivery months. Reduced Tick Calendar Spread R This version of the calendar spread has a smaller minimum tick size movement than available in other strategies or outright markets. Crack Spread Simultaneous buy order for oil futures and sell order for gasoline and heating oil futures with 1:1 ratio. Butterfly Spread L Simultaneous buy/sell order for one contract in the near delivery month, sell/buy order for two contracts in a future delivery month, and buy/sell order for one contract with an even later expiration. The gaps between the months must be equal. Pack P An order for a group of contracts for the same commodity in four consecutive quarterly or consecutive months. The first month of the White Pack is configurable and can be any month of the next four quarterly months, although it s usually the next. The number of lots in each leg must be the same. LIFFE CONNECT and CME Globex currently recognize five Packs: White Pack /Red Pack /Green Pack /Blue Pack/Gold Pack. Strip T An order for a group of contracts for the same commodity in four or more consecutive quarterly delivery months. Any quarterly delivery month can act as the first month of the strip as long as there are at least three following months available. Serial months in a product are ignored and cannot form part of a strip strategy. The number of lots in each leg can vary. Buying or selling the strip involves buying or selling all months in the strip. Bundle B An order for a group of contracts for the same commodity in each consecutive quarterly delivery month for a period of two or more years. The first month of a bundle is configurable and can be any month within the next twelve months, although it s usually the front quarter. The number of lots in each leg must be the same. LIFFE CONNECT and CME Globex currently recognize four Bundles: 2 Year Bundle/3 Year Bundle/4 Year Bundle/5 Year Bundle. Identify the strategy leg gap Calendar Spread Reduced Tick Calendar Spread Pack Bundle Butterfly Distance between strategy legs calculated in number of months that can be listed. Distance between strategy legs calculated in number of months that can be listed. Number of the pack starting from the nearest to expiration: 1 for White, 2 for Red, 3 for Green, 4 for Blue, 5 for Gold. Number of legs: 2 8 legs (2 years), 3 12 legs (3 years), 4 16 legs (4 years), 5 20 legs (5 years). Distance between strategy legs calculated in number of months that can be listed. CQG supports orders with fixed leg gaps, i.e. the gap between two consecutive legs are the same for multi-legged strategies. Identify the delivery month and year January February March April May June July August September October November December F G H J K M N Q U V X Z 10

11 Follow the formula Calendar Spread Reduced Tick Calendar Spreads Crack Spread Strip Pack Bundle Butterfly Spread symbol root + S + strategy leg gap + month + year strategy leg gap = 1, 2, 3, 4, 5, 6, or 12 or by demand If every month is tradable, such as CLE and EDA, then the leg gap is equal to calendar months, for example, January to February is 1 and February to July is 6. Some commodities trade in irregular increments. Corn allows H, K, N, U, and Z. Sugar allows H, K, N, and V. The leg gap indicates the spacing of these listed months. Crude Oil: CLES3N7 (represents CLEN7-CLEU7) Corn: ZCES2H7 (represents ZCEH7-ZCEN7) Sugar: SBES3K7 (represents SBEK7-SBEH8) symbol root + R + strategy leg gap + month + year strategy leg gap = 1, 2, 3, 4, 5, 6, or 12 or by demand US 5-Year Treasury Note: FVAR1V7 (represents FVAV7-FVAX7) underlying contract + underlying contract + month + year RBOB v. WTI Crude (Globex): RBECLEX7 symbol + T + strip number + month + year strip number = defined by the exchange Crude Oil Financial: WST3H7 (represents WSH7+ WSJ7+ WSK7) Natural Gas: NGET12F8 (represents NGEF8 + NGEG8 + NGEH8 + NGEJ8 + NGEK8 + NGEM8 + NGEN8 + NGEQ8 + NGEU8 + NGEV8 + NGEX8 + NGEZ8) symbol root + P + number of the pack + month + year number of the pack = 1 10 by demand, represents the number of years with this year equal to 1 Eurodollar: EDAP1M5 (represents EDAM5 + EDAU5 + EDAZ5 + EDAH6) Eurodollar: EDAP2Z7 (represents EDAZ7 + EDAH8 + EDAM8 + EDAU8) symbol root + B + number of years + month + year number of years = 2, 3, 4, or 5 There are four legs per year [for Eurodollar]. B2 would have eight legs and B3 would have 12 legs) EDAB2M7 represents EDAM7 + EDAU7 + EDAZ7 + EDAH8 + EDAM8 + EDAU8 + EDAZ8 + EDAH9 symbol root + L + interval + month + year interval = usually 1, 2, or 3 A Eurodollar butterfly spread, quoted in.50 tick increments, is a combination of two calendar spreads: Buy 1 = Leg # 1 Sell 2 = Leg # 2 Buy 1 = Leg # 3 EDAL3M8 (represents EDAM8-2*EDAU8 + EDAZ8) 11

12 Contact Information For more information visit or contact your local Sales Executive. < USA & Canada < Japan +81 (0) < United Kingdom +44 (0) < Russia < France +33 (0) < Germany +49 (0) < Singapore < Australia +61 (2) Independence Plaza th Street Suite 2000 Denver CO Main Fax CQG, Inc. All rights reserved worldwide. 01/09 12