Chicago-based trading technology platform developer, CQG, which caters to a range of electronic financial markets, has added a new study called Algo Orders to its flagship product CQG Integrated Client (CQG IC).
The Algo Orders study uses a proprietary algorithm in order to detect and expose hidden volume – known as iceberg orders – as a trading activity indicator on market data. Last week Finance Magnates reported about CQG relocating its trading server in Hong Kong to a new co-located data centre.
Detecting iceberg orders
For buy and sell orders, the Algo Order indicator shows ‘executed volume – displayed volume’, and allows users to pull the study values into Microsoft Excel from the CQG IC platform using RTD syntax.
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The market data is grouped into four columns including one-second sub-minute bars, five-second sub-minute bars, and one-minute and five-minute bars, while the first column in each group is the time of closing prices and the second column is the closing price.
Within the excel spreadsheet, if the study value of AlgOrdBidVol is greater than the filter value, then the last price is highlighted in green. If the study value of AlgOrdAskVol exceeds the filter value then the last price is highlighted red. In cases where both values exceed their respective filters, the larger one’s color is applied to the last price for the bar, as explained by CQG in an update.
Next to the closing prices shown, are the AlgOrdBidVol and AlgOrdAskVol study values for each bar, as can be seen in the excerpt below from a spreadsheet provided on the CQG website.