Futures Data through CQG to a FIX program

[oversea]

I'm looking to use my custom FIX API program to trade futures, primarily Eurex. I thought the quickest/easiest way to get this going was to use CQG's FIX adapter to connect.

Dealing with CQG Contiuum (the faction of CQG that provides FIX connectivity) has been a nightmare for the past couple of weeks.
Today (we're supposed to go live tomorrow), they mentioned (in contrast to what I had previously been told) that the market data fees for Eurex are going to be about €520/month, and ICE Europe something like $550, +$117 per user. This is all on top of the $500/month + a .05/side to use the FIX connection.

Does that make sense? If I'm going to be trading from a custom FIX API program, does that, by definition, mean I have to be subscribing to 'non-display data'? CQG is impossible to get any answers from, and the FCM that I thought would help me navigate all this was as surprised as I was.

If I'd be using TT's FIX adapter for order routing and data, would I need to be paying these types of costs for MD? and same for the other 3rd party feeds Active, Interactive Data, etc.?

Any help would be very much appreciated!

 

[Handle123]

I gave up on CQG number of years ago, they give best data BUT there is so much of it, drained resources on the fastest of equipment I had and I seemed to be paying three times as much of anywhere else. I wish you much luck.

 

[oversea]

I gave up on CQG number of years ago, they give best data BUT there is so much of it, drained resources on the fastest of equipment I had and I seemed to be paying three times as much of anywhere else. I wish you much luck.

Thanks for your message.

Since you've been through this, please weigh in: does it make sense? Just because I'm using a FIX connection, Eurex would require that I pay for non-display data (520 Euro), as a single non-pro user? This on top of CQG's hefty price for the FIX connection.

Is it something my FCM should be facilitating?

 

[Handle123]

You would think so, but every FCM is different and account balances make huge difference as well. You get your account up in six figures and threaten to yank it out, no surprises they take actions, but when I was first starting out, I was more of a nobody and had to contact higher up management to get what I needed. To me it makes no sense of what you paying though.

 

[cjbuckley4]

I'm looking to use my custom FIX API program to trade futures, primarily Eurex. I thought the quickest/easiest way to get this going was to use CQG's FIX adapter to connect.

Dealing with CQG Contiuum (the faction of CQG that provides FIX connectivity) has been a nightmare for the past couple of weeks.
Today (we're supposed to go live tomorrow), they mentioned (in contrast to what I had previously been told) that the market data fees for Eurex are going to be about €520/month, and ICE Europe something like $550, +$117 per user. This is all on top of the $500/month + a .05/side to use the FIX connection.

Does that make sense? If I'm going to be trading from a custom FIX API program, does that, by definition, mean I have to be subscribing to 'non-display data'? CQG is impossible to get any answers from, and the FCM that I thought would help me navigate all this was as surprised as I was.

If I'd be using TT's FIX adapter for order routing and data, would I need to be paying these types of costs for MD? and same for the other 3rd party feeds Active, Interactive Data, etc.?

Any help would be very much appreciated!

Because Eurex is order driven, you're basically throwing away data if you use an off-the-shelf provider who built their API interface to be flexible enough to work with both Eurex data and all the price level driven exchanges such as CME. With this in mind, I'll presume it doesn't really matter which data provider you use. Knowing what I know about TT obfuscating data I wanted to see in their API and that you have been having issues with CQG, I highly recommend Rithmic's market data. They have a FIX adapter as well. CTS may also be appealing. My guess is that you should be paying no more than 23 a month for Eurex L2 quotes.

It's been my (sad) observation that Eurex may have a bit of ICE's mentality w/r/t smaller traders. With CME, you can get lease a seat transparently, everyone deals with the same limited aggregated level driven feed, market data is cheap...especially for retail, you can get colo, you're FCM will actually work with/have some knowledge of how CME works. With Eurex: fees are lower, but membership is tougher, colocation is a nightmare compared to CME, the data you get is basically worthless for order book stuff because someone with EOBI will know right where you are in the queue. To my knowledge, it appears ICE has monopolized their own market data, meaning acquiring their tick data is significantly more expensive than it would appear to be worth at this time.

 

[logis]

With this in mind, I'll presume it doesn't really matter which data provider you use. Knowing what I know about TT obfuscating data I wanted to see in their API

can you pls elaborate about TT data issues as well? what's wrong with IQfeed data?

 

[oversea]

My guess is that you should be paying no more than 23 a month for Eurex L2 quotes.
.

So this notion, that because the data is going (through CQG's server) to my FIX application, then I am required to be paying 'non-display data' fees (listed here) is false?

I'm hoping you're right - I just didn't know how to answer CQG..."no, that doesn't apply! really non-display data is for , not a situation like mine." Can you help me fill in the blank??

 

[cjbuckley4]

can you pls elaborate about TT data issues as well? what's wrong with IQfeed data?

I've used both. My beef with most retail feeds is as follows:
When they build a retail feed, they're building it for customers who want to screen trade FDAX, ES, TF, etc. so they need it to provide a common interface to all these exchanges. The problem with that is that, once you get serious, you start reading exchange docs and you realize the feeds of different exchanges are fairly different (especially so in the case of Eurex who has two different feeds for screens and colo, ostensibly). So if the feeds are different, they throw out the nuances of that particular exchange in favor of your overall retail data feed product being more flexible. It's only a problem if you care about what was thrown away though.

The only provider I've used and can vouch for making a conscious effort to give traders (on CME at least) a complete 1-1 mapping of the exchanges' API is Rithmic with CME, for which I really applaud and recommend them.

Speaking about TT issues specifically, which I think they were in the process of working on when I last demoed them:
- on your own with timestamps. Major major problem unless you're collocated and even then...
- they have two feeds, coalesced and noncoalesced. If you don't know or are with AMP, for example, you have a coalesced TT feed.

IQFeed recently got a lot better. They unbundle CME trades correctly and give you timestamps. The timestamps are microsecond resolution, but they're worthless past maybe the second or millisecond level because IQFeed doesn't provide the information necessary to calculate latency yourself, so you're forced to make assumptions that are pretty intractable when it comes to low latency trading. Just things you would 100%, no brainer, spend a little more to do right if you were gonna shell out all the money necessary to compete in this space.

My personal beef with IQFeed though is just that their costs are higher than Rithmic who has a better product for my purposes in my opinion. That's also because my opinion is 100% CME colo trading centric, and they have built a really nice API for that whereas IQFeed is fundamentally different and more general purpose.

 

[cjbuckley4]

So this notion, that because the data is going (through CQG's server) to my FIX application, then I am required to be paying 'non-display data' fees (listed here) is false?

I'm hoping you're right - I just didn't know how to answer CQG..."no, that doesn't apply! really non-display data is for , not a situation like mine." Can you help me fill in the blank??

You know, ultimately, I'm just a guy on the Internet. I'm not Eurex, nor am I your FCM or CQG. I can tell you that if I tried to pull your set up, all I'd be willing to pay is 23 and I'm pretty confident I could get it for that or less with Rithmic as they don't list the 23 L2 charge for Eurex with Rithmic for my FCM while they do for CQG.

For your purposes though, unless you have latency concerns, I would first try to get out of this charge, and if that didn't happen, I'd be looking at Rithmic or CTS, because I really don't think it makes sense to pay for high end services like CQG or TT (Rithmic's API on par or better than both IMHO...) unless you're already dealing with Equinix (read: not Eurex, because it's only for big props, etc....) to get a server in FR2 and all that. I gave up on Eurex at about that point because it just isn't worth it vs. a comparable (really much better) set up at CME for a lower price.

 

[oversea]

You know, ultimately, I'm just a guy on the Internet. I'm not Eurex, nor am I your FCM or CQG. I can tell you that if I tried to pull your set up, all I'd be willing to pay is 23 and I'm pretty confident I could get it for that or less with Rithmic as they don't list the 23 L2 charge for Eurex with Rithmic for my FCM while they do for CQG.

For your purposes though, unless you have latency concerns, I would first try to get out of this charge, and if that didn't happen, I'd be looking at Rithmic or CTS, because I really don't think it makes sense to pay for high end services like CQG or TT (Rithmic's API on par or better than both IMHO...) unless you're already dealing with Equinix (read: not Eurex, because it's only for big props, etc....) to get a server in FR2 and all that. I gave up on Eurex at about that point because it just isn't worth it vs. a comparable (really much better) set up at CME for a lower price.

Certainly latency sensitive. Not counting microseconds, but milliseconds for sure. I'm running this off of a dedicated server in LD4, so the x-connect to CQG in LD4 was an ideal setup, given that I can afford to give up the 5ms or so latency through their fiber wire (I think) connection to Frankfurt.

I'm not a programmer - I only went with CQG because the tech people I use already had a CQG adapter, so it was going to be the quickest solution. Little did I know, that CQG (at least the Continuum part) was like dealing with a black hole, and I could have had my tech people make an adapter to just about anywhere (a few times over), while we've been waiting for them at each and every step.

Your "I'm just a guy on the internet" disclaimer is noted, but I certainly sense that it's...unwarranted. I'm disappointed to read in your profile that you're not currently interested in job offers!