ICAP BrokerTec Markets
CQG and ICAP BrokerTec Markets Features
• CQG provides fixed income traders the complete solution to fixed
income market data, analytics, and order routing in a single platform.
• ICAP is the original source of global financial market information.
• ICAP’s unique market information is the original source of prices
across a wide range of asset classes, time zones, and instruments.
• ICAP’s BrokerTec platform is recognized as the source of authoritative
global electronic U.S. Treasury trading activity.
• Through CQG, traders can both access BrokerTec data and directly
execute trades on the BrokerTec platform from one screen.
CQG for Fixed Income Traders
Key Benefits:
• Improved market visibility through exclusive access to real-time views
of trade data for all MBS bids and offers traded on ICAP’s electronic
BrokerTec platform.
• Ability to improve overall trading performance and gain a strategic
edge over the competition.
• Increased efficiency and effectiveness of trading for both cash
treasuries and corresponding futures enabled by one price discovery
and trading venue.
Section 1: Order Routing and Benchmark Treasury Analytics
• Introduction to TradeFlowTM Charts, Studies, and PreTrade Analytics
• Custom studies based on elements of TradeFlow
• Order routing for benchmark treasuries through CQG’s
DOMTrader
• The Order Ticker
Key Benefit:
The TradeFlowTM Bar
Monitor the amount of actual selling
versus buying by other traders at the
best bid and best ask price.
The TradeFlow bar is a graphical
representation of action by the
inside market in the DOMTrader.
The TradeFlow bar’s low is the best
bid and the high is the best ask.
The TradeFlow bar is color-coded to
show the percentage of trades at the
bid price (red) versus the ask price
(green).
On this TradeFlow bar, thirty-five
million traded at the ask price and
twenty-four million at the bid price,
thus the TradeFlow bar is 60% red.
Key Benefit:
TradeFlowTM Charts and Studies
TradeFlow bars are built upon the inside market.
The low is the best bid and the high is the best
offer.
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High volume TradeFlow bars are brightly
colored and wide.
Low volume TradeFlow bars are narrow
and dark.
All red TradeFlow bars indicate all of the
trades were at the bid price.
All green TradeFlow bars indicate all of the
trades were at the ask price.
If half the trades were at the bid and half were at
the ask price, then the bar would be 50% red
and 50% green.
The default version for the width and color
brightness of the TradeFlow bars are based on
the relative volume of the TradeFlow bar
compared to TradeFlow bars in the look back
period.
Make better trading decisions using
TradeFlow charts and studies.
Key Benefit:
TradeFlowTM Charts and Studies (continued)
TradeFlow bars can be aggregated by the
number of individual TradeFlow bars, the
tick range, and a proprietary smoothing
algorithm. This aggregated TradeFlow
chart uses four ticks for the bar’s range.
TradeFlow Volume displays the volume of
trades at the ask price (green) and the
volume of trades at the bid price (red).
TradeFlow On Balance Volume is a
running sum of trades at the ask minus
trades at the bid price.
Add a study to a study, such as the
Stochastics Oscillator to the TFOBV line.
Aggregated TradeFlow bars can
highlight the trend and key
support and resistance levels.
Key Benefit:
TradeFlowTM Charts and Pre-Trade Analytics
Pre-Trade Analytics is a group of
studies tracking the trader’s actions
in the exchange order book.
These studies measure the orders
above and below the inside market
being placed or cancelled by traders
as the TradeFlow bar builds.
DOMTracker plots the weighted sum
of bids (green) and asks (red) in the
order book beyond the inside market
for each TradeFlow bar.
DOMTracker Oscillator plots the
difference between the bid and ask
volume lines from the DOMTracker.
Improve your insight into
other traders’ movements in
the order queues by using
Pre-Trade Analytics.
Key Benefit:
TradeFlowTM Charts and Custom Studies
Custom studies can be designed
based on TradeFlow elements
and used with the TradeFlow
chart. In addition, the TradeFlow
elements can be used in a
trading system.
The TradeFlow Cross Study
(TFCross) is the five-bar running
sum of traded volume at the ask
price (green) and the bid price
(red).
This custom study is plotting the
difference between the two
TFCross study lines.
Use elements of TradeFlow, such as
volume at the bid price and the ask
price, to create custom studies.
Price Bar Charts and Custom Studies
Elements of TradeFlow analysis can be
the basis for custom studies on classic
open-high-low-close bars.
Here, the bar is colored red if there were
more trades into the bid than at the ask
price and green if there were more
volume at the ask price.
This custom study is plotting the five-bar
running sum of volume traded at the bid
price (red) and the ask price (green) for
the bar.
This custom study is plotting the
difference between the Bid/Ask Volume
Cross study.
This custom study is plotting the volume
of size traded at the ask price for the
bar.
This custom study is plotting the volume
of size traded at the bid price for the bar.
Key Benefit:
Create custom studies from TradeFlow
data and use them on classic bar and
candlestick charts.
Key Benefit:
DOMTrader and the Order Ticker
The DOMTrader enables quick order routing. The
DOMTrader displays the inside market, the top of the
book, total volume of trades by price, and a sequence
of the recent six trades.
Orders are routed to the electronic trading platform
either by dragging and dropping on the DOM Ladder
or by using the keyboard or the order routing buttons.
A TradeFlow chart can be attached to the DOMTrader
showing support and resistance levels based on the
actions of the inside market.
The Order Ticker details traders’ activity in the
BrokerTec order book or the futures exchanges’ order
books.
The Order Ticker displays orders executed, placed,
cancelled, modified, and executed, which stream to
the left, similar to the stock ticker tape from years
ago.
DOMTrader with a linked TradeFlow
chart provides ease of trade execution
with a view of other traders’ activities at
the best bid and ask prices
Key Benefit:
Stacked Order Tickers
The Order Ticker provides a strong
sense of how traders might be spreading
the market.
Stack Order Tickers by maturities to track traders spreading the market.
The top Order Ticker is the 2-year, the middle is the 5-year, and the bottom displays the 10-year Treasury.
CQG Custom Pages
Traders can build custom pages to fit
their trading styles. This page
employs:
• Enhanced Quote SpreadSheet
detailing benchmarks and fixed
income financial futures with order
routing.
• Spread bar chart tracking the 10year futures to the benchmark 10-year
Treasury.
• CQG News.
• TradeFlow chart with Pre-Trade
Analytics.
• Order Ticker tracking traders’ actions
in the BrokerTec order book.
Key Benefit:
Design pages to provide only the
information and functionality you need.
Section 2: Spread Trade Analytics and Order Routing
•Pre-designed quotes pages using current benchmarks
•Chart spreads using CQG’s spread bars
•Studies to spread charts
•Market Scan to track a portfolio of spreads
•Order routing for benchmark treasuries through CQG’s
DOMTrader
•Order routing for fixed income financial futures
Yield Curve Spread Trade Analytics and Order Routing
Key Benefit:
Efficiently monitor and trade the
entire yield curve.
This page is set up for tracking
various yield curve spreads and
includes:
•Quote SpreadSheet with pre-made
spread formulas
•Quote Board to track other markets
driving treasuries
•Spread bars which build OHLC bars,
candlestick, or line charts from 1minute spread data
•DOMTrader to trade the benchmark
treasuries or fixed income futures
•CQG analytics
Key Benefit:
Butterfly Spread Trade Analytics
This page is set up for tracking
butterfly spreads.
Quote SpreadSheet uses premade spread formulas with the
current benchmark treasuries.
Use your favorite analytics on the
butterfly charts.
Easily monitor butterfly spreads using
CQG QFormulas. QFormulas will
automatically update as new Treasury
issues are auctioned.
Market Scans Using QFormulas
Pre-defined and custom QFormulas
for spreads can be used as
conditions for a Market Scan of
portfolios.
In this example, QFormulas for
Treasury spreads, such as the 2-10
year spread, are added to a portfolio
called FISpreads (Fixed Income
Spreads). Both closing prices and
CQG’s spread bars are available for
building the portfolio.
A condition based on whether the
spread value has an RSI reading
greater than 60 or less than 30 will
be run.
Key Benefit:
Let CQG scan your portfolios for
markets and spreads meeting a
certain set of conditions.
Market Scans Using QFormulas (continued)
The Market Scans can be scheduled to run:
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Daily
Weekly
Day of the week
Specific time
Every set number of hours
Every set number of minutes
Results can be saved to a file, and you can receive e-mails of the results.
Key Benefit:
Choose when you want the
Market Scan to run.
Market Scans Using QFormulas (continued)
The output of the Market Scan lists the QFormula spreads that failed or passed the condition.
Clicking on an instrument on the list will bring up the chart.
Section 3: Fixed Incomes Examples, Including MBS Data
•MBS TBA data for Fannie Mae, Freddie Mac, and
Ginnie Mae
•Dow Jones Capital Markets Reports, OTR data, and
historical charts
•CQG Analog (Overlay) Charts
•Fixed Income Futures Trading
•Correlation Studies for Intermarket Analysis
Key Benefit:
MBS Data and Spreads
This page tracks the Fannie Mae
TBA yield spread to the ten-year
Treasury Yield. Freddie Mac and
Ginnie Mae TBA data is also
available.
The Quote SpreadSheet lists both
yields and prices of the TBA
Fannie Maes.
Spread Bar charts track the yield
spread on an intraday and daily
basis.
The DOMTrader allows for trading
benchmark Treasuries or the ecbot fixed income futures.
Create pages tracking the MBS market yields
relative to the BrokerTec Treasury yields. Use
CQG to hedge in futures or cash Treasuries.
Yield or Price Chart and Dow Jones Capital Markets Reports
Key Benefit:
Set up pages for market information to supply
news, spreads, and off-the-run price information.
This page displays CQG’s News
Feed, BrokerTec off-the-runs, and
yields:
Trade from the EQSS.
Dow Jones Capital Markets and
other Dow Jones feeds are available.
BrokerTec supplies OTR data.
Plot TradeFlow charts and trade
using the SnapTrader.
Analog (Overlay) Charts
This page includes two CQG Analog
charts.
Track different markets on the same
chart. Here, all five benchmark yields
are displayed.
Key Benefit:
Easily gauge which Treasury issues are
cheap or expensive compared to each
other by using the Analog chart.
Fixed Income Futures
TradeFlow charts detail the actions
of other traders.
The DOMTracker study and
oscillator indicates traders’ actions
in the exchange order book.
The top Order Ticker is displaying
changes in orders greater than 100
contracts and trades greater than
25 contracts.
The bottom Order Ticker is
displaying changes in orders
greater than 200 contracts and
trades greater than 100 contracts.
Key Benefit:
Use CQG to effectively monitor and
trade fixed income futures.
Key Benefit:
Correlation Studies
In CQG correlation studies, each
chart includes the correlation
study to the ten-year yield.
The charts are the S&P 500,
Crude Oil futures, the EUR/USD
pair, and the gold contract traded
on Globex.
Easily perform intermarket analysis by
using correlations studies to determine
where cash flow is moving.
Summary
CQG offers order routing and unique analytics for fixed income traders, providing:
• TradeFlow charts detailing who is the aggressor, the buyer or the seller
• Order Ticker, providing a view of traders’ actions in the exchange order book
• DOMTracker, offering a current view of changes in the exchange order book
• Benchmark Treasuries, Off-The-Runs, and MBS TBA markets
• Fifteen charting styles for plotting the markets
• Over 90 classic and customs studies
• Six quote page displays
• Depth-of-Market views for cash treasuries and futures
• Dow Jones News feeds
• More features, including options analytics and backtesting
CQG, Inc.
CQG, Inc. is the industry’s highest-performing solution to integrate market
data, technical analysis, and trade routing. CQG’s data coverage includes
futures, options, fixed income, foreign exchange, and equities exchanges
worldwide as well as debt securities, reports, and indices. Founded in 1980,
CQG is headquartered in Denver with sales and support offices worldwide.
For more information, visit www.cqg.com.
Customer Support:
• US 1 800-525-7082
• UK +44 (0) 20-7827-9500
• Australia +61 (0) 2-9230-6867
• France +33 (0) 1-74-18-07-81
• Germany +49 (0) 69-6677-7558-0
• Japan +81 (0) 3-3286-6633
• Russia +7 495-795-2410
• Singapore +65 6720-3165
Disclaimer
Trading and investment carry a high level of risk, and CQG, Inc. does not
make any recommendations for buying or selling any financial instruments.
We offer educational information on ways to use our sophisticated CQG
trading tools, but it is up to our customers and other readers to make their
own trading and investment decisions or to consult with a registered
investment advisor.
© 2009 CQG, Inc. All rights reserved worldwide.
CQG, DOMTrader, SnapTrader, TFOBV, TFOBVO, and TFVOL are registered trademarks of CQG, Inc.