Quotes Direct

Quotes Direct provides fast and reliable market data feeds using the industry-standard FIX formats. Customers who already have a solution for FIX data feed processing will benefit from the straightforward implementation process of the CQG Quotes Direct.

The Road from Exchanges to Traders

As CQG receives raw market data from the exchanges, the Quotes Direct system interprets and translates it into standard compliant FIX messages and broadcasts it over Incremental and Snapshot UDP multicast group feed channels. Customers can design their FIX client systems to interpret the data according to their preferences and needs.

Quotes Direct Components

Template Dissemination Service

FIX is a template-based protocol. As a result, messages can only be interpreted using a template. Each message contains a unique Template ID that references the template to be used to interpret the message. The Template Dissemination Service features an FTP site to provide the client systems with the active Quotes Direct templates.

Security Definition Server (SDS)

SDS serves as the main entrance to the Quotes Direct system. SDS features include:

  • allows the client systems to log on;
  • provides a security definitions list, which specifies the SecurityIDs for contracts that the client account is enabled for;
  • provides connection configurations for the Incremental and Snapshot UDP multicast groups, as well as the Replay TCP channels; and
  • continues providing new security definitions as they emerge in real time.

Incremental Feed

The Incremental Feed is a UDP multicast group that is used to disseminate incremental market data using encoded FIX messages. This includes book update, quotes, trades, statistics, market status, and instrument definitions.

Snapshot Feed

The Snapshot Feed is a UDP multicast group that is used to disseminate market data snapshots for all books with any activity since the beginning of the week. A single FIX message includes information about the market state for a given instrument. Snapshots are replayed at a constant frequency.

Replay Server

The Replay Server provides a means of data recovery for incremental or snapshot data that was corrupted or lost due to network problems. When the Quotes Direct client detects discrepancies in the data received via the UDP Incremental Feed, it establishes a TCP connection with the Replay Server and requests the lost/corrupt data. Once the requested data is sent, the Replay Server terminates the TCP connection.