Advanced Analytics

Advanced Analytics

This section systematically walks you through the process, detailing:

• 
  formula components, in Formula Basics
  
• 
  creating five formula types using Formula Builder and its toolbox, in QFormulas, Conditions and User Values, Custom Studies, and Trade Systems.
  
• 
  definitions of CQG-provided formula components, in Functions and Custom Studies
  
• 
  how to use formulas in our analytics tools, in Alerts, Signal Evaluator, Market Scan, and Trade System Optimizer as well as backtesting
  

• 
  formula components, in Formula Basics
  
• 
  creating four formula types using Formula Builder and its toolbox, in QFormulas, Conditions and User Values, and Custom Studies.
  
• 
  definitions of CQG-provided formula components, in Functions and Custom Studies
  
• 
  how to use formulas in our analytics tools
  

If you have a particularly complex question, submit an Advanced Features Support Request. CQG’s product specialists are some of the best in the business.

Formula Basics

QFormulas

Conditions

User Values

Custom Studies

Trade Systems

For our purposes, a formula can be either:

a mathematical calculation, e.g. addition or division to reach a numerical value;

a logical calculation, e.g. greater than or AND to reach a true/false value; or

a parameter (in the case of user values).

Formulas are applied to bars on charts and return either a value or an indication of a true condition.

1.Formula Components

symbols

mathematical, relational, logical, and movement operators

offsets

functions

parameters

comments

studies

Consider these the building blocks of formulas.

Formulas are created on Formula Builder. Components can be typed manually, or you can use the toolbox to help build formulas.

Symbols in formulas

Symbols must be entered in capital letters. Lowercase symbols display the inverse contract value. The system automatically defaults to all capital letters.

When the placeholder is used, the symbol is inherited from the application the formula is being used in.

For example:

This QFormula uses specific symbols: SPREAD(CLEM-2*CLEN+CLEQ,,,1:2:1)

This user value uses the placeholder: (High(@) + Low(@) + Close(@))/3

You can also use question marks:

?	Offset to most active contract
??	Offset to most active contract, includes cash/spot

In Formula Builder syntax preferences, symbols are included in the Identifier group.

Bar values in formulas

Bar values represent the outputs of chart types|topic=Chart Types. For example:

Bar: Last

Bar: TrueRange

Bar: CurrentBestAsk

CVB: Open

Heikin-Ashi: Mid

Spread Bar: HLC3

TFlow: BestBidPrice

TFlow: DomBidVol1

Within formulas, bar values are formatted like this:

Last(@)[-1]

TrueRange(@)

CurrentBestAsk(@)

CVBXOpen(@,10)

HAMid(@)

TFBestBidPrice(@,TFlowSimpleAggregation,1)

TFDomBidVol1(@,TFlowSimpleAggregation,1)

Bar parameters are also indicated. For example, (@,TFlowSimpleAggregation,1). These parameters can be changed.

Bar values also include three studies: Bar, CVB, and TFlow External Data.

Note about Current Values: Current values (such as CurrentBestAsk, CurrentBestBid, and CurrentTickVol) were designed especially for building trade systems. As input variables in trade systems, the current bar values recalculate on every tick within the trade system regardless of recalculation settings (Setup > Chart Preferences > Recalc). Regular bar values follow the recalculation mode setting.

Bar values have no special syntax highlighting.

Operators in formulas

In Formula Builder syntax preferences, mathematical and relational operators, commas, and question marks are included in the Operator group. Logical and movement operators are in the Keyword group.

Order of Operations

Mathematical (numerical value)

To illustrate these operators as clearly as possible, the variables A and B have been added.

Movement (true/false)

Offsets in formulas

An offset is indicated by using brackets [ ] around the offset value.

The offset value can be negative (for a bar in the past), positive (for a bar in the future), or zero (for the current bar). It is not necessary to indicate the current bar, as it is the default.

For example: High(@)[-2] = high of two bars ago

Functions in formulas

Bars Since

DOM Bid Volume

Maximum Since

Net Change

Spread

Yield

BarsSince(@,1,400)

DomBidVol(@,1,Single,1.0_secs)

MaxSince(@,none)

NC(@)

SPREAD(@)

Yield(@)

Variables in formulas

A colon (:) is placed after the variable and a semi-colon (;) is placed at the end of the expression.

For example:

x:=MA(2, Sim, 7);

y:=close(@)[-5];

z:=x+y;

Variables do not apply across formulas, as user values do. So, x could mean three different things in three different formulas.

Parameters in formulas

For example: B.cqg.HVolLOw

In

HVOL(@,Percent,HVPeriod,AnnFactor) < (1+Percent) * LoLevel (HVOL(@,Percent,HVPeriod,AnnFactor),Lookback,0)

In Formula Builder syntax preferences, parameters are included in the Identifier group.

Comments in formulas

There are two types of comments: those automatically generated by the system and those you add yourself.

For example, typing

SPREAD(

/* SPREAD(linear expression, [calculation mode], [tick size], [trade ratio], [BAT filter], [roll-over], [rounding mode])

Examples:

SPREAD(42*HOE-CLE, L1, 0.01, 1:2, T:BA, 1)

SPREAD(EP-ENQ, L1, 0.01, 1:1.33, T:BA, 1, MATH)

SPREAD(EP/ENQ) */

SPREAD(@)

You can turn off auto-generated comments in Formula Builder preferences.

Studies in formulas

Moving Average

Moving Average Top Envelope

Momentum

RSI Divergence Down

Filtered Bid Volume

Within formulas, studies are formatted like this:

MA(@,Sim,21)

MATE(@,Sim,21)

Mom(@,10)

Mom_OS(@,10)

RsDivDn(@,1,5,25,75,25,Sim,1,9)

VolFiltBid(@,0)

Study parameters are also indicated. For example, (@,1,5,25,75,25,Sim,1,9). These parameters can be changed.

Custom formulas in formulas

When you add a condition to a formula, prefix it with B, like this:

B.Condition(@)

When you add a user value to a formula, prefix it with V, like this:

V.UserValue(@)

When you add a study to a formula, format it like this:

STUDY.CURVE^(@)

CustomStudy.Average^(@)