When choosing between CQG and Rithmic for automated futures trading, particularly for strategies based on cumulative delta, the decision comes down to the following key considerations:

1. Data Quality and Granularity

• Rithmic:

  • Highly regarded for its low-latency and tick-by-tick data.
  • Provides very accurate and detailed order book data, which is ideal for strategies that analyze cumulative delta.
  • Rithmic's infrastructure is known for high reliability and precise time stamps, which are critical for ensuring the accuracy of order flow calculations.

• CQG:

  • CQG also provides high-quality market data but may not always match Rithmic's granularity for tick-by-tick feeds.
  • CQG's data compression techniques might slightly affect cumulative delta calculations, particularly for very short-term or high-frequency strategies.

Winner for Data Quality: Rithmic

2. Latency and Connectivity

• Rithmic:

  • Well-known for low latency and direct connections to many exchanges.
  • Often preferred by high-frequency traders or those who need near-instantaneous market updates.

• CQG:

  • Provides stable and fast data but isn't typically as low-latency as Rithmic.
  • Might be sufficient for most strategies, but for latency-sensitive applications, Rithmic has the edge.

Winner for Latency: Rithmic

3. Platform Compatibility

• Rithmic:

  • Supported by a wide range of platforms commonly used for automated trading (NinjaTrader, Sierra Chart, etc.).
  • Provides APIs (like R|Trader Pro) for custom development.

• CQG:

  • Also widely supported across many platforms and offers its CQG API for custom trading software.
  • Slightly more intuitive user interfaces for general traders, but less focused on advanced order flow analysis.

Tie: Both are compatible with most professional trading platforms.

4. Cost

• Rithmic:

  • Costs for using Rithmic may be slightly higher, depending on your broker and trading platform fees.

• CQG:

  • Pricing tends to be more competitive, making it attractive for traders with cost constraints.

Winner for Cost: CQG

5. Suitability for Cumulative Delta Strategies

• Rithmic:

  • The most accurate for cumulative delta analysis due to its superior tick-by-tick data and precise handling of volume at each price level.
  • Offers detailed bid/ask-level information, which is essential for cumulative delta computations.

• CQG:

  • Reliable but might introduce minor inaccuracies in cumulative delta strategies when compared with Rithmic, particularly during high market volatility.

Winner for Cumulative Delta: Rithmic

Final Recommendation:

For cumulative delta-based strategies, Rithmic is typically the better choice due to its:

1. Superior tick-by-tick data.
2. Lower latency.
3. Higher reliability for volume profile and order flow calculations.

If cost is a significant factor or your strategy is less dependent on ultra-precise order flow data, CQG can be a solid alternative. However, if your strategy relies heavily on cumulative delta accuracy, go with Rithmic.

Watch out for CORN. Market runs into backwardation.

We expect higher prices!

Volume spikes can signal potential trend reversals or the beginning of new trends, as large shifts in trading interest may mark shifts in market sentiment.

As we see clearly in the Bitcoin market. Here we can see the weekly chart:

To trade the Soybean Futures Market and Crude Oil Futures with the same risk, considering the Average True Range (ATR) for setting stop losses and profit targets, you can use a method that balances the different volatility and contract sizes of the two markets. Here’s how to approach it:

Steps to Calculate:

1. Determine the ATR:

   • The ATR gives you a measure of volatility. You can calculate the ATR for both Soybeans and Crude Oil over a chosen period (e.g., 14 days) or retrieve it from your charting software.

2. Determine the contract size for Soybeans and Crude Oil:

   • Soybean Futures are traded on the CME (Chicago Mercantile Exchange) and represent 5,000 bushels per contract.
   • Crude Oil Futures (WTI) are traded on the NYMEX and represent 1,000 barrels per contract.

3. Stop-Loss and Profit Target based on ATR:

   • Set your stop-loss and profit target in units of the ATR. A common approach is, for example, 1x ATR as a stop-loss and 2x ATR as a profit target (2:1 ratio).

4. Risk Adjustment:

   • You want to keep the risk in both markets equal, meaning that you use the same $ risk per trade for both markets by adjusting the position size according to the ATR.

5. Calculate the Position Size:

   • To determine the position size, use the formula:
     • {Position Size} = {Risk in $} / {ATR in $}
   • The ATR value needs to be converted into $ per contract as follows:
     • {ATR in $} = {ATR in points} * {value per point}

• • For Soybeans, the value per point is $50 (since one point = 0.01 and 5,000 bushels per contract).
  • For Crude Oil, the value per point is $1,000 (since one point = 1 and 1,000 barrels per contract).

Example:

• ATR for Soybeans: 0.25 points
  • ATR (in $) = 0.25 points × $50 = $12.50 per contract
• ATR for Crude Oil: 1.50 points
  • ATR (in $) = 1.50 points × $1,000 = $1,500 per contract

Risk per Trade (in $):

Let’s say you want to risk $500 per trade. The position sizes would be:

• Position size for Soybeans:
  500 / 12.50 = 40 contracts
  Position size for Crude Oil:
  500 / 1500 = 0.33 contracts
• Since you can’t trade fractional contracts, you’d either have to adjust your risk or reduce the position size for Soybeans.

Summary:

• Calculate the ATR for each market.
• Determine the ATR in $ per contract.
• Set your risk per trade and calculate the corresponding position size, so you trade both markets with the same risk.