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CQG API guide

CQG is a long-established institutional futures platform used by FCMs, hedge funds and professional traders. Its developer interfaces target firms that need exchange-grade data and routing rather than a quick retail integration.

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Quick answer

CQG offers institutional futures and options connectivity through the CQG WebAPI (secure WebSocket with Protocol Buffers), FIX and other APIs. It provides L1/L2 data, tick and bar history and order routing, but requires a CQG-enabled account, exchange entitlements and often conformance testing.

CQG API at a glance

Pricing
Commercial; exchange entitlements extra
Availability
Through CQG and its FCM partners
Paper trading
Simulated environment; conformance testing
Integration type
Local gateway
In AlgoGP
Design and backtest in AlgoGP, connect the exported code
WebAPI
Secure WebSocket + Protocol Buffers
Other
FIX, CQG Integrated Client API
Data
L1/L2, historical tick, intraday and daily
Access
CQG account via FCM; simulated environment; conformance

What integrating CQG involves

  • Generating Protobuf classes from CQG’s message definitions and managing a persistent WebSocket session.
  • Entitlements per exchange, billed through your CQG/FCM relationship.
  • Conformance testing before production routing for custom applications.

Build a CQG strategy with AlgoGP

AlgoGP does not connect to CQG natively yet. CQG connects through a local gateway, socket, FIX or Protobuf stack rather than plain HTTPS, so it runs as a separate process next to your strategy.

  1. 1

    Design and backtest in AlgoGP

    Describe the strategy to the copilot and backtest it on years of normalized history. The result does not depend on any vendor.

  2. 2

    Export the Python project

    Every project exports strategy.py, market_data.py, brokers.py and live.py. The strategy only sees bars, cash, positions and orders, never a vendor’s wire format.

  3. 3

    Plug in CQG

    Implement the four adapter methods (account, positions, submit_market_order and a candle fetcher) with CQG’s SDK, or keep a built-in platform for paper trading and add CQG when you go live.

Built-in brokers for the same markets: Tradier, OKX.

CQG API: frequently asked questions

Does CQG have a REST API?

Its main developer API is WebAPI over WebSocket with Protobuf; FIX is available for order routing.

Can individuals use the CQG API?

Yes, through an FCM that offers CQG, though onboarding is more involved than retail REST brokers.

Design and backtest your CQG strategy first

AlgoGP turns an idea into Python and tests it on years of history before you connect it to CQG. The exported code keeps the broker behind four small adapter methods.

  • AI copilot writes and revises the rules
  • Backtests with realistic costs
  • Exported Python ready to wire to CQG
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Independent guide. AlgoGP is not affiliated with CQG. Limits, prices and availability change; confirm them in the official documentation. Nothing here is investment advice.