The API doesn't use socket connections directly to the server. It connects to either CQG Trader, or window-less client, both of which will pass-through your orders/data to/from CQG server. The arrangement is similar to IB, or PFG. It is *not* a FIX connection. They have some decent examples in C#/VB.Net on their website. I was digging a little in their API dll, and there are plenty of options. The orders are instantly processed at least on the demo system. I'm using their CQG Trader DOM for manual trading, and it is faster than I would ever need.
If you are asking about the tools for development, VisualStudio is what I use.
I didn't do much with the API, I was just checking how hard it would be to get something done. It's looking very promising, but right now I'm too busy developing some stuff on NinjaTrader. I'm working on something similar to the TradeManager from IndicatorWarehouse, but mine uses a shared space for global variables, Basically it is a central Hub which processes all the signals from individual charts. The charts manage trailing stops, you can adjust a live trailing stop algorithm and parameters like speed in real-time. but the business logic is in a shared namespace not managed by NT, which also happen to have it's own form/display. It is quite promising, but it also is a lot of fun when you start managing all those custom events between the charts ... Anyhow...