Can no longer obtain more than one week of tick-level data on Kinetick data stream...

[JPPoulin]

Hello,


I used to be able to obtain up to six months of historical data on common US equities (MU, AMD, ROKU, AAPL, etc) in NinjaTrader 8 with the Kinetick data stream.

For the last few days I have noticed that I can no longer obtain tick-level data on these instruments. The most tick-level data I can get is the last five days. I have tried this on two different computers running NinjaTrader 8 and I get the same results. (I can still access minute-level data on these same instruments fine)

Has something changed in NinjaTrader or Kinetick that would explain this?

Thanks for the help!

Jean-Pierre

[NinjaTrader_PatrickG]

Kinetick restricts historical tick data requests during RTH to 8 days. If you request tick data outside of RTH (roughly 6PM-9AM ET) you should have access to the full 6 months of tick data.

[JPPoulin]

Awesome thanks Patrick.

Q1: Do you know of services that offer more than 6 months of tick data?
Q2: Do you know of services that sell historical Level II data on US equities?

--------------------------
Here is the answer from Kinetick supporting your answer:


--------

Hello Jean-Pierre,

Thank you for your note.

When requesting tick data between the hours of 9:30 AM and 4:30 PM ET, you will have access to 8 days of historical tick data. If you request the data outside those, hours the full 180 days is available. After you request the data, it will be downloaded to your historical database and cache so you can access this data at any time.

Requesting tick data consumes an extremely large amount of bandwidth and heightens data server loads. When bandwidth or server load is elevated to high levels, the result is that all data, including live data, can be slowed down. We decided to make 180 days of tick data available, far more than other providers, and will not compromise the data by filtering it. We simply reduce any possibilities of overloading servers and bandwidth by limiting the amount of data available during peak trading time, when traders need data to be as fast as possible.

Please let us know if we may be of further assistance.


Sincerely,
Chris D
NinjaTrader Platform Customer Service

[NinjaTrader_PatrickG]

I know that any connection which uses NinjaTrader's historical data servers (NinjaTrader Continuum, for example) would be using our historical servers and our servers provide one year of historical tick data for futures. This wouldn't help you with stocks, though.

I am not aware of any other connection that has access to more than a year of historical tick data, but if you can find the data somewhere it could be formatted for use in NinjaTrader then imported:

• https://ninjatrader.com/support/help.../importing.htm

[JPPoulin]

Thanks Patrick for the prompt and useful answers.

So far Kinetick with its 180-days of tick data accessible outside of Regular Trading Hours is the best I've found for stocks.

In regards to the (mort important) Level II data, so far I have not been able to obtain any Level II real-time data either with IB or Kinetick. While I can see depth-of-book data in the 'Simulated Data Feed' I can't see it on regular US stocks either with my IB account or Kinetick (15 minutes delay)

However I see level II data in IB Trade Workstation when I log in live during RTH so I know it's there on my machine but the data doesn't appear to be transmitted to NT8 from TWS.
Q1: Do you know if Level II data can be accessed in NT8 from IB TWS?
Q2: Do I have to pay more for this access? (Either Kinetick or IB or some other provider)

I really need level II data for my custom strategy!!

Thanks!

[NinjaTrader_PatrickG]

Level II data for stocks is not supported in the SuperDOM. To view level II data for stocks (assuming you have the appropriate subscriptions in your connections) please use the Level II window:

• https://ninjatrader.com/support/help...8/level_ii.htm

[JPPoulin]

Thanks again Patrick.

However in my case I can see the level II data on a given US stock in IB Trade Workstation but I cannot see the level-II data in the Level II window you talked about. Is this anormal?

I have contacted IB technical support and (after over an hour of tech support), determined that in my situation:
1. I have the proper subscription to see the level 2 depth-of-book on US stocks like AMD, MU, ROKU, etc
2. I see the level II data in IB Trade Workstation.
3. I cannot see any level II data in NT8 in the 'Level II window' or "SuperDOM"

Is this functionality broken? Can someone verify this still works?

(Below are the data subscriptions I have to see level II data in TWS for the above-mentioned stocks)
-------------


North America

IEX Depth of Book - Trader Workstation

US Equity and Options Add-On Streaming Bundle - Trader Workstation

US Reg NMS Snapshot - Trader Workstation

US Securities Snapshot and Futures Value Bundle - Trader Workstation


Global

IDEAL FX - Trader Workstation

US and EU Bond Quotes - Trader Workstation

[NinjaTrader_PatrickG]

I am personally unfamiliar with what the appropriate Interactive Brokers enablements are, however if "depth of book" = "market depth" or "level II", then you have the correct enablements. You may want to verify by specifically asking "should I be able to see level II data in a third party application like NinjaTrader when connected to my Interactive Brokers account?".

Interactive Brokers restricts the amount of Level II data that can be requested per connection session. I suspect you have have hit this limit. Do you see any messages in your Control Center's log tab that relate to level II data requests? It would be something like this if my hunch is correct:

"ERROR: Max number (3) of market depth requests has been reached 309"

If you disconnect from Interactive Brokers, close your normal workspace(s), then open a new Level II window and choose a stock you know you have level II data for (AMD for example), then reconnect, does Level II data appear? The goal here is to make sure that no other NinjaTrader windows are requesting level II data.

[JPPoulin]

Thanks Patrick,

Unfortunately I do not see the messages you mentioned.

I have spent over two hours with IB and from their perspective if I see it in TWS level 2 window then I should also see it in NT8 level 2 window.

The only error message I see NT8 is the following: "Instrument XYZ Default is not enabled to receive real-time data. Please add the instrument to your IB account subscription".

The flow to get that message is:
1. Connect with TWS and show level II data on a stock like MU, AMD, ROKU etc.
2. Connect with NT8 for the same instrument with 1-second bars.
3. Create a new 'Level II window'.
4. The Level II window will not show the depth-of-book and I get the above error message.

The above error message does not make sense given the IB tech support people saying that I should see whatever data in NT8 that I see in TWS.

Can someone try this functionality with the latest build?

[NinjaTrader_PatrickG]

This message is coming from TWS and is quite literal - you're requesting data in NinjaTrader that you're not enabled for in your Interactive Brokers data subscriptions. AMD, for example, would require level II NASDAQ data.

What version of TWS are you using?

Also, I'd recommend that you follow my steps to eliminate any local workspace issues by closing all workspaces and then opening a level II window only. It probably can't hurt to close TWS as well and make sure that connection is 'fresh' as well.

[JPPoulin]

Thanks Patrick for that key info.

This would point to me not having the right subscription, but again I see the level II data in IB Trade Workstation, and after over an hour with IB tech support, they stated convincingly to me that "if I see the level II data in TWS I should see the same level II data in NT8" (i.e. I asked if I needed additional subscriptions to enable TWS to export this data to NT8 but they said no)

I'm using Trader Workstation 973. I've also tried with IB GateWay 973 and same thing. I've tried the above on my 2nd computer and the same behavior.

To be sure we're talking about the same thing, the Level II data I see in TWS 973 is from clicking the 'New Window' button at the upper left and selecting "Market Depth (Level II)". Data does appear in both the 'bid' and 'ask' column for the instruments I'm interested in (e.g. AMD, ROKU, MU, NVDA, etc) but when I bring up the "Level II" window in NT8 it remains without the bid/ask table filled in and with the error message above.

A possible hint at what's going on is the message "Additional sources available: ARCA, BATS, BEX, ISLAND, NYSE" in the TWS level II window. (see in included clip of AMD level 2 data) Even though I see useful info I'd like to see in NT8, perhaps NT8 is coded in a way that if *any* level II source is not present I get the error message and no level II info appears?

Can you guys replicate this issue?

[NinjaTrader_PatrickG]

I can reproduce this exact same symptom because my test Interactive Brokers account is not enabled for level II data. Here is the full message:

2019-11-05 10:14:05:634|3|2|Instrument AMD Default is not enabled to receive real-time data. Please add the instrument to your IB account data subscriptions. Error: 'Requested market data is not subscribed.Delayed market data is not available.AMD NASDAQ.NMS/DEEP'

When you quoted your error message earlier, you only provided the first half of the message. What was the second half? Is it identical to mine?

[JPPoulin]

Hi Patrick,

Thanks for your continued support on this issue... it's critical for the strategy I'm developing to access L2 data!

I redid all the replication steps and I get the exact same message than you: "Instrument AMD Default is not enabled to receive real-time data. Please add the instrument to your IB account data subscriptions. Error: 'Requested market data is not subscribed.Delayed market data is not available.AMD NASDAQ.NMS/DEEP'"

This would indeed point that I would need NASDAQ II data but:
1. IB told me with the subscriptions I have (listed above) that I should see L2 data on the stocks I'm interested in.
2. I do see L2 data in TWS and that I should see the info in NT8.

To try to get this unstuck I'll add NASDAQ II subscription to see if I get L2 data in NT8, but I do think this points to a bug in NT8... namely that the content of the Level II window in NT8 should match the content of the Level II window in TWS.

Will report what I find once I test the new subscription. Thanks again for the prompt and expert assistance on this critical issue!

[JPPoulin]

Hi Patrick,

Ok I've purchased the NASDAQ II data and finally I see usable info in NT8! (See attached pic)

I think I know why the Level II windows are different in TWS and NT8...
1. With just the basic subcriptions, TWS will list level 2 data on exchanges such as DRCTEDGE, EDGEA, NYSENAT, PSX, BYX, IEX, PSX and others.
2. I think NT8 is not setup to extract level 2 data from these 'secondary' markets hence explaining why the L2 window remains blank while TWS has data.

In my case I'm now much further and can go on coding my strategy so I can extract L2 data to see where the next few ticks will land, but it is a concern that info on the above-mentioned secondary markets don't make it in NT8.

Are there plans to pull L2 data from the above mentioned markets in NT8? (I think it would offer considerable value!)

Thanks again for the help!

[NinjaTrader_PatrickG]

Thank you for the suggestion.

I have submitted this as a feature request to the Development Team. The internal tracking number for your feature request is SFT-3060. Please reference this internal tracking number if you ever have questions regarding this feature request.

When a feature request is implemented, you'll find it in the release notes:

http://ninjatrader.com/support/helpGuides/nt8/en-us/?release_notes.htm