Level 2 data after hours from TD

[clabough]

I've started trialing NT8 and today was watching symbols and their Level 2 data via my TD Ameritrade connection. After hours the Level 2 data stopped, but the chart is still ticking along. Does NT not support Level 2 data after hours from TD?

Also, comparing NT8 Level 2 and ThinkOrSwim Level 2 during the day it looked like NT8 was a little behind ToS. Does the free version throttle updates any compared to the paid versions? This would be good to know prior to purchasing.

I just noticed that when I switched instruments, I started seeing Level 2. Is there an issue with some instruments?

I did some diagnostics with a script I wrote and found that some instruments from TD only report NASDAQ_BOOK after hours, but others report NASDAQ_BOOK and LISTED_BOOK signals. It appears that NT is only watching LISTED_BOOK signals instead of both.

The instruments I was testing with were AMC (NT shows Level 2) and RGC (NT shows nothing).

[NinjaTrader_Clayton]

Hello clabough,
Thank you for the question.

When you are using NinjaTrader, something to remember is that the market data is not coming from the NinjaTrader platform, but whoever you are connected to for market data.

• A connection state between NinjaTrader and your broker/market data vendor is not dictated by NinjaTrader. The NinjaTrader application only reports the connection state as it is reported by the API you are connected through. NinjaTrader behaves like a radio receiver in that it receives signals from the connected server. If the signals are not coming through, the underlying broker/market data vendor API reports this to the NinjaTrader application which in turn reports this back to you.

If your Broker or Market Data provider is sending market data for the instrument through their API, then you should be able to modify the Trading Hours template to see the market data.

• Right-click on your chart and select 'Data Series'
• Properties > Time frame > Trading hours > Set this to 'Default 24x7'
• This will have the chart plot any available market data throughout the day

As for comparing the speed of quotes, what window were you looking at to compare these values?

• Please open a SuperDOM window and select your desired instrument to compare as the SuperDOM window as it is the fastest refreshing window

There is no form of market data throttling with any of the license keys or connections with NinjaTrader. You get the market data at the rate that it is provided by your broker/market data provider.

• Please see the following link to compare the differences between each of the different NinjaTrader License keys:
  • https://ninjatrader.com/LicenseComparison

[clabough]

Correct. I've been a .NET developer for 20 years. I wrote a small program to verify whether TD is sending Level 2 data after hours for the instruments, and it is. The only difference is that some are in the NASDAQ_BOOK feed and some are in the LISTED_BOOK feed from TD's API. I have my Data Series set to 24x5. That's why the chart is updating, but the Level II window is not.

I will try to make some videos to show what I'm referring to in both cases.

[NinjaTrader_Clayton]

Hello clabough,
Thank you for the update.

Could you please provide more information for the following questions:

• What instruments are you looking at specifically?
• For each of these instruments, how is the Symbol map set up? You could include screenshots of the symbol mapping for the instruments to demonstrate.
• What is the exchange that is selected for these instruments?

If you change the Exchange that is selected for an instrument and then restart NinjaTrader, do you see any changes?

[clabough]

Hi, here's a video that demonstrates the issue. The symbol mappings for SQBG and AMC are set to default, and just before recording this, I ran an update for the symbols. The first part of the video is for SQBG and you'll notice there's no Level 2 data and the updates to the chart are slower than the TD window in the bottom left. The second part of the video is for AMC, which has Level 2 data, but chart updates are still behind the TD window.

[NinjaTrader_Clayton]

Hello clabough,
Thank you for the update.

The data requested is going to be dependent on the exchange selected. We will need to see how you have configured these instrument definitions and the exchange used, and we will also need to know if changing the exchange creates a difference in behavior before we can assist further.

• For each of these instruments, how is the Symbol map set up? You could include screenshots of the symbol mapping for the instruments to demonstrate.
• What is the exchange that is selected for these instruments?

If you change the Exchange that is selected for an instrument and then restart NinjaTrader, do you see any changes?

[clabough]

What would you like me to change the exchange to? It is currently set to default.

[NinjaTrader_Clayton]

Hello clabough,
Thank you for the update.

Please set up and test each of the different exchange combinations as suggested below:

• For AMC:
  • Set it Default + Nasdaq and test
  • Set it Default + Nyse and test
• For SQBG
  • Set it Default + Nasdaq and test
  • Set it Default + Nyse and test

How do these results compare to having it set to just Default?

[clabough]

Nothing seems to have an effect.

Please confirm with the developers that for TDA, they're setting the Quality of Service flag to Express. See 5.6 of https://developer.tdameritrade.com/c...streaming-data

Also, I'm still not seeing Level 2 for many stocks after hours (i.e. AMC, BBIG, SQBG), but do see Level 2 for ones like AAPL, MSFT.

[clabough]

It's actually worse than I thought. Here's a snapshot of T&S for AMC. ThinkOrSwim on the left and NT on the right. Notice 6:05:11.



Everything's a block trade and many trades are missing.

[NinjaTrader_Jermaine]

Hello clabough

Thank you for your update

Note that the data you are seeing in your TDA Platform is being supplied directly from their data provider, while NinjaTrader is getting data from TDA's API. I am not able to speak on how TDA's Platform calculates its data. The data from TDA's API in NinjaTrader may not always match what you see on TDA's Platform.

[clabough]

I'm sorry, but that's not the case. Here are two videos. The first is a small program I wrote that dumps T&S to the screen. You'll see that it's catching everything and nearly at the same time (the small delay is because the program is not optimized). The second video is NT8 T&S and you'll see that things are missed and there's a delay with the updates. I like NT and really want it to work, but with this issue, it's not usable.

Since I've been a .NET developer for 20 years, I would be glad to work with one of your developers to figure this out.

[NinjaTrader_Jermaine]

Hello clabough,

Thank you for your reply.

I have provided a bit of information about how TDA Functions with NinjaTrader Time and Sales Window.

We do have an enhancement request tracking interest to use TDA's "Time and Sales Feed" (not to be confused with the Time and Sales window in NinjaTrader since NinjaTrader still uses TDA's L1 snapshot feed) and I have added your vote.

I have added your vote to an already created Feature request, SFT-3936.

This is an internal number, but for anyone else wishing to have their interest tracked, please let our support staff know that you would like a vote added for this request.

Feature/Enhancement Request Disclaimer

We receive many requests and cannot reasonably implement all requested features or changes. Interest is tracked internally and if enough interest is tracked, it would be weighed against how feasible it would be to make those changes to consider implementing.

When new features are implemented, they will be listed in the Release Notes page of the Help Guide. The ID number will be different than the internal feature request tracking ID, but the description of the feature will let you know if that feature has been implemented.

Release Notes - https://ninjatrader.com/support/help...ease_notes.htm

Thank you for your patience.

[clabough]

How does that fix my issue? I don't have the issue with only Time and Sales, but everywhere. I can't be the only person using TDA. Are you saying that every user of NT8 with TDA is getting delayed and incomplete data? Is there any way to get phone support or remote (e.g. Zoom, etc.) to figure this out? I just purchased a lifetime license - and you don't have a refund policy.

I'd also like to make an enhancement request that your enhancement request list is made public so people could vote on them.

Doing some more troubleshooting, I think that I figured out that charts only update for orders of 100 shares or more. This is also the case for your current T&S window. Is that what your enhancement request is for above? This is the same for ThinkOrSwim and Fidelity Active Trader Pro.

Do your charts and T&S window also only update for orders of 100 shares or more with Kinetick? Is there a way to have them update for all sales?

[NinjaTrader_RyanS]

Hello,

Unfortunately there is no 'fix' or solution we can provide as this is a symptom of the data being provided to NinjaTrader from TD Ameritrade. NinjaTrader is simply connecting to TDA's API and displaying the data it is being sent. The discrepancy you are seeing is most likely due to multiple factors, but primarily due to the fact that TD Ameritrade's data is 'snapshot' data through their API, and most likely is not within their own platform.

With this type of data feed TDA will not send updates for every single tick as there is a minimum time interval (~5/sec) for performance reasons. This would be referred to as 'snapshot' or 'filtered' data.

As mentioned you may want to look into alternate data providers if this type of data is imperative to your trading.