Time and Sales window slow and incomplete

[clabough]

I've made a video showing that the Time and Sales window is slow and incomplete compared to ThinkOrSwim and direct API access.

The left is my own program that's connected to TDA's API.

In this screenshot, you can see orders for 2000, 2500, and some 1000 that don't even get shown in NT's T&S window.

This is with NT connected to Kinetick for its data provider. If I connect to TDA for data, then it's even worse in NT, but as you can see in my program, the data from the API is just fine.

[NinjaTrader_Jim]

Hello clabough,

Thanks for your post.

In your application, are you using the Time and Sales feed from TDA's API, or the Level 1 feed from TDA's API?

NinjaTrader 8 uses the Level 1 feed and does not use the Time and Sales feed. The Level 1 feed is known to be filtered/snapshot based. (This is used because throughout NinjaTrader, we have options to use Bid/Ask/Last, and not just Last. Our Time and Sales window does not have a special case to pull from the TDA Time and Sales feed.)

Could confirm which feed you are using? If you are using the Time and Sales feed, please test again with the Level 1 feed as this is what we would expect to see through NinjaTrader.

I look forward to hearing from you.

[clabough]

NinjaTrader_Jim

The Level 1 feed from Kinetick is also filtered? That's what I have NT connected to in the video.

I connected my test client to TD's Level 1 feed and have been watching it for a while. It looks somewhat like Level 2 in NT, but since I can't connect two clients to TD simultaneously, I can't test them side-by-side.

What I've noticed is that it looks like it transmits at most once per second, which isn't good when a user wants to watch time and sales. If an order came in for 100 and 10,000 within the same second, it may just show the 100. I have my client set for Quality of Service = Express, so it should report every 500ms, but maybe since it's after hours, there's not enough activity to generate every 500ms. For Level 1, I'm thinking it only reports the last record instead of every record since the last transmission.

In the picture below, the size is in 100's, so that's why a lot of 0's. I believe 0 for price means no change, but I can't find documentation on that in their API. In the notes, it says "FROM FH"

[clabough]

I ran a new test today during more active times and here are the results:

TDA's Level 1 feed seems to update only once per second. Kinetick is still missing a lot.

In this screenshot, my client is on the left, TDA time and sales is in the middle, Kinectick is on the right.

At 9:18:03,
TDA's API Level 1 feed only has one record (expected since only updated once per second)
TDA's time and sales have 11 records for a total of 3998 shares. I've filtered it to show only orders >= 100 shares, so there were some smaller ones during that time as well.
Kinectick has only 6 records for a total of 1258 shares.



Here's the video that was taken from.

[NinjaTrader_Jim]

Hello clabough,

I ran a test as well and did some digging into internal notes for our Kinetick connector.

In my test I see more ticks from Kinetick, but this is not conclusive to all differences that may be seen.

Left is TDA, and Right is Kinetick

The markings indicate ticks I see with Kinetick, but do not see with TDA.

We went over that TDA does filter their Level 1 feed, but there would be more differences present.

That said, we really should not get too far into these differences, particularly for stocks, because TDA could be reporting from dark pools that they are hooked up to and TDA could be providing data from different market makers. These differences can be difficult to prove, and I am not sure on the specifics on TDA's end.

I also would not necessarily consider the TDA as the absolute definitive source of "good data." There will be differences between each provider, what is offered by the provider, and what is read from what is offered.

Kinetick will show Extended Trades as well as Last Qualifying Trades, but would not display Other Trades (trades not qualified by the exchange.) I am not sure on the specifics with what the TDA API offers, but TDA could very well be including these Other Trades.

All in all, with stocks, data differences can be messy and hard to prove. If you see differences that may be attributed to market makers (you would observe missing market makers in Kinetick that are present with TDA, can be noted from Level 2 window) we can bring that up with the Market Data Source for Kinetick and ask if they would be able to support that market maker in the future.

[clabough]

Ah yes, some of those trades may be internal to TDA and not reported out. I'll do some more definitive testing against a number of brokers' platforms.