Volume Data Will not Update

[aligator]

Dear Support,

I am using TD Ameritarde live data connection and bar Volume data is not updated on any time frame. To see the historical volume I frequently have to "Reload All Historical Data." See volume screen shots before and after "Reloading All Historical Data."

This issue has been going on for sometimes now. Any idea why volume data (for any instrument) is not correct unless historical data is updated, and how to fix it?

Edit: I just noticed the price data in not updated either.

Before
After

[NinjaTrader_Clayton]

Hello aligator,
Thank you for writing in.

Are you using a Default NinjaTrader Volume Indicator?

• If yes, what are you using, and what are the settings you are using?

If not, please perform the following test:

• Create a New chart for the ES 03-22 or an instrument you get market data for
• Make it a 1-minute chart
• Set the 'Days to load' to 5
• Make sure 'Template' in the top-right corner is set to < None >
• Click OK to make the chart

• Add the NinjaTrader Default "VOL" indicator to the chart
• Does it behave the same way as the other Volume indicator or does it not need to be refreshed to update as expected?

[aligator]

Hello aligator,
Thank you for writing in.

Are you using a Default NinjaTrader Volume Indicator?

• If yes, what are you using, and what are the settings you are using?

If not, please perform the following test:

• Create a New chart for the ES 03-22 or an instrument you get market data for
• Make it a 1-minute chart
• Set the 'Days to load' to 5
• Make sure 'Template' in the top-right corner is set to < None >
• Click OK to make the chart

• Add the NinjaTrader Default "VOL" indicator to the chart
• Does it behave the same way as the other Volume indicator or does it not need to be refreshed to update as expected?

Yes, Clayton. Notice that bars volumes after 7:50 (PT) are not being updated and not correct. If I click the "Reload All Historical Data" they will be updated. No charts with any time frame or template is being updated with historical data.

I am using a live account with T D Ameritrade.

Thanks.

[aligator]

Dear Support,

Any idea what's going on data not being updated after 9:51. After following advise, here is another chart showing data not being updated with historical data.

Thanks.

[NinjaTrader_Clayton]

Hello aligator,

Thank you for the clarifying images.

When connecting to a TD Ameritrade connection, the Real-time Market Data is going to be Filtered/Snapshot based data while the Historical data is not going to be Filtered the same way.

• The L1 Feed: Provides real-time L1 data including current last/bid/ask data
• It does NOT send updates for every single tick, there is a minimum time interval (~5/sec) for performance reasons. (e.g., "filtered" or "snapshot" data)

When you right-click and Reload all historical data, it is filling the chart with non-filtered Historical Data which results in more data and more Volume.

[aligator]

Hello aligator,

Thank you for the clarifying images.

When connecting to a TD Ameritrade connection, the Real-time Market Data is going to be Filtered/Snapshot based data while the Historical data is not going to be Filtered the same way.

• The L1 Feed: Provides real-time L1 data including current last/bid/ask data
• It does NOT send updates for every single tick, there is a minimum time interval (~5/sec) for performance reasons. (e.g., "filtered" or "snapshot" data)

When you right-click and Reload all historical data, it is filling the chart with non-filtered Historical Data which results in more data and more Volume.

Thanks Clayton

So, What is the solution? Are you saying that the volume for AAPL shown in Post# 4 is normal? The question is how do I get the correct volume without having to use ReloadAllHistoricalData on every single bar. This is not normal, certainly not when I compare to my other live platform. I suspect the price data may also need updating.

[NinjaTrader_Clayton]

Hello aligator,

Thank you for the message.

I will reiterate with more detail:

TD Ameritrade's historical and real-time data is generally not identical, as TD Ameritrade uses snapshot data for the real-time feed.

• What this essentially means is that TD Ameritrade does not send updates for every single tick that occurs during the live market, but sends these in filtered 'snapshots', about once every 5 seconds.
• When the chart is then reloaded, this snapshot data is disregarded and replaced with the complete historical data.

As this is a restriction of the underlying API that connects your TD Ameritrade account to the NinjaTrader platform, there is currently no way to circumvent it.

When reloading historical data or restarting the platform will always change the live data that was formerly recorded and replace it with newly downloaded historical data.


Please visit the Forum Link below as another user had a similar question and there are a few additional clarifying responses:

• https://ninjatrader.com/support/foru...al-time-volume

[aligator]

Hello aligator,

Thank you for the message.

I will reiterate with more detail:

TD Ameritrade's historical and real-time data is generally not identical, as TD Ameritrade uses snapshot data for the real-time feed.
Agree, but not updating a 1-m chart with historical data was never an issue before.

• What this essentially means is that TD Ameritrade does not send updates for every single tick that occurs during the live market, but sends these in filtered 'snapshots', about once every 5 seconds.
  Does that mean the chart is updated with historical data at least every 5 seconds? The chart in post #4 above runs for many minutes (at the time of snap) without being updated, how is that explained?
• When the chart is then reloaded, this snapshot data is disregarded and replaced with the complete historical data.
  If the chart is updated every 5 seconds how would you explain the 1-m chart in Post#4. I get similar results on 5, 15m, etc.
  
  As this is a restriction of the underlying API that connects your TD Ameritrade account to the NinjaTrader platform, there is currently no way to circumvent it.
  I have been using NinjaTrader and TD Ameritrade for 10 years now. This has never happened before and never had to reload historical data for this reason, it just started a few days ago.

When reloading historical data or restarting the platform will always change the live data that was formerly recorded and replace it with newly downloaded historical data.


Please visit the Forum Link below as another user had a similar question and there are a few additional clarifying responses:
With all due respect, the link is the same verbatim canned response. My issue here is not comparing live vs historical data. My issue is the data is not being updated at all, as you mentioned at least every 5 seconds by TD Ameritrade, regardless of whether I am using a demo or live account.

Obviously, the other fellow gave up on a real solution.

• https://ninjatrader.com/support/foru...al-time-volume

Thanks again,

Please see my embedded notes above.

[NinjaTrader_Clayton]

Hello aligator,

Thank you for the updates.

I would like to take a look at your platforms underlying Log and Trace files to ensure that everything looks as expected and that there is not something else involved.


Please use the steps below to Automatically send us your log and trace files from your platform.

• You can do this by going to the Control Center-> Help-> Email Support
• Ensuring 'Log and Trace Files' is checked will include these files. This is checked by default.
• Please reference the following ticket number in the Subject and body of the email: Clayton ATTN 3441063

[NinjaTrader_Clayton]

Hello!

I wanted to update this forum post with the information we found after alligator wrote in to Platform Support directly.

We looked through the underlying files and did not find anything unexpected.

As well, we tested this behavior by:

1. Connecting to TD Ameritrade within NinjaTrader and then opened a Chart for AAPL with the VOL Indicator applied.
2. We then let it run for a while and saw that the Voumel data was showing smaller bars since the last time we clicked to Reload all of the Historical Data
3. We then clicked on Reload All Historical Data and the bars were then rebuilt with additional Volume Data making them larger

Please see the Screenshot below for the results of our test:



This is the expected behavior when connecting to the TD Ameritrade connection type as the Real-Time market data is Filtered/Snapshot based while the Historical Data the Chart is being reloaded with is not.

• If this market data does not work for you, you could look into getting a Market Data Provider to supplement your market data with Unfiltered Market data
• Please let us know if you have any further questions about this and we would be happy to provide more information

[aligator]

Hello!
If this market data does not work for you, you could look into getting a Market Data Provider to supplement your market data with Unfiltered Market data

Clayton,

Thanks for confirming the issue.

Sounds like unless a trader uses a different data provider, trading a T D Ameritrade live account on NInjaTrader platform involves significant risk. This certainly questions the usefulness and safety of having TD Ameritrade connection as a real time data provider on NinjaTrader.

I have not seen the same issue using their own live TOS platform. Perhaps there is a way to fix the API if that connection is to be suitable for live trading on NinjaTrader platform.

Thanks again.

[NinjaTrader_Clayton]

Hello aligator,

Thank you for the follow-up.

Unfortunately, NinjaTrader has no control over the way that the TD Ameritrade market data is being sent to the NinjaTrader platform.

The Market Data that TD Ameritrade Provides to the Think or Swim platform comes from a different server than what they provide through their API to other platforms.

• Think or Swim platform is TD Ameritrade's platform and it is provided with different market data than the 3rd party platforms that just connect to the TD Ameritrade API

Until TD Ameritrade updates the way that the data is provided through their servers and API, the only other option would be to supplement their market data with a Market Data Provider as previously suggested.

[aligator]

Hello aligator,

Thank you for the follow-up.

Until TD Ameritrade updates the way that the data is provided through their servers and API, the only other option would be to supplement their market data with a Market Data Provider as previously suggested.

I guess the remaining question now is: has there been any attempt to communicate with TD Ameritrade regarding this generic issue and a better API?

Thanks.

[NinjaTrader_Heath]

Hello aligator,
Thank you for your reply.

Our development team has been in contact with them however the data they provide is up to a change on what data they are willing to provide through their API. For now there is no information available on if or when this will be updated.

I would advise reaching out to TDA directly if you have further questions about updates to their third party Level 1 feed to not be snapshot based.

Please let us know if you have further questions.

[ErikHR1969]

Hi,
I would like to buy NT and use it against TDA. Did you ever confirm this was resolved?
Thanks