TD Ameritrade Adapter SPY Real Time Volume Problem

[psmf7]

TD Ameritrade Adapter SPY Volume Problem

Can you guys fix this TDA Real Time Volume problem?
It has been fixed in NT7 years ago.

[NinjaTrader_PatrickG]

I'll begin plotting SPY data from TD Ameritrade now in an effort to replicate what you're reporting. I'll follow up when I have meaningful information. For reference, here is my current chart:

https://www.screencast.com/t/2dtomt1A

What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.X.0)

This only occurs with the SPY? All other instruments real-time and historical volume data appears as expected?

[psmf7]

I'll begin plotting SPY data from TD Ameritrade now in an effort to replicate what you're reporting. I'll follow up when I have meaningful information. For reference, here is my current chart:

https://www.screencast.com/t/2dtomt1A

What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.X.0)

This only occurs with the SPY? All other instruments real-time and historical volume data appears as expected?

What you have posted is historical backfill.
To replicate the issue you have to do it during market open.
Try it tomorrow.

NT8 Version 8.0.15.0 64-bit

[psmf7]

Patrick,

Are you checking it in real time?

I believe it's TD Ameritrade Adapter issue.

[NinjaTrader_PatrickG]

Thanks for your patience.

I was able to reproduce the real-time vs. historical volume discrepancy when connected to TD Ameritrade.

Please clarify - this occurs only on SPY? This does not occur on any other instrument?

[psmf7]

Thanks for your patience.

I was able to reproduce the real-time vs. historical volume discrepancy when connected to TD Ameritrade.

Please clarify - this occurs only on SPY? This does not occur on any other instrument?

I did check on SPY, QQQ, DIA and IWM - all same issue.

I did not check on other equities.

Looking forward for the fix.

Thank you.

[psmf7]

Thanks for your patience.

I was able to reproduce the real-time vs. historical volume discrepancy when connected to TD Ameritrade.

Please clarify - this occurs only on SPY? This does not occur on any other instrument?

Patrick,

Any ETA on the fix?

Thank you.

[NinjaTrader_PatrickG]

You've got good timing. I just finished speaking with the Development Team regarding this issue.

Unfortunately, this is expected due to how the current TD Ameritrade API works. Real-time data is snapshot based, so we only receive real-time information as often as the API provides it to NinjaTrader. As we've discovered, this is not all of the data.

When you reload historical data, it then includes all of the information causing the difference you reported. Unfortunately there is no fix for this.

You original question was "Why does NinjaTrader 7 not experience this?". The answer to that question is that NinjaTrader 7 uses a version of the TD Ameritrade API which cannot be used in NinjaTrader 8.

The only solution would be to obtain a data feed which does not have the same limitations that TD Ameritrade does.