NinjaTrader + TD Ameritrade for $ADD/$VOLD/$TICK/$TRIN issues

[novel168]

Hi all,

Does any one successfully use NinjaTrader with TD Ameritrade (or any other market data provider) to load the $ADD/$VOLD/$TICK/$TRIN data ?

This is very frustrating on adapting NinjaTrader with many market data provider to load $ADD/$VOLD/$TICK/$TRIN.

I ever try the NinjaTrader + Interactive brokers, but the ^ADD, ^VOL, ^TICK is totally incorrect while I check the values on TOS(Thinkorswim)

Does any suggestion for this ?

Thanks.

[NinjaTrader_PatrickG]

Please clarify - is the issue that these indices do not appear at all? Or is the issue that the data you see in NinjaTrader does not seem to match what you see within Think or Swim?

So I may accurately assist you, please answer all of the following questions:

• What version of NinjaTrader 8 are you using? Please provide the entire version number. This can be found under Help -> About (Example: 8.0.?.?)
• Do you receive an error on screen? Are there errors on the Log tab of the Control Center? If so, what do these errors report?

[novel168]

Hi

The data I see in NinjaTrader does not seem to match what I see within Think or Swim. The value is total different, it has a lot of gap of the values.

1. NinjaTrader 8 Version: 8.0.20.1 64-bit

2. There is no error on screen.

Thanks

[NinjaTrader_PatrickG]

This is unfortunately expected due to the nature of real-time data provided by TD Ameritrade's (and Interactive Broker's) APIs. It is effectively a different data feed that is made available to third party platforms like NinjaTrader. This is commonly referred to as 'snapshot' data.

In some cases, you'll notice that historical data will match, however, specifically for index instruments there is a fundamental difference. Here is a note we received from TD Ameritrade further detailing this expected behavior:

“There is certain index data like $TICK, $TRIN, $DECN, and many others which are calculated internally usually across different data feeds. So when looking at intraday short time frames for the current day, you will sometimes notice slight differences. Any historical data from the previous day and beyond all share the same historical data set which is pulled from thinkorswim. This is why the data beyond the current day will match.”

[iTrade777]

Hi

The data I see in NinjaTrader does not seem to match what I see within Think or Swim. The value is total different, it has a lot of gap of the values.

1. NinjaTrader 8 Version: 8.0.20.1 64-bit

2. There is no error on screen.

Thanks

Hello.

It seems to me the OP is saying the Ninja Trader has the gapped values.
Gapped values whereas the Ameritrade data doesn't have the gaps.

If so then it seems something is missing from the Ninja trader feed.

Can the OP clarify this please.

As someone thinking about buying this program that doesn't give me a good feeling...

This is unfortunately expected due to the nature of real-time data provided by TD Ameritrade's (and Interactive Broker's) APIs. It is effectively a different data feed that is made available to third party platforms like NinjaTrader. This is commonly referred to as 'snapshot' data.

In some cases, you'll notice that historical data will match, however, specifically for index instruments there is a fundamental difference. Here is a note we received from TD Ameritrade further detailing this expected behavior:

Hello.

I am confused on what you are saying.

I currently have an Ameritrade account and I have asked them if they modify the data in anyway and their support has told me no.

According to them, they get the data feed from the provider to their servers and then they use their many servers to distribute the data to their many clients.

So can you please explain exactly how your data is different than Ameritrade's data?

What is your data chain and why do you believe it's different?

Thanks.

[NinjaTrader_PatrickG]

iTrade777 , I suspect you may not have spoken with someone in the API department at TD Ameritrade. There is a fundamental difference in the data that is available in TD Ameritrade's software than what is available to third party platforms like NinjaTrader through their API. The symptom being discussed in this thread is an example of one of those fundamental differences.

[12VMan]

I have a similar question - cannot load ^ADD or ^VOLD via my Ninja brokerage connection. Are they no longer available?

[NinjaTrader_PatrickG]

12VMan, this topic is specifically discussing index data with a TD Ameritrade connection. This specific information in this topic is therefore not directly relevant to you.

If you're connecting to NinjaTrader Brokerage then you're most likely using NinjaTrader Continuum which would have the following available indices:

• https://ninjatrader.com/CQGSupportedIndexes

All of the indices listed in the website above are available and configured for use with NinjaTrader Continuum by default. Keep in mind that most indices will only provide real-time data during RTH hours (0930-1600 US ET). If you do not receive real-time data for these indices, please contact my colleagues on the Brokerage Support Team to confirm your data subscriptions:

• BrokerageSupport[AT]NinjaTradr[DOT]com

[12VMan]

12VMan, this topic is specifically discussing index data with a TD Ameritrade connection. This specific information in this topic is therefore not directly relevant to you.

If you're connecting to NinjaTrader Brokerage then you're most likely using NinjaTrader Continuum which would have the following available indices:

• https://ninjatrader.com/CQGSupportedIndexes

All of the indices listed in the website above are available and configured for use with NinjaTrader Continuum by default. Keep in mind that most indices will only provide real-time data during RTH hours (0930-1600 US ET). If you do not receive real-time data for these indices, please contact my colleagues on the Brokerage Support Team to confirm your data subscriptions:

• BrokerageSupport[AT]NinjaTradr[DOT]com

So, in short, they are not available.