Sync historical volume with real-time volume

[eoinf]

Hello,

I am using TD Ameritrade as my data provider. I have a strategy running which heavily relies on volume from historic days' worth of trading to compare conditions during the current real-time trading day. The real-time volume is significantly off-scale compared to that of the historical data as can be seen in the image below:



Is there a way to ensure this data is in sync? Thank you

[NinjaTrader_Manfred]

Hello eoinf,

Thank you very much for your post.

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.

Should you have any further questions in this regard, please don't hesitate to let me know!

[eoinf]

Hello eoinf,

Thank you very much for your post.

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.

Should you have any further questions in this regard, please don't hesitate to let me know!

Thanks, do you know of a broker where this connection API keeps data synced? If it is a TDA issue maybe I can use a different connection, as long as I can still trade in real-time with this connection.

[NinjaTrader_ChristopherD]

Hello eoinf,

This is Chris following up on behalf of Manfred.

Many NinjaTrader platform users who trade with TD Ameritrade utilize Kinetick as a supplement for market data. The market data from Kinetick is natively timestampted and the real-time data is unfiltered. Both of these factors should contribute to candlesticks built from real-time data matching when you reload historical data from the server.

Kinetick's Basic Service cost is $65/month, then you can add real-time data for the NYSE and the NASDAQ for $7/month each. You may subscribe to Kinetick at the following link:

• https://kinetick.com/Subscribe

Let me know if I may be of further assistance.

[eoinf]

Hello eoinf,

This is Chris following up on behalf of Manfred.

Many NinjaTrader platform users who trade with TD Ameritrade utilize Kinetick as a supplement for market data. The market data from Kinetick is natively timestampted and the real-time data is unfiltered. Both of these factors should contribute to candlesticks built from real-time data matching when you reload historical data from the server.

Kinetick's Basic Service cost is $65/month, then you can add real-time data for the NYSE and the NASDAQ for $7/month each. You may subscribe to Kinetick at the following link:

• https://kinetick.com/Subscribe

Let me know if I may be of further assistance.

Thanks for the response, I think I will end up going with a Kinetick subscription. I have been developing an algorithm with NT8 and need consistent data!