You may or may not want to use your brokers data feed as your primary data feed. For example, you may want to use your broker as your primary data feed and Kinetick as back up. If this is the case, connect to your broker first and then establish your Kinetick connection. Whenever you request data for a particular market, NinjaTrader will request data from the broker connection first and then your Kinetick connection second if a market data request fails from your broker because the broker technology does not support the instrument type (equities, futures, forex, indexes). During the connection creation process, you also have the ability to assign a back up data feed connection. By doing so, you tell NinjaTrader to fail over to the back up data feed if the primary feed is disconnected. This will only work if the back up data feed connection is connected.
Primary connection = Zen-Fire broker technology
Secondary connection = Kinetick
Zen-Fire only supports futures so all futures data would come from that connection, but if you tried to pull stock data NinjaTrader would pull that data from Kinetick since Zen-Fire does not support that instrument type.
Primary connection = Kinetick
Secondary connection = Zen-Fire
Since Kinetick supports all instrument types all data will be pulled from this connection. Your trades on futures would go to Zen-Fire though if you were trading live.
Note: Even if you do not have entitlement on your Kinetick account for certain futures, but you did on Zen-Fire, it will not fall over to Zen-Fire to pull data for those futures contracts since Kinetick's connection supports the futures instrument type. Data requests will only fall over to the secondary connection when the primary connection does not support the instrument class being requested.
Connection Order is Significant
If you are establishing multiple connections that overlap in their provided market data services, the connection order you establish is critical. NinjaTrader will check for required market data services in the order your connections are established.
BrokerA - Provides real-time market and historical data
BrokerB - Provides only real-time market data
If you connect to BrokerA first and BrokerB second, when requesting market data NinjaTrader will request the data stream for both real-time and historical data from BrokerA even if you trade against BrokerB. It is possible you want to use the real-time market data from BrokerB (you perceive it to be faster) then you should connect to BrokerB first and BrokerA second. NinjaTrader is smart enough to realize that although it uses BrokerB for real-time data it will request historical data from BrokerA.