It is possible to manually download Ally Brokerage Activity from the Ally site.
You must go under the Tax Center. The is a box called "Download Account Data". You can chose the date range. It downloads it in a QFX format.
If you try to link your Ally BROKERAGE through Quicken you will only get the account balances but not the individual transactions. So, I had to delete that and do it the manual way. Now I have all the transactions and balances in my Ally Brokerage.
