Have you double-checked to make sure you are trying to import from the correct brokerage? Some users have had success trying to import from E*Trade Bank instead of E*Trade Securities.
For more information, please see How do I import my 1099?
Depending on the version of TurboTax you are using, TurboTax does have a limit on how many transactions can be downloaded. Please see How many stock transactions can TurboTax Online handle? for additional information.
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