I trade US Futures Contract S&P mini and Nasdaq mini with AMPFutures broker.
In backtesting I have not been able to retrieve MarketBook data (Depth of Market), so I am trying to see if that can be reconstructed by getting data using CopyTicks, but I doubt it is same.
I tried to total Volume from TRADE_TICKS for 30secs of ticks for S&P emini (high volume instrument) and that seems to be low compared to what I see in MarketBook.
So, can someone clarify if the volume in TRADE_TICK type ticks received by CopyTicks is actually the Time and Sales data that happened in realtime.
How can I see when the block trades were executed, when checking CopyTicks and TICK_BUY flag, i am not seeing that big block trades that happen.
CopyTicks will give you recent history of trades made in that symbol. the market book is something entirely different (pending orders).
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