I am not sure if many knows, but with OnMarketData and OnMarketDepth events you can assess Time&Sales and Depth of Market programatically, and now the sky becomes the limit
I tried this with NT and IB and it was an exercise in frustration, the feed would randomly error and stop and/or the strategy would error on start up. As it turned out the start up error was a race condition where by OnMarketDepth was being called before setup was complete, they took some convincing on this matter, I got a custom build off them which fixed the first problem, but they simply were not able to fix the second one.
To be fair however, their support is fairly responsive and friendly considering the amount of idiots they seem to deal with, but the product is still immature IMHO.
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