I have access to historical data, but not what I'm looking for. I use NT and can see my trades - entry time, exit time, volume, and entry mode (long/short)

Is there anyway to obtain this level of data for some period of time for a given market such as the 6E or Emini?

I see that the CME offers MarketDepth data and provides very detailed XML structure. It may be within all the market data available.

Anyone have any ideas how I can obtain the data I'm looking for?

What do you mean? Your trades?

If you mean market data in general, that is what the market data shows, those are trades , if you mean you want to see historical data that went through bid and ask? I'm sure it's available but probably expensive ... I don't know...