ABCTG 

HFF Trader, you should create an entry in the MC project management so others can vote and raise the likelihood of an implementation. Tradestation has the MarketDepthProvider class that provides realtime updates and no snapshots. Regards, ABCTG

Thanks for that info. I will look try to do that.
Do you have experience working with MarketDepthProvider (or QuotesProvider) class? I would like to find out if in their event logic they allow the consumer of those events to get them all sequentially, i.e., to be able to get all updates without any misses (even at the expense of slightly higher latency). For example, based on my experience with XTrader API, one of their price/trade update methods (using events) only gets the latest bid/ask if market conditions are too fast, essentially skipping updates when needed (although the goal is to deliver all updates-it is not guaranteed). However, they also provide another method that guarantees you to get all updates (so they are essentially putting them in a queue for the user to pick them up). I appreciate your insights.

HFF Trader,

I have never analyzed this, so I can't say for sure. There also isn't too much info about this, so the best bet would be to ask this question to a Tradestation engineer directly.

Regards,
ABCTG