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Accepted leap of faith on the advertised promise from quality datafeeds and applications, plus accepted experience across suppliers, I don't have better than that.
Some feeds (e.g. IB and others) do snapshot tick level data, others promise not to (e.g. IQFeed and others). Minute level and above is assumed to be accurate.
In a different case all $TICK feeds will be different, just due to sampling and timing issues. Doesn't mean any of them are wrong though. Ditto other exchange metrics at any instant of time.
In practice retail applications and users can keep up with transacted volume changes, whereas the size and rate of change of the whole order book needs snapshots to make even basic pictures useful/usable.
Happy digging, you've reached the bottom of my limited pool
Reminder... I expected that:
Bid size shown in next "quote update" message after a trade at the bid = bid size before the trade minus size of the trade
It is the case for CME.
It is not the case for EUREX.
Below …
Interestingly (for me), back then they didn't think CME demonstrated this behaviour, only EUREX.
