If you want to know when a trade has occurred in the market then you should use this event rather than the MarketDepthUpdate event.

Note: You will receive this event no on all DepthBuffer subscription levels. Only if you use FastTrade will you get every individual trade that the exchange provides us. If you are using FastSmart, Smart or SlowSmart then this event will contain the aggregated trade information that has occurred since the last time this event was raised. This means that if trades occurred at multiple prices during that time that you will only be provided the last price traded but the volume will be for all of the trades that occurred.

This event is not raised for Block Trades and other off-exchange trade types so picking up this event with FastTrade buffer still may mean that you don't get the entire volume for the day. i.e. Adding all the piLastTradeVolume values raised by this event together may not equal piTotalTradedVolume.