Snapshot data is not tick data, and knowing which you have changes your conclusions

Some markets distribute intraday data as periodic snapshots rather than every individual trade, a picture every few seconds, aggregating whatever happened in between. Where that is the norm, people get very precise about what can and cannot be inferred from it, because the limits bite immediately. That precision is worth importing even where we do get true tick data, because plenty of retail feeds are effectively snapshots too — sampled, conflated, or aggregated somewhere upstream. What a snapshot preserves: price levels, cumulative volume, the state of the book at that instant. What it destroys: sequence and count. Ten trades or one trade look the same if they net to the same volume. You cannot count trades, you cannot measure trade size distribution, and you cannot tell whether the move happened in one print or a hundred. So before building anything on trade counts or size distributions, find out what you actually receive. If it's snapshots, those features don't exist in your data no matter what your code computes from it.