When testing on futures tick data, I end up with $0 strategy capacity in my back tests. 

Since I discovered that strategy capacity uses volume in it's calculation, I updated my logic to use self.MarketOrder(symbol, self.liquid_contract.Volume - 1) to guarantee that the number of contracts requested in the order is less than the current volume available, but still end up with $0 strategy capacity in my back tests. 

note - self.liquid_contract updates before placing each order using logic from the bootcamp code

To achieve the required volume for the order, my code simply keeps placing orders on the next tick until the required total order volume is achieved - using an entry based off an external time signal from .csv

Other than not fixing the $0 capacity, the other problem with this is that it creates an enourmous number of trades, which seems to limit the length of the period I can backtest over.

Is there a way that I can access depth of market data to be able to place my whole order on a single tick? I.e. 10 contracts at the current price, 20 at the lext level below.. and so on.

Thanks for any or your consideration towards my problem.