What exactly do you mean by order flow? Does this include bid/ask data (i.e. working orders), or just filled orders? If you mean filled orders, you could download historical trades from CME's website and compare them. Not sure about ICE futures.
Lately I've been looking at NG futures on supply report release. So far thinkorswim, Interactive Brokers, and CQG all left trades out from their real time feed. I'm hoping the Rithmic data is better at capturing every single tick during those fast markets. I'm not sure I will trade during a release, but at least I would like an accurate picture of what happened during the release. Last week my stop had 62 ticks of slippage on one NG contract and I was trying to figure out how I possibly could have got filled at a price that was not showing on my broker's (IB) own chart platform.
The method I've been using to check accuracy is to video record my charts in real time during a release, then later on (minutes or hours) I reload the data on the chart and compare it to my recording. I also pull up the time and sales and check against the chart.
Hope this helps.
The following user says Thank You to ganamide for this post:
That's interesting. Haven't thought of that before. Wouldn't D trades be invisible to all except your broker? Not sure I would want them filtered out, but I guess it makes sense if nobody else can see it. My problem with IB was charts not showing trades that actually happened on the exchange, until I reloaded the charts later. Kind of the opposite of the D trade problem.