In my set-up I use X_Trader and a charting software with a feed from another company. That way I can establish whether there is a delay in quotes in one of the feeds at the time of execution. So far the feed from IQ has been excellent matched against TT's data. If the time comes when there are frequent mismatched quotes, I'll consider adding 3rd feed, not to establish what's causing this, but to more accurately see the current prices.
What would a normal lot size be. i.e. if I was in and out of the market daily, would 1,10,100,1000 be normal/average?
You are new to futures trading my friend, that's cool. PM me your questions and I'll reply some time this weekend.
Just look at the market depth before opening a position. If you want to long, then let the shorts accumulate first and then enter with market order(if possible) or limit order(in general). OR just trade the average quantity that is available in the market depth.