As far as I know we have access to the price ticks sent by the broker while trading.
My question is: Is there any additional information the broker can send you, f.i. the current market volume?

Gruß,
blaubär

Not for Forex. Some assets such as stocks have a market volume that can be sent by the broker through the BrokerCommand() function of a plugin.

FXCM now provides real volume:

http://www.fxcmapps.com/trading-station/real-volumetransactions-indicators/

But of course this only covers FXCM's volume, not the volume of the entire Forex market, and is mostly comprised of retail traders.

And it's not available through the API.