dwrowe,
you should send the snapshot (the latest alerts) any time the subscribe method of the DataProvider/SmartDataProvider is called.

After then until there is at least one user subscribed to such item Lightstreamer will handle the snapshot for users asking that item on the basis of the updates received (and the declared length of course).

take also a look to this thread: http://www.lightstreamer.com/vb/showthread.php?t=86