Question about volume

jokerplz · Aug 21, 2017

Hi,

I don't understand why the volume for NDX (Nasdaq-100 index) is 1 964 590 000
here on yahoo finance on August 18 :

https://fr.finance.yahoo.com/quote/^NDX/history?p=^NDX

Because when I compute each stock volume (still August 18) on Excel (107 components) listed on NDX one by one and then add all the volumes, I obtain something considerably different : 512 788 900.

The data I take for each individual stock is also from yahoo finance, AMZN for example :

https://fr.finance.yahoo.com/quote/AMZN/history?p=AMZN

Thanks for the help

Overnight · Aug 21, 2017

Is that data feed also including options?

jokerplz · Aug 21, 2017

I don't know, or maybe this free data is erroneous ..? I don't really know about options but I would be surprised seeing stock transactions through options being 3 times greater than direct simple stock transactions..

ajacobson · Aug 21, 2017

Just to clarify here because there seems to be some disconnect. NASDAQ the exchange trades about a billion shares a day via three tapes. Tapes A,B and C. Tape C trades about half that volume.
NASDAQ listed names also trade on other exchanges and on ECNs which report to something called the TRF. NDX - NASDAQ 100 index doesn't trade a billion shares - possibly a billion dollars notional.
If you want to see a daily report of aggregate volume it's available at a number of sites - I use bats.com. The TRF reports about 2 Billion shares a day so you get a sense that most of the volume in the US is traded on the ECNS. Option volume is reported separately by OPRA and not reported in stock volume.
There are more granular volume reports available via the exchanges and subscriber services.

ajacobson · Aug 21, 2017

I posted a couple of possible reasons which turned out to be dead wrong so I deleted them. There appears to be some kind of disconnect and I can only GUESS at an answer - best guess is that Yahoo's methodology dropped a feed today, but I still have no sense as to how Yahoo arrives at that 1.9 billion number. Thought it might the aggregate volume in those hundred names and that would explain a feed(s) drop.

murray t turtle · Aug 22, 2017

jokerplz said:
Hi,

I don't understand why the volume for NDX (Nasdaq-100 index) is 1 964 590 000
here on yahoo finance on August 18 :

https://fr.finance.yahoo.com/quote/^NDX/history?p=^NDX

Because when I compute each stock volume (still August 18) on Excel (107 components) listed on NDX one by one and then add all the volumes, I obtain something considerably different : 512 788 900.

The data I take for each individual stock is also from yahoo finance, AMZN for example :

https://fr.finance.yahoo.com/quote/AMZN/history?p=AMZN

Thanks for the help

%%
IBD [Investors Business Daily aka investors.com] has good volume numbers,end of day. But some only count but 8:30-3:00 CST volume................................................................................ So ,many ways to figure volume, JOk; i usually record volume, so i can spot fake news in price/volume quotes. Wisdom is profitable to direct.

jokerplz · Aug 23, 2017

ajacobson said:
Just to clarify here because there seems to be some disconnect. NASDAQ the exchange trades about a billion shares a day via three tapes. Tapes A,B and C. Tape C trades about half that volume.
NASDAQ listed names also trade on other exchanges and on ECNs which report to something called the TRF. NDX - NASDAQ 100 index doesn't trade a billion shares - possibly a billion dollars notional.
If you want to see a daily report of aggregate volume it's available at a number of sites - I use bats.com. The TRF reports about 2 Billion shares a day so you get a sense that most of the volume in the US is traded on the ECNS. Option volume is reported separately by OPRA and not reported in stock volume.
There are more granular volume reports available via the exchanges and subscriber services.

Thank you, especially for helping me having a better understanding of the markets.

Please correct me when I'am wrong. I've been there :

https://www.bats.com/us/equities/market_share/

Here are listed 3 of the biggest exchanges + others :

-NYSE with their 3 platforms
-NASDAQ with their 3 platforms
-BATS with their 4 platforms
-IEX, CHX markets
-And others (TFR line)

Tapes A,B and C are displayed, with information on what's happening on NASDAQ exchange being recorded mainly on Tape C. Am I right ?
For other markets, Tape A is the biggest "recording entity ?".

TFR (Trade Reporting Facility) concerns a lot of other exchanges and ECNs, all put together in the same "report basket"...

For the whole NASDAQ exchange market, the average is usually half a billion stock transactions a day.

The biggest transaction volume part is the one reported from the other exchanges and ECNs through TFR.

For Yahoo Finance I would conclude that we can't guess how they reach that number because we don't know what markets they are taking into consideration (for example, are they using the large group of ECNs and so on.... in their calculations ?).

jokerplz · Aug 23, 2017

murray t turtle said:
%%
IBD [Investors Business Daily aka investors.com] has good volume numbers,end of day. But some only count but 8:30-3:00 CST volume................................................................................ So ,many ways to figure volume, JOk; i usually record volume, so i can spot fake news in price/volume quotes. Wisdom is profitable to direct.

Ok it's noted : many ways to determine the volume, also depending on the time interval they use for this data.

Can I ask you how do you do to record yourself the volume ? Thanks a lot.

jokerplz · Aug 23, 2017

For information, on a French forum, someone explained to me that in NDX case, the volume is calculated by taking into account the weight of each security in the index (because of the "market cap weighted nature" of the index).
This is not the case for Dow Jones (DJI). I have checked for the 30 volume values and indeed it works with DJI.

...

murray t turtle · Aug 25, 2017

jokerplz said:
Ok it's noted : many ways to determine the volume, also depending on the time interval they use for this data.

Can I ask you how do you do to record yourself the volume ? Thanks a lot.

%%
Sure, blue ink or black ink on paper. For SPY, 8-24-2017, = 50.7 million[50,741,600,investors.com.] I don't think that includes premarket, fine with me.