yahoo SPX volume is just weird

Saltynuts said:
Sure, you COULD just add them up. Maybe they do that. But the goal, I would think, is to figure out what the volume of that index would be if that index were a real thing you could by or sell. And, if so, I maintain that the representative volume of that index would be calculated as I indicated. Why would you measure volume in a way that is not consistent with how you are determining price? I dunno, maybe they are just adding them up, but that would seem weird to me.
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...But the goal, I would think, is to figure out what the volume of that index would be if that index were a real thing you could by or sell...
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Well, you seem to be caught up in the paradigm of every statistic out there MUST be measured in the context of trading.

And again, here...

...Why would you measure volume in a way that is not consistent with how you are determining price?
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What does volume have anything to do with determining price, and vice-versa? In my observations, price and volume are mutually-exclusive. One has nothing to do with the other.

If the volume of an instrument is 5 bazillion on day 1, how does that determine direction in the next 24 hours, day 2? It doesn't.
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Like Freud said...Sometimes a cigar is just a cigar.
 
S&P volume is cumulative for the 500 stocks. Some only report NYSE volume, some include all the exchanges the 500 trade on.

As for the importance, ignore the ones who are ignorant of the value of volume.
 
QUOTE="Overnight, post: 4636439, member: 494466"]Well, you seem to be caught up in the paradigm of every statistic out there MUST be measured in the context of trading.

And again, here...



What does volume have anything to do with determining price, and vice-versa? In my observations, price and volume are mutually-exclusive. One has nothing to do with the other.

If the volume of an instrument is 5 bazillion on day 1, how does that determine direction in the next 24 hours, day 2? It doesn't.
​
Like Freud said...Sometimes a cigar is just a cigar.[/QUOTE]


Well, SunTrader settled it, you win!
 
Not sure how it's done today but SPX volume reported was a quote vendor code. The first five number used to be the number of the quotes - as calculated - changed from the previous reported quote. The balance of the number had to do with the number of iterations where the vendors calculations differed. As it's not a trade able instrument the number was vendor calculations. It may have changed in the last couple of decades and I'd be surprised if it hasn't, but back up until 2000 it was the number of recalculations that indicated a change(updates). As I mention it may have changed since 2000.
 
SunTrader said:
Huh?
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Overnight was saying you might just add up the 500 stocks' total volume. I said I thought it made more sense to do a weighted average volume calculation. You said (I think) that the reported volume is indeed just adding up their cumulative volume, as Overnight was suggesting be done to keep it simple.
 
Oh SunTrader, to be clear, I wasnt talking about you agreeing with overnight on the lack of importance between price and volume, just on how S and P volume is reported
 
Years ago when I subscribed to CSI Data, I noticed this anomaly and asked them about it. It was buried deep in a footnote... the volume is that of all New York Stock Exchange listings - i.e. nothing at all to do with the S&P 500 index at all! I believe Yahoo source their data from CSI - the symbols look the same.

This is a clear example of very poorly constructed data. I'm sure it probably seemed like a good idea at the time when they did it, but the confusion that it causes is immense.
 
Wait Jharmon, are you saying what I think you are saying - what they are quoting for the S&P 500 volume for the entire New York stock exchange listings? That's even more insane. I still maintain weighted average volume of the 500 in the index is the correct way to do it. :)
 
Saltynuts said:
Wait Jharmon, are you saying what I think you are saying - what they are quoting for the S&P 500 volume for the entire New York stock exchange listings? That's even more insane.
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Yes that's exactly what I'm saying - it is insane. They are using an entire stock exchange's volume for all listings for an index containing 500 stocks across multiple exchanges. It's illogical and misleading.

One of the many reasons not to use Yahoo / CSI.

Anyway, volume on indexes is a flawed indicator for several reasons. For example, what happens when a large component stock (e.g. Apple's 1:7 split in 2014) has a stock split? Do you revise the historical data? Why would a $5 stock's volume have the same importance as a $300 stock's volume?

I don't use constituent volume any more for index volume analysis - but I do use something similar. I use the Value (aggregate $ amount traded across all constituents) - a far more statistically-relevant metric. Note that this is effectively makes value equal-weighted. The S&P 500 is market-cap/free-float weighted, so you'd need a daily weighting for each component if you wanted to produce a weighted $ Value. I made the decision not to pursue that as the aggregate volume does what I need.
 
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