yahoo SPX volume is just weird

[Gueco]

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.

thanks, thats my answer

 

[NorgateData]

Norgate Data calcultaes volume of the S&P 500 using the constituents for each day. Even though we get various feeds that show S&P 500 volume, most of them are variable in quality and often only show volume from the primary listing exchange rather than consolidated tape volume.

Since we've researched all of the historical constituents, we have volume on S&P 500 back to Mar 4th 1957 on a daily basis.