Tell me more ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.
up vote -1 down vote favorite

Is historical information on the counts of trades in single stocks, futures, options etc. available somewhere for download or purchase? If not, which ways can you think of to gather it?

share|improve this question

2 Answers

up vote 1 down vote accepted

Interactive Brokers provides it as a field called count.

In this page of the IB API Reference Guide count is described as follows

When TRADES historical data is returned, represents the number of trades that occurred during the time period the bar covers.

share|improve this answer
Ok, so IB provides this data. Nice. This is not an option if you do not trade via IB, but for me and, I believe, many others this is ok. – Konsta Sep 23 '12 at 12:41
You asked if the data was "available somewhere for download or purchase." You don't have to make any trades in order to get the data although you may have to pay something like 10 or 20 dollars a month. You may even be able to get the data with a paper trading account for free. – user508 Sep 23 '12 at 14:50
I am undecided which answer to accept. Since I believe that IB offers a lot of asset classes and exchanges and the count is supposedly then available for all history, I opt for this one. – Konsta Sep 24 '12 at 22:40
up vote 0 down vote

Its not available for free anywhere that I know of. Your only option is to purchase tick data for the instruments you're interested in and then count the ticks per trading session (or whichever timeframe you want to use).

EDIT: This link might be interesting for you regarding how to get market data.

http://www.quantshare.com/sa-426-6-ways-to-download-free-intraday-and-tick-data-for-the-us-stock-market

share|improve this answer
Yes, I stumbled upon this link yesterday and figured that simply loading tick data might give a hint - how to interpret ticks? It is not the BBO I get, but the prices of trades that happened, right? – Konsta Sep 23 '12 at 12:37
@Konsta You said you are trying to count trades, right? Each tick is one trade. So for a daily bar, just count the total number of ticks that happen in that day. Note that this is different from the total volume, which would be the sum of the trade size of each tick (like 300 shares, etc). – Paccc Sep 23 '12 at 14:08

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.