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UPDATE

With Questrade, I can get the usual data from their API, i.e. symbol, bidPrice, bidSize, askPrice, askSize, lastTradeTrHrs, lastTradePrice, lastTradeSize, lastTradeTick, volume, openPrice, highPrice, lowPrice. However, there are important features I would like to get, but I don't think they provide that information. The intraday number of trades and the intraday $ volume would be interesting to have this information to help me to trade. In the following website, the features are simply called Trades and $ Vol

Questions :

1- Is there a way to compute the intraday number of trades and the intraday $ volume from the usual data or others?

2- If the answer to question 1 is no, then is there a way to estimate the intraday number of trades and the intraday $ volume?

3- If the answer to question 2 is no, then where could I get that information?

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1- Is there a way to compute the intraday trading volume and the intraday $ volume from the usual data or others? Yes.

You have 'lastTradeSize' and 'lastTradePrice' and 'volume'. That's all you need.

You already have 'volume' so I'm not sure why you would need to compute 'intraday' volume. Just export or capture the 'volume' number to a variable at whatever interval you wish. If you did not want to do that for some reason then you need to keep a running tally of 'lastTradeSize' in a variable. They should be the same though so there should be a need to reinvent the wheel.

For $Volume, for each trade that crosses the tape, multiply the 'lastTradeSize' by the 'lastTradePrice' and keep a running total of that in a variable.

If you are confused or need further advice about how to program this, then this question belongs on a different SE.

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  • $\begingroup$ I don't want the standard volume amdopt, but rather the number of trades sinces the beginning of the day. The standard volume is not the same. The volume for me is the number of shares outstanding. Look at the following link : otcmarkets.com/market-activity/current-market. There is three important columns, i.e. '$ Volume', 'Share Volume' and 'Trades'. Be aware that 'lastTradeSize' is not equal to the intraday trading volume. $\endgroup$ – Jeremie Mar 20 '18 at 13:18
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    $\begingroup$ @Jeremie 1) Your original question mentioned nothing about 'number of trades since the beginning of the day' though that can be easily found by incrementing a variable each time a trade crosses the tape. 2) The part of my answer about $$volume still applies. 3) While I am quite familiar with all of the metrics that are important to you, I'm afraid I don't understand what you mean by this sentence at all: "The volume for me is the number of shares outstanding and $ volume is the amount of money related to the number of trades." Hopefully, someone else can be more helpful. $\endgroup$ – amdopt Mar 20 '18 at 13:31
  • $\begingroup$ Hmm, you are right, my question is unclear. I am going to modify my question so that it would be clearer $\endgroup$ – Jeremie Mar 20 '18 at 20:36

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