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I'm working on a program that find summary data given all trades during a day. However, for some reason, if I sum all the volume during market hour (9:30 -> 16:00, New York SE time), the total volume is noticeably less than the official values I can find (in this page for example: https://www.nasdaq.com/market-activity/stocks/nvda/historical).

So, does the volume value in the page above include shares traded before/after market hours?

Edit: I use data from here (https://www.nyse.com/market-data/historical/daily-taq), currently "download sample data" is not working. To calculate the volume, I loop over all lines in a TRADE file, parse the timestamp, then add the volume if the timestamp is inside 9:30 -> 16:00

Edit 2: there's a type of trade called "cross trade". Apparently the official volume calculation include data of before/after market housr but does not include this type of trade specifically

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  • $\begingroup$ Could you make an edit, and specify your summed volume and maybe where you're getting your data from? $\endgroup$
    – Pleb
    Dec 10, 2021 at 20:30
  • $\begingroup$ Unfortunately it's a private data :\ okay, I'll try to find a public one. $\endgroup$
    – Duke Le
    Dec 11, 2021 at 15:10
  • $\begingroup$ Unfortunately that's not the case. If I sum volume of the whole day, it's higher than reference volume. If I sum volume of trading hours only, then it's smaller $\endgroup$
    – Duke Le
    Dec 13, 2021 at 2:40
  • $\begingroup$ Ahh okay, I will delete my comment. With the new edit, did you find the answer or am I misreading something? If you did, could you then answer your own question with the solution to properly get the volume as indicated on the official site? :-) $\endgroup$
    – Pleb
    Dec 13, 2021 at 6:56
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    $\begingroup$ I've found and added the answer to this question. Really wish this were documented on the official site. $\endgroup$
    – Duke Le
    Dec 13, 2021 at 10:22

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Okay I have just found out how volume is calculated in NYSE EOD TAQ dataset.

The volume includes all hours (including before/after market). However, some specific TRADE messages (such as opening/closing) are duplicated from normal messages, which cause them to be counted twice.

Summary: sum all volumes, then minus the volume of opening/closing messages. This answer is specific to NYSE EOD TAQ dataset.

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