Questions tagged [volume]

The amount of trading in an asset done over a set time period, often expressed in units (shares, contracts) but sometimes notional.

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Open interest when closing out a position [duplicate]

According to CME's definition of Open Interest, if Trader A is long 3 contracts, and decides to sell 1, then the open interest decreases by 1. What I don't understand: if Trader A sells their contract,...
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Delta across futures markets vs respective micros

I short term trade futures markets, and I use the DOM (depth of market) and various volume indicators, like cumulative delta, and footprint charts. I used to trade MES, but I switched over to ES, and ...
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Methods to estimate Options volume

I need to build a Liquidity Risk report at my intern job. There, I consider an MDTV90 (Median Daily Traded Value for 90 days, a measure of liquidity) for each asset we trade to find how many days we ...
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Is volume usually regarded as (a) stationary and/or (b)exogenous variable?

If I want to create a VAR model using a stock's returns plus it's volumes: Is volume usually regarded as being a stationary variable? Is volume an exogenous variable of the system, or an endogenous ...
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What is the standard to compute volume profile using OHLCV data?

https://www.tradingview.com/support/solutions/43000502040-volume-profile/ Ideally, the volume profile should be computed using tick data. But such data may not be readily available. Given only OHLCV ...
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How to approximate bid and ask volume?

https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/volume-delta-vol/ Bid and ask volume is defined as the volume traded at bid or ask prices. Given only OHLCV ...
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rolling 24-hr time series volume data - how to back out minute level volume?

I have data (trading volume) that is tracked on a rolling 24-hour basis approximately 1 minute or so. Here are some sample timestamps that highlight why I say approximately: I am trying to use this ...
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Does stock volume include shares traded during before/after market?

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 ...
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How to regard intraday volume in a sentiment study?

I am currently working on a sentiment study, which means I want to investigate the influence of sentiment on stock prices and trading volume. Regarding stock prices is relatively simple, I calculate ...
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Building multivariate model to predict trading volumes

I am building a multivariate statistical model to forecast the trading volume of the S&P 500 stock based on its previous values and on other covariates. Being new to finance, I am having problems ...
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Where does the term "volume" come from?

Is there any significant reason why "volume" is the name given to the total turnover of trades? What's the etymology?
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Understanding Volume Bars Threshold

I have been reading Advances in Financial Machine Learning by Marcos López de Prado and came across different Bar types, and simulating Volume Bars from execution data myself. My understanding of ...
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Query on Volume and Turnover of Equity Index and Index Future

I downloaded daily price, volume, turnover time series data of S&P500 Index (SPX) and S&P500 Futures (SP1). I observed that SPX Turnover is less than SPX Volume. Here's a single day's example ...
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To what degree is volume correlated with price impact?

There is question from 2017 here but the answer given doesn't really go into any detail. How correlated is volume with price impact? Especially with regard to wash trading; For example, wash trading ...
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Is it possible to use volume/dollar bars instead of time bars when analyzing multiple variables?

I recently read Marcos Lopez de Prado's book "Advances in Financial Machine Learning" where I was introduced to the concept of using volume/dollar bars instead of time bars. As far as I ...
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What's the Best Volume Ratio for a 6-month Timeframe?

Suppose I want to compare a few traded equities to see which has the largest increase in recent volume compared to what it has been getting over the past 6 months. I want to create a ratio based on ...
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ICE futures settlement prices change with zero volume and zero OI

I found that all of the electricity futures prices (on ICE) at a particular hub changed on December 2, even though a) most had zero open interest and zero volume, and b) the quoted prices are EOD ...
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Why should we rather work with volume time?

Many articles that I came across use volume time $v$ in their computations since the market activity level varies substantially throughout the day (intraday volume and volatility patterns), which is ...
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Why are Index/ETF put option volumes generally higher than the call option volumes?

It seems like put options on Index/ETFs generally have 50% more volume than call options, in terms of notionals. We don't see the same put/call volume ratios in single stocks. Why is that the case? I ...
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Modelling VWAP Slippage with HFT data

I heard that VWAP slippage (relative difference between the VWAP and the initial mid-price, $\varepsilon \ . \ \frac{P_{VWAP}-P_{arrival}}{P_{arrival}}$ with $\varepsilon = +1 \ or \ -1 $ the trade ...
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Historical SPX Intraday data with volume

I am looking for historical SPX 1minute data containing volume. Anyone knows where to get them from? Thank you,
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Net volume reference for uptick and downtick

I am new to finance and I have been looking at market data in terms of prices, volumes and net volumes. From what I have gathered: Volume - number of transactions (buying-selling) throughout the ...
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Does asset volume, rather than asset returns, predict performance?

Asset returns are the most common data type used in finance. They are derived from closing price data. Ordinary level 1 data for stocks not only consists of closing prices, but also gross volume ...
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Align volume bars for multivariate analysis

Looking at the book "Advances in financial machine learning" the author proposes a way to sample high frequency financial data in several fashions which are not only the standard time bars. I was ...
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How to tell if Level I volume is net bid or ask side?

Ordinary stock data not only consists of closing prices, but also gross volume traded in the security by end-of-day. It is always reported in absolute terms even though there could have been more ...
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Portfolio construction with volume based bars

In the book Efficiently Inefficient, Lasse Pedersen interviews Myron Scholes: LHP: Why do spreads tend to widen during some periods of stress? MS: Well, capital becomes more scarce, both physical ...
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Normalization of volume

suppose we have volumes every minute like below 100, 200 , 19, 0 , 200 , 12 , 100 I want to convert all these numbers to less than 10 , where 10 is max and 1 is ...
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How to handle the volume spikes near expiration for futures contracts?

Are there any common practices to handle the volume spikes that occur near expiration of a futures contract? I intend to use volume of futures contracts as a predictor. However, due to the rolling ...
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Replication of "A model of competitive stock trading volume"

I am replicating the paper "A model of competitive stock trading volume" by Jiang Wang http://web.mit.edu/wangj/www/pap/Wang94.pdf for a research project . I realize this is a very specific question ...
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Derivative of the stock price and volume at time t

According to Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data at page 9, I would be interested in deriving the the price (ask and bid ...
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How rapidly should estimated volatility and volume change for estimating market impact in small markets?

The cost of market impact is usually modeled as: $$ \Delta{P} = \delta \sigma (\frac{Q}{V})^{1/2} $$ Where: $ \Delta{P} $ is the change in price of the asset caused by the transaction size $Q$ $\...
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Filter options used in the construction of implied volatility surface

Currently trying to model the IV Surface using the APPL options, to compare how different models of the underlying move the IV Surface. However, after getting the data, I've seen that some option ...
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Bulk Volume Classification Algorithm

I'm thinking of implementing the Bulk Volume Classification algorithm on my data of hourly OHLC bars and associated volume, but my sense of it is that hourly granularity is insufficient and that ...
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Is Yahoo finance volume written in shares per day or $ value per day? [closed]

Unfortunately, the Yahoo finance website does not mention any units for the data listed. Is the volume for each stock written in shares per day or in $ value per day?
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Why not break the volume every day into buy and sell volumes?

In stock trading softwares, the volumes underneath the candlestick chart of stock prices are typically marked by one color, either green (buy volume) or red (sell volume), depending on if the closing ...
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Is the historical volume data from Yahoo-Finance adjusted for splits?

I have been looking for an answer on the Internet for this question for a while, but I could not find anything. I understand that the price data of the historical data from Yahoo-Finance is adjusted ...
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Estimate intraday trading and $ volume

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, ...
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Transform 24hr cumulative volume to sampled periods

I have a Python Dataframe with cryptocurrency data that has three columns: time, 24hr volume and price. The time is the time at which the data was received from the exchange, price is the last price ...
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Calculating total market price of security

Typically securities trade on a primary exchange and as such the 'price' of that security is quoted from the primary exchange. For example Exxon (XOM) stock is listed on the NYSE, even though there ...
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What is the proportion of aggressive orders vs passive orders executed by different types of traders?

It's clear that each aggressive order (or market order or limit crossing BBO) is matched against the same volume of resting limit order(s). I'm interested in statistics per different types of ...
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How to adjust trading volume based on stock splits?

Does anyone know how to adjust trading volume based on stock splits? Here is an example of ANA (9202.T) on 2017-09-27. A stock split happened with factor 1:10. <...
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1 answer
530 views

Relation between price changes and trading volume (market impact)

It is quite a well-know phenomenon that trading volume has an impact on a stock price: the more you buy the higher is a price because of demand increment. I'm wondering about models that can describe ...
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Normalise daily trading volume/value

How to normalise daily trading volume and trading value as features for RNN model of stock time series? The immediate answer could be: taking the global min/max, mean/std for each stock across the ...
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Discrepancy in stock volume amounts at Yahoo, Google, Stock Market Watch and the official website of a company

I have a question regarding differing stock volume amounts for a specific stock reported on various financial websites. For example, let's take a look at Lockheed Martin's volume amount at 12-12-2016. ...
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Extract Corporate Bond volume

Is it possible to extract the volume of Corporate bonds in Bloomberg with BDP, BDH or BDS function ? Example : 958254AC8 Corp; 98389BAM2 Corp; 94974BFP0 Corp. Doesn't seem like it's possible, even if ...
Sherbrooke's user avatar
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Which database to choose for storing and aggregating finance data?

I'm planing to store stock market data in realtime and aggregate ticks for draw volume based cluster graph. Something like this: Every tick (or second) data will be grouped by period (1,5,10 minutes; ...
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volume-returns cross correlation interpretation

I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
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Why is volume a totally independent variable from price?

In Martin Pring's book "Technical analysis explained", when talking about volume, he asserts that it is "a totally independent variable from price" Why is this?
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Volume or Volatility?

I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads: Liquidity Risk in Equity, Credit and Vol I'm unsure as to whether vol is ...
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Why is the volume of a product like SHV so high?

The ETF SHV has not moved much in the last five years. How is it that its volume is as high as 583609?
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