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9 votes
Accepted

Is Yahoo finance volume written in shares per day or $ value per day?

For a stock market-listed security, volume typically represents the number of shares traded. The amount of money involved is called turnover or dollar volume. A further complication to this relates ...
Richard at NorgateData's user avatar
7 votes
Accepted

ICE futures settlement prices change with zero volume and zero OI

These contracts follow standard ICE procedures for calculating settlement prices, which can be found in section 2.4.6 of this document. A high-level overview of the procedure is -- An 'anchor' expiry ...
Chris Taylor's user avatar
  • 5,931
5 votes

Why should we rather work with volume time?

There is a good and a bad point in using volume-time in place of calendar-time: on the one hand, you obtain a more "regular" time series but on the other hand, you cannot synchronize two ...
lehalle's user avatar
  • 12.3k
5 votes
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How to adjust trading volume based on stock splits?

Simple: Divide the share price by the split factor. Multiply the volume by the split factor. Let's use Apple's 7/1 split from Monday June 9, 2014 as an example. The split factor was 7/1 or 7. The ...
gizmo's user avatar
  • 66
4 votes

Historical SPX Intraday data with volume

If you have an Interactive Brokers account, you can get historical intraday index data, including SPX, through their API. Many developers find using the Interactive Brokers API to be a challenge, ...
Brian from QuantRocket's user avatar
4 votes

Normalise daily trading volume/value

You must not use "tomorrow"'s data to normalize "today"'s one. So it is not a good idea to use global min/max, mean/std ... across the whole time series window. The same true is for "cycles" - you ...
zer0hedge's user avatar
  • 1,704
4 votes

Why not break the volume every day into buy and sell volumes?

Trivially, buy == sell volume, as discussed in other answers. Yet this is a fair question, as there is benefit to look at lift volume vs hit volume. The former balances over longer horizons, and ...
rrg's user avatar
  • 969
4 votes

Bulk Volume Classification Algorithm

It highly depends on the goal of your classifier, or your Bulk Volume Classification Algorithm in this case. MikeRand might be right, if you would be in any search of one hour or few hours candles ...
Emma's user avatar
  • 460
3 votes

To what degree is volume correlated with price impact?

Market impact corresponds to price moves due to the intensity of trading in one direction. As you mention: when a market participant trades in size in one direction, the price usually follows. They ...
lehalle's user avatar
  • 12.3k
3 votes

Bulk Volume Classification Algorithm

I'd argue your intuition is backwards. Think about what Bulk Volume Classification is doing: it's estimating a proportion of Buy trades for a given bar. All else being equal, for bigger bars (i.e. ...
MikeRand's user avatar
  • 627
3 votes

How to regard intraday volume in a sentiment study?

Intraday volumes are known to have a seasonality: at the start of the day you encounter more volume similarly at the end of the day. In Europe there is a burst in volume 1h before the issue of US ...
lehalle's user avatar
  • 12.3k
2 votes

Which database to choose for storing and aggregating finance data?

There are many different databases out there, all specialized for different use cases. The main parts you should consider are: Using a time series database, since they can handle timestamped data (e....
Martin Seeler's user avatar
2 votes

Why not break the volume every day into buy and sell volumes?

By definition buy=sell volumes. You need a counter-party to make "volume" happen, therefore the cumulative buy=cumulative sell volume. Volume is predicated on your time frame, if you make 1 minute ...
Avaricious_vulture's user avatar
2 votes
Accepted

Is the historical volume data from Yahoo-Finance adjusted for splits?

I believe the volumes are normally adjusted. Here is the yahoo data around Dec 23 2015 when Nike did a 2:1 split: Dec 30, 2015 64.36 64.40 63.17 63.25 61.49 5,817,900 Dec 29, 2015 ...
userid is i's user avatar
2 votes

Estimate intraday trading and $ volume

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....
amdopt's user avatar
  • 4,348
2 votes
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Net volume reference for uptick and downtick

The classical Net Volume indicator operates on OHLCV bars, not on raw trades. Uptick is registered when the bar's close is higher than open Downtick is registered when the bar's close is lower than ...
Sergei Rodionov's user avatar
2 votes
Accepted

Does asset volume, rather than asset returns, predict performance?

The only time I've used net volume was for performance measurements of my own trading activity. Specifically, I was looking for the net volume traded 10 ms before my own execution vs 10 ms after my ...
chrisaycock's user avatar
  • 9,837
2 votes
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Relation between price changes and trading volume (market impact)

See Kandel and Pearson (1995) and Kim and Verrecchia (1991, 1994, 1997).
michaelcarniol's user avatar
2 votes

Modelling VWAP Slippage with HFT data

Usually the the difference between your average price between $t_0$ and $T$ and the price at $t_0$ is called the Implementation Shortfall (IS). They are a lot of references to do this, just cite these ...
lehalle's user avatar
  • 12.3k
2 votes

Query on Volume and Turnover of Equity Index and Index Future

Agree with @noob2, always best to ask the help desk - especially if the question is purely about definitions within their API. If you load SPX Index FLDS Turnover ...
AKdemy's user avatar
  • 9,024
1 vote

Why are Index/ETF put option volumes generally higher than the call option volumes?

It can mostly be attributed to portfolio insurance. Many investors (even mutual funds) are allowed to buy puts to hedge their downside risk in cash positions. I think the fact that mutual funds would ...
Dhruv Mahajan's user avatar
1 vote

Why are Index/ETF put option volumes generally higher than the call option volumes?

Investors buy (and hold) more puts and pay up more for them for a few reasons. First, people fear downside more than they like upside as shown by Kahneman and Tversky (1979, 1992). Second, people may ...
kurtosis's user avatar
  • 2,910
1 vote

Historical SPX Intraday data with volume

Last time I checked, algoseek has that kind of data. Their S&P 500 Trades and Quotes+minute bar data set contains OHLC, FINRA volume and etc. You can find a sample of their dataset here
Mike Williams's user avatar
1 vote

Why not break the volume every day into buy and sell volumes?

"Buy=sell" on actual transactions, but market sentiment is related to sell order volume (possibly unfilled) and buy order volume (possibly unfilled) at a particular time. This is not easily available.
userid is i's user avatar
1 vote

Align volume bars for multivariate analysis

It's not about timestamps. You just need to assign the same meaning to each bar. Choose a fixed percentage of daily volume each bar should represent. Then for each individual day, compute the bar ...
chrisaycock's user avatar
  • 9,837
1 vote
Accepted

Normalization of volume

Since it is your model you can do anything. What I would do is use some dynamic outlier exclusion. For example in this case you know the min is zero. One method (of many) might be to evaluate the ...
Attack68's user avatar
  • 10.8k
1 vote

How to handle the volume spikes near expiration for futures contracts?

As other answers say you normally don't. You avoid trading it normally a couple of days before expire and you tend to find liquidity dries up on the day of expiring. Volume-based roll is a common way ...
Hao Zhang's user avatar
  • 141
1 vote

How to handle the volume spikes near expiration for futures contracts?

I worked for a major systematic trading hedge fund. We traded futures extensively. We would set specific windows of time relative to either first notice date or last trade date where we would avoid ...
ThatDataGuy's user avatar
1 vote

How rapidly should estimated volatility and volume change for estimating market impact in small markets?

This is a difficult problem, especially since estimating the volatility faces a number of issues: the classic "pollution" of realized variance by bid-ask bounce when using intraday data (cf ...
kurtosis's user avatar
  • 2,910

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