Stocks & Commodities V. 30:5 (53): Q&A by Don Bright
Product Description
Q&A by Don Bright
DETERMINING LARGER NUMBERS
Maybe you can help me understand something about share volumes. I hear the volume levels are around three to four billion shares on a daily basis. How is this calculated? Do they count a buy and a sell as two separate transactions? The New York Stock Exchange only trades about a half billion, according to my platform. How do they determine these larger numbers? I can understand adding NASDAQ, but is there a way to show the total shares each day? — techtrdr39
Good question, and I had to check a couple of sources to get a reasonable response. First off, a buy and a sell make a single transaction. Historically, the NASDAQ used each side as a trade, but it hasn’t for a long time. You can start by going to www.nyxdata.com/Data-Products/National-Market-VolumeSummary. It will show volume by listed stock and the various market centers.
You can then go to http://nasdaqtrader.com/ to see what they call “tape A,” “tape B,” and “tape C” volumes by the various NASDAQ-run exchanges (Boston, PSX, and PHLX). You’ll find a large gap between the total market volume and the cumulative total of each of these market centers. The best I could do was merge these sites and make the assumption that the balance was traded on electronic communication networks (ECNs) as market centers, such as BATS, EDGE, and so on. The “dark pools” would have to make up the difference, although they, too, are reported to a market center for clearance.
DETERMINING LARGER NUMBERS
Maybe you can help me understand something about share volumes. I hear the volume levels are around three to four billion shares on a daily basis. How is this calculated? Do they count a buy and a sell as two separate transactions? The New York Stock Exchange only trades about a half billion, according to my platform. How do they determine these larger numbers? I can understand adding NASDAQ, but is there a way to show the total shares each day? — techtrdr39
Good question, and I had to check a couple of sources to get a reasonable response. First off, a buy and a sell make a single transaction. Historically, the NASDAQ used each side as a trade, but it hasn’t for a long time. You can start by going to www.nyxdata.com/Data-Products/National-Market-VolumeSummary. It will show volume by listed stock and the various market centers.
You can then go to http://nasdaqtrader.com/ to see what they call “tape A,” “tape B,” and “tape C” volumes by the various NASDAQ-run exchanges (Boston, PSX, and PHLX). You’ll find a large gap between the total market volume and the cumulative total of each of these market centers. The best I could do was merge these sites and make the assumption that the balance was traded on electronic communication networks (ECNs) as market centers, such as BATS, EDGE, and so on. The “dark pools” would have to make up the difference, although they, too, are reported to a market center for clearance.
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