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Calculating Intraday Trade Counts and Dollar Volume from Trade Data

Article Quant Q&A · Author: Jeremie
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Summary

The document explains how to track intraday trading volume and dollar volume from a broker feed. It says to use the cumulative volume field directly, capturing it at the desired intervals, or to maintain a running sum of reported trade sizes. For dollar volume, multiply each reported trade size by its trade price and add the values over the period being measured.

The guidance assumes the feed reports each trade and its size and price reliably, and that its cumulative volume field covers the same interval and market activity of interest. It does not explain how to derive the number of trades: summing sizes gives share or contract volume, not a trade count. Nor does it address missing updates, corrections, reporting delays, or differences between a broker feed and consolidated market data. The answer is a basic aggregation method, not a comparison of data sources or an estimate for feeds that omit individual trades.

Key ideas

  • A cumulative volume field can be captured at intervals to track intraday volume.
  • A running sum of reported trade sizes can provide another volume measure.
  • Dollar volume can be accumulated by multiplying each trade's size by its price.
  • The described calculations rely on receiving trade-level price and size updates.

Tags

EquitiesStatisticsMarket microstructureExecution
Full text
# Estimate intraday trading and $ volume


# 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, 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?

## Answer by amdopt (score 2)

https://quant.stackexchange.com/a/38882

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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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.