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Interpreting Equity Index and Futures Volume and Turnover Data

Article Quant Q&A · Author: Newbatfin
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Summary

The document explains why index volume cannot be interpreted like the volume of a single traded security. The reported turnover for an equity index aggregates each constituent’s trade prices multiplied by the shares traded, then sums those amounts. The index’s own level multiplied by its aggregate share volume is not a valid calculation because the index is not itself a traded share. The cited data definition also scales reported turnover, so units matter when comparing fields.

For the futures ticker, the explanation points to missing pit or day-session volume data during market hours as a reason turnover may be unavailable. Without volume, turnover cannot be computed from the feed. It suggests checking the relevant field definitions and trade recap, identifying the active futures contract, and summing constituent-level price and volume data to approximate index turnover. The example says that this estimate is close to the reported aggregate. These explanations depend on the vendor’s specific field definitions and data availability; they are not universal rules for every index or futures feed.

Key ideas

  • Index turnover aggregates constituent-level traded value rather than multiplying the index level by index volume.
  • Reported turnover may be scaled, so its units should be checked before comparison.
  • Missing futures volume data can leave turnover unavailable in a vendor feed.
  • A constituent-level sum of price times volume can approximate aggregate index turnover.
  • Vendor field definitions and exchange reporting practices determine how these data should be interpreted.

Tags

EquitiesFuturesMarket microstructureUS markets
Full text
# Query on Volume and Turnover of Equity Index and Index Future


# 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 data:

From what I know, Volume is the count of shares traded and Turover is the volume multiplied by price of the asset. If so, how is the turnover of SPX index lesser than SPX Volume?

Also, I see that the Future turnover column remains N/A. How is the Future turnover calculated ?

Moreover, this is not just a one-off case, I see this across days and also for other Indices and futures across many countries. I request help from the community to understand these basics.

## Answer by AKdemy (score 2)

https://quant.stackexchange.com/a/66263

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` on the terminal you see the definition.

> This value represents all trade prices for each security that belongs to the index, multiplied by the number of shares relating to each price. This value is then summed for each security and then totaled for the index. The value is scaled by a factor of 1000.

Generally, the value represents the sum of all trade prices, multiplied by the number of shares relating to each price.

PX_Volume corresponds to the total number of shares traded on a security on the current day. There is a comprehensive description on FLDS. The most important is:

> CME (Chicago Mercantile Exchange) and CBOT (Chicago Board of Trade) traded securities, volume for Pit/Day session is not available from the exchange during market business hours.

SP1 is just a generic Ticker for the CME S&P500 Index Future. Since there is no volume during market hours, you cannot compute the turnover. It looks like the exchange also doesn't offer turnover data.

If you compare `QR` between SP1 (most likely current active (check `GFUT`) and SPX members, you see that the former has no volume in the trade recap.

You can look at `SPX Index MEMB` to see what the exchange is for the SPX configuration. You cannot simply multiply the price of SPX by its volume. The volume is the aggregate volume of all members. To get the accurate number, pull all members, with associated exchange code (e.g. UW, UN), get their price, and volume. Sum it up and you have aggregate volume.

If you naively multiply each volume with its price (EOD) and sum it up, you end up with 80442411199.7999 as of Friday, which is close to the actual 80.47Bln reported by BBG. If you sum up actual turnover, you get that exact value.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

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