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Interpreting Trading Volume Across Securities and Markets

Article Quant Q&A · Author: Kagaratsch
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Summary

The document explains what reported volume generally measures and why its meaning depends on the instrument and market. For exchange-listed stocks, volume usually counts shares traded; the monetary value is commonly called turnover or dollar volume. For options and futures, volume generally counts contracts, whose economic exposure depends on contract terms and may not translate directly into cash turnover.

Reported figures can also reflect exchange-specific rules: some trade conditions may count toward price reporting or volume differently, and some markets have historically reported round lots or excluded odd-lot activity. The answer cautions that the cited explanation is generic rather than a verified description of a specific data vendor’s fields. Spot foreign exchange has no single central exchange reporting consolidated traded volume; provider-supplied tick volume instead counts price changes and is only a proxy for repricing activity, not executed trades.

Key ideas

  • Equity volume usually counts shares, while dollar volume measures the money traded.
  • Derivatives volume counts contracts, and contract specifications affect their interpretation.
  • Exchange reporting rules can determine which trades contribute to reported volume.
  • Some feeds may report round lots or omit odd-lot trades.
  • Spot forex lacks centralized trade volume, and tick volume measures price updates instead.

Tags

EquitiesFuturesOptionsForexMarket microstructure
Full text
# Is Yahoo finance volume written in shares per day or $ value per day?


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












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?

## Answer by Richard at NorgateData (score 10, accepted)

https://quant.stackexchange.com/a/40419

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 to the rules of each exchange. Only certain types of trades/trade conditions affect the price of the security. Similarly, only certain types of trades/trade conditions affect the volume of the security. On US stock exchanges, the exact rules are governed by the Consolidated Tape Association, for consolidated trade reporting.

For other types of markets, such as options and futures, the volume represents the number of contracts traded. Such contracts have further details associated with them, such as shares-per-contract, and are often traded on margin, so a turnover or dollar volume isn't applicable to them.

Some markets operate on a round-lot basis (eg. 100 shares per round lot) and sometimes volume can be reported on the basis of round lots rather than actual shares. This type of reporting happened more frequently in the past when there were data storage/transmission limitations. Sometimes reported volume excludes odd-lot trades (that is, trades that are a fraction of the round lot). This is dependent upon the exchange/consolidated tape rules.

Lastly, some markets have no actual reportable volume, such as spot forex, because there is no central exchange for them. Some providers give a figure called "tick volume" which represents the number of price changes (or "ticks") that occur in that time period, but tick volume is an indication of re-pricing than actual trading.

(I have answered this question generically, since it's not specific to Yahoo)

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.