Questions tagged [volume]
The amount of trading in an asset done over a set time period, often expressed in units (shares, contracts) but sometimes notional.
68 questions
1 vote
0 answers
31 views
Open interest when closing out a position [duplicate]
According to CME's definition of Open Interest, if Trader A is long 3 contracts, and decides to sell 1, then the open interest decreases by 1. What I don't understand: if Trader A sells their contract,...
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0 votes
1 answer
455 views
Delta across futures markets vs respective micros
I short term trade futures markets, and I use the DOM (depth of market) and various volume indicators, like cumulative delta, and footprint charts. I used to trade MES, but I switched over to ES, and ...
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4 votes
0 answers
170 views
Methods to estimate Options volume
I need to build a Liquidity Risk report at my intern job. There, I consider an MDTV90 (Median Daily Traded Value for 90 days, a measure of liquidity) for each asset we trade to find how many days we ...
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0 votes
1 answer
834 views
What is the standard to compute volume profile using OHLCV data?
https://www.tradingview.com/support/solutions/43000502040-volume-profile/ Ideally, the volume profile should be computed using tick data. But such data may not be readily available. Given only OHLCV ...
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0 votes
1 answer
254 views
How to approximate bid and ask volume?
https://www.tradingtechnologies.com/xtrader-help/x-study/technical-indicator-definitions/volume-delta-vol/ Bid and ask volume is defined as the volume traded at bid or ask prices. Given only OHLCV ...
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0 votes
1 answer
180 views
rolling 24-hr time series volume data - how to back out minute level volume?
I have data (trading volume) that is tracked on a rolling 24-hour basis approximately 1 minute or so. Here are some sample timestamps that highlight why I say approximately: I am trying to use this ...
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1 vote
1 answer
257 views
Does stock volume include shares traded during before/after market?
I'm working on a program that find summary data given all trades during a day. However, for some reason, if I sum all the volume during market hour (9:30 -> 16:00, New York SE time), the total ...
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0 votes
1 answer
121 views
How to regard intraday volume in a sentiment study?
I am currently working on a sentiment study, which means I want to investigate the influence of sentiment on stock prices and trading volume. Regarding stock prices is relatively simple, I calculate ...
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1 vote
0 answers
100 views
Building multivariate model to predict trading volumes
I am building a multivariate statistical model to forecast the trading volume of the S&P 500 stock based on its previous values and on other covariates. Being new to finance, I am having problems ...
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0 votes
1 answer
97 views
Where does the term "volume" come from?
Is there any significant reason why "volume" is the name given to the total turnover of trades? What's the etymology?
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1 vote
1 answer
581 views
Understanding Volume Bars Threshold
I have been reading Advances in Financial Machine Learning by Marcos López de Prado and came across different Bar types, and simulating Volume Bars from execution data myself. My understanding of ...
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-1 votes
1 answer
234 views
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 ...
0 votes
1 answer
337 views
To what degree is volume correlated with price impact?
There is question from 2017 here but the answer given doesn't really go into any detail. How correlated is volume with price impact? Especially with regard to wash trading; For example, wash trading ...
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1 vote
0 answers
389 views
Is it possible to use volume/dollar bars instead of time bars when analyzing multiple variables?
I recently read Marcos Lopez de Prado's book "Advances in Financial Machine Learning" where I was introduced to the concept of using volume/dollar bars instead of time bars. As far as I ...
0 votes
0 answers
43 views
What's the Best Volume Ratio for a 6-month Timeframe?
Suppose I want to compare a few traded equities to see which has the largest increase in recent volume compared to what it has been getting over the past 6 months. I want to create a ratio based on ...
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