Volume data - please help

Realgremlin

Newbie
3 0
Hi All,

Please can someone tell me where I can get realtime volume data for the main indices? I have been going around in circles, what do you all use for volume info?

Best Regards,
 

Hakuna Matata

Well-known member
357 209
Volume for indices is a bit of a misnomer, because you can't actually trade an index. For example, for the SP500, you can look at:

Volume for the futures (E-mini SP)
Volume for an ETF (SPY)

you could also look at aggregate volume for all the stocks that trade in it but that seems a bit of a chore.
 

jaella

Newbie
9 0
You are having trouble because, essentially, it does not exist.

You can estimate it through certain contracts as the above poster suggested, but that does not take into account volume traded through the many derivatives of each index. As a simple example, any volume traded through market making CFD or spreadbetting agencies will not be included.

An alternative would be to exclude volume data from your analysis..
 

Hakuna Matata

Well-known member
357 209
You are having trouble because, essentially, it does not exist.

You can estimate it through certain contracts as the above poster suggested, but that does not take into account volume traded through the many derivatives of each index. As a simple example, any volume traded through market making CFD or spreadbetting agencies will not be included.

An alternative would be to exclude volume data from your analysis..

don't agree here... any exposure that becomes too big for a single desk will be hedged out in a proxy for the underlying (futures or ETFs). And spreadbetters or CFD's are going to be an insignificant proportion of the "shadow volume" done through options and structured products.

Bottom line, though, is that any meaningful volumes done in these products is going to be hedged out in something you can get volume data for.
 

Shakone

Senior member
2,458 665
It's possible this guy just doesn't have a broker who will give him the volume data for the indices futures...
 

Realgremlin

Newbie
3 0
Thanks for your response, It has clarified a lot for me :)

So where is the best place to get volume data for individual stocks?

Im just trying to get my system set up - I am with CMC markets but can find volume data, so I assume i need to get this from a separate provider? if so which do you all suggest is the best/cheapest option?

Thanks again,

Regards.
 

Hakuna Matata

Well-known member
357 209
For individual stocks you need to get the data from an exchange the stock is traded on. Some venues won't dish this data out to retail traders, others make it readily available - but you should be able to find real time and accurate data for any stock that is listed in a major exchange somewhere.

Major exchanges in europe include the LSE, Euronext and the Deutsche Borse. In the States you have the NYSE, AMEX, NASDAQ and others. One suggestion is to go on to a data providers website (like eSignal) and search through their available exchanges.

Also note that some indices are made up of stocks that are traded on different exchanges (e.g. Eurostoxx), so you may need to subscribe to more than one exchange.

There are many data providers that will give you the data, albeit at a price. You will also have to pay exchange fees (to the exchange) to access live data. There will be a relevant part of the forum you can read for details of providers and reviews.
 
 
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