Trading volume definition
Trading volume is the total number of shares or contracts traded for a specific financial asset (stocks, bonds, commodities, or derivatives) during a trading day. It is a measure of market activity and shows the level of interest in a particular asset.
Datasets comparison
First, let's observe the US stock datasets:
| US Equities Max Business | US Equities Max Individual | US Equities Basic |
|---|---|---|
| Commercial license | Personal license | No license |
| Real-time | Real-time | Real-time |
| Expensive | Not expensive | Cheap |
| 100% of trades (all market data) | 100% of trades (all market data) | ~5% of trades |
| For example, you may display these data on your website or use them in your business software. Read more. | For example, you may use these data for analyzing trends for your personal trading strategy, but it is not allowed to display these data on your website. Read more. | You may use this data for personal or business tasks. The difference from the two is the market coverage, which we discuss below in this article. |
The US Equities Basic dataset has a great advantage: you may use it for commercial purposes without a license agreement, and pay less.
But here is a significant disadvantage: 5% of trading volume.
What does 5% of trading volume mean?
We build aggregated candles from all US exchanges. There are overwhelming majority of trades on primary exchanges like NYSE Arca, and NASDAQ. The more trades we process while we calculate candles, the more precise candles we have. This is the reason why data on the first two datasets are more precise and have a bigger spread and much bigger volume than the third.
The first two datasets collect data from the following exchanges:
- Cboe BYX Exchange, Inc.
- Cboe BZX Exchange, Inc
- Cboe EDGA Exchange, Inc.
- Cboe EDGX Exchange, Inc.
- Cboe Stock Exchange
- Chicago Stock Exchange
- FINRA Alternative Display Facility
- International Securities Exchange
- Investors’ Exchange LLC
- Long-term Stock Exchange
- Market Independent
- Members Exchange
- MIAX Exchange
- NASDAQ BX, Inc.
- NASDAQ PSX, Inc.
- New York Stock Exchange, LLC
- NYSE American, LLC
- NYSE Arca, Inc
- NYSE National, Inc.
- Other OTC Markets
- The NASDAQ Stock Market, LLC
US Equities Basic process data from the following exchanges only:
- Chicago Stock Exchange
- Investors’ Exchange LLC
- NYSE National, Inc.
There are about 5% of trades on these exchanges. It does not mean that only 5% of tickers are traded on these exchanges. For example, Apple Inc (AAPL) is traded on every exchange.
Another nuance, there is no data from the extended market sessions on these 3 exchanges.
In many cases, it is enough to build the picture of a trading vector. But more trading volume is needed if you need more precise data.
And a little bonus that may let you make an optimal choice. After the market closes, the daily data in US Equities Basic is updated. And 1d interval data will be the same in all 3 datasets after market close.
