Volume for indices

[ddresser]

Hello,

I do not seem to be receiving consistent volume data for indices, like $SPX, $NDX and so forth. What should I expect the dVolume field to contain for index symbols?

Thanks

[ACM]

ddresser
You may want to review this article in the eSignal KnowledgeBase which provides general information on indices and explains what the volume represents
Hope this helps
Alex

[eSignal_AveryH]

DDresser,

I found this article searching the eSignal Knowledge base. This article also discussed the different eSignal create indices to help users who want to see volume.

Why is there no volume on most indices?
For the majority of indices, volume information either doesn't exist or is to intensive to calculate. There are a few exceptions, however. Examples include $DJ or $INDU, for which the CBOT is providing volume data. In the case of symbols like $TICK or $TRIN, the volume histogram in a chart represents tick volume or the number of updates per interval.


AveryH
eSignal Support

[ddresser]

Follow up question

Folks, thanks for the quick reply. I have a follow up question.

Looking at the indices listed below, I am receiving real time volumes for 5 minute data that does not correspond with the volumes that I receive downloading the daily (and sometimes hourly, eg $NDX) data for the same indices at the end of day. In a few cases (eg $INDU and $TRAN) the 5 minute real time and end of day daily volume data are consistent.

Problem list -
$CMR $COMP $CYC $DUX $NDX
$OEX $RUA $RUI $RUT $SPX

Is there a scale factor employed to reduce the daily volume data on these indices that is not used on 5 minute data? Where can I find the scale factors used for daily (and hourly) volume data?

Thanks.

[ACM]

ddresser
In general the intraday Volume for indices is tick volume ie the number of updates in a given interval. However this is not necessarily constant because - as explained in the linked article - if the price is unchanged from the previous value, eSignal does not send the quote again
As to the daily values for Volume I am not sure I understand what you are referring to since Volume is not usually available for most of those indices.
Perhaps you can post some of the Volume values you are seeing so that someone can better assist you
Hope this helps
Alex