^DJI volume?

Discussion in 'Stocks' started by botpro, Mar 6, 2016.

  1. botpro


    is the volume of the index ^DJI real?
    Date             Open         High          Low         Close        Volume      Adj Close*
    Mar 4, 2016    16,945.00    17,062.38    16,898.84    17,006.77    106,910,000    17,006.77
    If one multiplies the ClosePrice by Volume then one gets about 1818 billions of $, ie. 1.8 trillion $ traded last friday.
    Can that be true at all?
  2. K-Pia


  3. botpro


  4. You should be careful with yahoo volume data for indexes and exchanges. Compare the NYSE Volume at
    and S&P 500 volume at
    and ask yourself how come S&P 500 volume could be equal to the S&P 500 volume...

    Stock Exchanges data feeds do not have volume for indexes. Whoever provide index volume data has to calculate it by itself or gt it from a separate of Exchange source.

    I calculated the summary volume of the DJI listed stocks - From YAHOO at

    The total summary volume of stocks listed in the DJI index on 3/7/2016 is 379,794,337
    The DJI volume reported by Yahoo is 100,290,000

    The answer on your question is NO you cannot trust Yahoo's index volume data!!!

    For index volume data I use www.MarketVolume.com - see the image below, their index volume data are very close to what I manually calculated by using volume of the DJI stocks from Yahoo (see above). The difference could be caused by aftermarket hours volume. In addition marketvolume.com provides advance decline data for indexes as well and it not just on daily charts but on intraday down to 1-minute bars in real-time

    Chart courtesy of www.marketvolume.com
    Last edited: Mar 7, 2016
    botpro likes this.
  5. You cannot multiply DJI Volume on DJI price. See below snapshot of my Excell where I calculated volume and money flow by multiplying dji stocks' price to their volume and calculating total at the end:


    On 03/07/2016 money flow on DJI was 24,910,953,413

    If you multiply DJI volume on DJI price you will get
    379,794,337 * 17,073.95 = 6,484,589,520,221

    Even using the divisor offered by botpro you will get
    6,484,589,520,221 * 0.146021281 = 946,888,065,764

    which is also too big

    At the end I will say that on my opinion it does not really matter whether you use divisor or whether you use stock or index price to calculate money flow. The important thing is that money flow is calculated consistently in the same way, so, when you compare current money flow data to the MF data in the past yo may see the same picture no matter how MF is calculated.
    botpro likes this.
  6. botpro


    Credit to Whom Credit is Due: it was the user K-Pia, not me (botpro) ;-)

    Thx for your through analysis.

    But I still wonder how such a big discrepancy can happen at all when finance.yahoo.com is specialised on market data...
    Such a big discrepancy might have a deeper meaning. I think someone should research it deeper. Unfortunately I don't have the time and knowledge on index calculations.

    I think it has todo with the suspect "dark pools". They seem to be not reporting their volumes, and only by "accident" it gets into the yahoo calcs, I guess...
    Last edited: Mar 8, 2016
  7. jharmon


    The problem is not divisors.

    The problem is the source of the data - CSI Data. For whatever reason they use the primary listed exchange volume for each stock. Why? Who trades a stock on its primary exchange these days? So they ignore all of the volume that occurs on other exchanges. For example - AAPL trades about 20% of its stock on NASDAQ - the rest on various other exchanges and ECNs.

    MV charts are close but still out by a bit. I wonder what they are excluding.

    Volume rules are quite simple - you use all of the eligible volume trades as defined by the Consolidated Tape Association. These are the guys who make the rules and have done so forever - unfortunately not many seem to remember that.
  8. botpro


    So, does this then mean that yahoo's volume is correct and that it is the consolidated volume of all exchanges, right?
  9. jharmon


    Yahoo's (CSI Data) volume data for DJIA only represents the listing exchange volume of each stock, not the consolidated volume.

    In my opinion that is wrong because it ignores the majority of volume traded elsewhere for each stock in the index.
  10. Volume is a tricky thing. There is always will be difference between volume reported from different sources. As I know MarketVolume does not take into account volume of stocks after the market closes and Yahoo does.

    There are also overnight trades posted during the market hours, corrections to the trades trades, canceled trades and etc. Some cart providers take some of them into account and some not. However, all of it a small % from the total volume traded during the market open hours.

    Track volume of market indexes is not an easy task. I guess that is Yahoo does not do it. A couple of years ago they just show empty field for volume on indexes. Frustrating is that now they started to show something which definitely wrong. I would prefer they continue to show empty index volume data instead of showing bad data. It does not make any good for Yahoo's image.
    #10     Mar 8, 2016