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The current trading object downloads volume activity data for US equities and derivatives and for issues listed on NYSE. The historical volume data is reported by NYSE Euronext and is available in an Excel format. The trading item downloads the file, converts it and then stores the parsed data in a database called "nyse_volume". After its creation and the end of the parsing process, this database will contain the following fields:
Trading days: The number of trading day for the last month
Handled volume: The handled volume includes the volume from orders that are routed to another venue or liquidity pool for a better execution
Matched volume: This is the volume from orders that are executed internally in the NYSE exchange
TRF volume: This is the volume submitted by brokers
Consolidated Volume: This is the total NYSE volume for stocks and derivatives
Handled Volume as a % of Consolidated Volume: The percentage of consolidated volume that is handled by the New York Stock Exchange
Matched Volume as a % of Consolidated Volume: The percentage of consolidated volume that is matched by the NYSE exchange
TRF Volume as a % of Consolidated Volume: The percentage of consolidated volume that is submitted by brokers.
The data spans from January 2004 to present and it is associated with the following ticker symbol: ^NYSE_Volume
Note that the date fields are increased by one month (using a pre-script), which means that the data that is associated with August 1, 2010 for example is the volume data that occurred during the month of July. And the Trading days number corresponds to the number of trading days in July.
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