Intraday Volume Discrepancies

Intraday Volume Discrepancies

Don Terry
2011-08-22 08:12:05

I'm using the "Intraday Data for US Stocks" and there is a significant discrepancy with the volume. For example, Citigroup has EOD volume of 56M, while the total volume for 8/19 from the intraday database is only 25M. There doesn't appear to be after market data for this particular symbol but that wouldn't explain such a large discrepancy. Is there an issue with the data feed or is there another source for more accurate intraday volume data for US stocks?

QuantShare
2011-08-22 09:12:43

Best Answer

I think the volume is collected from BATS exchange only (realtime data is available free).
You can try the following item:
Intraday Quotes for Major Stock Exchanges.

Intraday Quotes for Major Stock Exchanges (by QuantShare, uploaded several months ago)

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