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Registered User
Joined: 6/12/2005
Posts: 39
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Hi - just quick one. I was hoping you could tell me how the S&P500 volume is calculated? It doesn't appear to be the sum of the volumes of it's components.
Regards
Jesse
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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The indexes in TeleChart are published without volume with a few exceptions. Total volume is reported for the NYSE Composite (NYSE), AMEX Composite (XAX) and the NASDAQ Composite (COMPQX). The following indexes are also reported with volumes, but the volume figures come from one of the three composite indexes above. We report them this way so you’ll have a reference to the overall market volume when using these indexes.
Dow Jones Industrial Average (DJ-30) - DJ-30 volume
Standard & Poor’s 500 (SP-500) - NYSE volume
Standard & Poor’s 100 (OEX) - NYSE volume
NASDAQ 100 Index - COMPQX volume
All regular symbols in the program are truncated to the 100’s place and therefore would need to have two zeros added. For the following symbols, five zeros need to be added:
SP-500
OEX
DJX--X
NYSE
NDX--X
COMPQX
MNX—X
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 6/12/2005
Posts: 39
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Thanks Bruce. Just to test my understanding, does that mean that on the 5th October, there were 173849800 shares traded in the 30 stocks that make up the DJ-30, and 1118600 in the whole of the NYSE?
(That doesn't seem right to me)
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Worden Trainer
Joined: 10/7/2004
Posts: 65,138
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No, the variable type used to store Volume isn't large enough when adding just two zeroes to NYSE volume, so it (as well as several other very high volume symbols) need to have five zeroes added instead.
-Bruce
Personal Criteria Formulas
TC2000 Support Articles
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Registered User
Joined: 6/12/2005
Posts: 39
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Hi Bruce,
Are the volumes in the morningstar series, the sums of the volumes of their components?
Jess
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