hello,

could I get a brief description of what these two indexes are:

VI6D.Z S&P 500 ISSUES VOLUME DOWN
VI6T.Z S&P 500 ISSUES VOLUME TOTAL
VI6U.Z S&P 500 ISSUES VOLUME UNCHG
VI6A.Z S&P 500 ISSUES VOLUME UP

I'm assuming that the volume up is the number of shares traded on the up tick and the down volume is the number of shares traded on the down tick?

Thanks.

Hi Odin,

Here is the explination I got from Market Integrity

VI6D.Z, S&P 500 Issues Volume Down, is the total volume in all S&P 500 stocks that are trading below the previous day’s closing price.
VI6A.Z, S&P 500 Issues Volume Up, is the total volume in all S&P 500 stocks that are trading above the previous day’s closing price.
VI6U.Z is the total volume in all S&P 500 stocks that are trading at a price equal to the previous day’s closing price.

Say that stock XYZ closed at $50 yesterday. If XYZ is trading at $51 this morning, all of today’s volume in XYZ will count as up volume.
As the day goes on, say that XYZ’s price dips below $50 and is now $49. All of XYZ’s volume today will now count as *down* volume, including the trades that had been made earlier at $51 that were counted as up volume at that time.


I hope this helps.
THANKS

Picking up an old post here. Would appreciate an explanation also on the bellow, and the difference from the symbols in Odins post above:

S&P 500 $ VOL DOWN DI6D.Z
S&P 500 $ VOL TOTAL DI6T.Z
S&P 500 $ VOL UNCHG DI6U.Z
S&P 500 $ VOL UP DI6A.Z

Is there a legend on the symbology? I find it confusing.

Thanks, Fredrik

In his answere Stan wrote:

"As the day goes on, say that XYZ’s price dips below $50 and is now $49. All of XYZ’s volume today will now count as *down* volume, including the trades that had been made earlier at $51 that were counted as up volume at that time."


So if a stock trades above previous days price all day,and in the last minutes it trades bellow that price, the volume for all day will be down volume?!

Q 1. In intraday bars will all those bars be down bars?

Q 2: If yes above, ss there en index/symbol for more accurate description of intraday volume for S&P, NASDAQ etc?

Hello, intraday data will not be affected by a stock moving between "up", "down", and "unchanged".

So in your example, only the current bar will be affected by that stock's movement.