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What is volume? TTQ or TTV

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  #1  
Old 1st May 2009, 11:05 AM
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Question What is volume? TTQ or TTV

I wanted to know what is considered as volume when you are looking for a breakout or breakdown - is it total traded quantity or total traded value?

I guess quantity can change when there is a stock split or buy back. how do softwares/formulae/indicators deal with such a change?




Last edited by Xaero; 1st May 2009 at 11:15 AM.
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  #2  
Old 1st May 2009, 06:21 PM
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Default Re: What is volume? TTQ or TTV

Any reliable data source should adjust its historical data for any coroprate action so that everything is in synch. So if there is stock split results in doubling the number of stocks then historical traded volume shd also be adjusted by doubling it ..and historical prices are also divided by 2.
If that is not the case, then I will certainly discard that data as crap.

So the volume, always remain as volume which is actual trade qty that has changed hand on a particular timeframe.

Happy Trading.
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Old 1st May 2009, 07:02 PM
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Default Re: What is volume? TTQ or TTV

If the there is a stock split then the number of shares would double. In that case I would assume the TTQ to double as well, wouldn't you?

If historical data doesn't asjust prices and you would consider it crap then I would assume bhav copy archives to be up-to-date.

Would like your inputs on aforementioned assumptions of mine..
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Old 1st May 2009, 07:22 PM
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Default Re: What is volume? TTQ or TTV

Quote:
If the there is a stock split then the number of shares would double. In that case I would assume the TTQ to double as well, wouldn't you?
Yes, the volume should double and price should be halved.


Quote:
If historical data doesn't asjust prices and you would consider it crap then I would assume bhav copy archives to be up-to-date.

Would like your inputs on aforementioned assumptions of mine..
I don't know whether historical Bhavcopy data is updated or not for corporate action. I guess, at NSE site, bhavcopies are generated and stored as daily file (though, I am not sure about it). So if you download bhavcopy of past date then it will be same static old file. They are not generated based on your request.

But if you goto their site and try to download price for a single scrip for a date range, then you should get the correct info. I am quite sure that they update their main database that holds daily price for adjustments. Otherwise we would see erratic price action after the record date of corporate action.

I should accept that I have not validated it myself but logcially that should happen. This is generally the approach that is adopted by other data provider to adjust their data for corporate action.

I wild be interested on know the outcome of your investigation.

Happy Trading.
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Old 1st May 2009, 09:09 PM
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Default Re: What is volume? TTQ or TTV

Will definitely let you you know.

BTW do you happen to know where I can get the info about stock splits/bonuses to know what data to look for?
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Old 1st May 2009, 11:03 PM
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Default Re: What is volume? TTQ or TTV

While There Is Nothing To Substantiate That Trade Volumes Double After Split, While The Fact Remains That The Float Of The Share Will Increase To The Extent Of Split Announced.

Observation Is A Fact While Interpretation Is An Opinion & Debatable.


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Old 2nd May 2009, 10:32 AM
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Post Re: What is volume? TTQ or TTV

I don't think it needs any proving that any positing sizing strategy would cause the no of shares to double if the price were halved but I am posting this chart anyway.
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Old 2nd May 2009, 08:00 PM
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Default Re: What is volume? TTQ or TTV

Quote:
Originally Posted by AW10 View Post
Yes, the volume should double and price should be halved.

I don't know whether historical Bhavcopy data is updated or not for corporate action. I guess, at NSE site, bhavcopies are generated and stored as daily file (though, I am not sure about it). So if you download bhavcopy of past date then it will be same static old file. They are not generated based on your request.

But if you goto their site and try to download price for a single scrip for a date range, then you should get the correct info. I am quite sure that they update their main database that holds daily price for adjustments. Otherwise we would see erratic price action after the record date of corporate action.

I should accept that I have not validated it myself but logcially that should happen. This is generally the approach that is adopted by other data provider to adjust their data for corporate action.

I wild be interested on know the outcome of your investigation.

Happy Trading.
Well AW10, the historical prices on NSE or the bhavcopies are not updated.
I confirmed it.

I'm posting another chart of LT which announced 1:1 split on 30-sep-08. You are right about the volume it gets doubled when the price is halved. this also is very apparent from the chat attached.

But I do have some interesting info on the volume front. I use fchart to do this kind of testing and seems that fchart would automatically increase the volume in the same ratio. So if you split the stock 2 for 1 historical volume is doubled as well. This is good so that it doesn't set off triggers and stays consistent with formulae!!
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File Type: gif LTAfter.GIF (39.9 KB, 46 views)
File Type: gif LTBefore.GIF (32.2 KB, 45 views)

Last edited by Xaero; 2nd May 2009 at 08:18 PM.
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  #9  
Old 4th May 2009, 03:05 AM
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Default Re: What is volume? TTQ or TTV

Quote:
Originally Posted by Xaero View Post
Will definitely let you you know.

BTW do you happen to know where I can get the info about stock splits/bonuses to know what data to look for?
You can search NSE /BSE site for corporate announcements and get this info.
But it would be tedious to do this manually. If you have just a few companies and want to find out about splits etc, then manual approach might be ok.

Happy Trading.


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