Question on volume

Hi, I just got some Bank nifty one minute OHLCV data. My question is on the Volume, what are the units of the volume, is that in Rupees or the number of contracts. For instance I am attaching a sample set

<Ticker>,<Date>,<Time>,<Open>,<High>,<Low>,<Close>,<Volume>
BANKNIFTY-I,20130301,09:15,11601.10,11609.00,11563.10,11565.20,22400,0
BANKNIFTY-I,20130301,09:16,11564.75,11564.75,11544.65,11549.00,30075,0
BANKNIFTY-I,20130301,09:17,11549.00,11571.00,11549.00,11569.00,12175,0
BANKNIFTY-I,20130301,09:18,11567.00,11576.00,11566.90,11575.95,7350,0
BANKNIFTY-I,20130301,09:19,11575.95,11590.00,11575.00,11590.00,14925,0


Here, the number 22400, how do I interpret it?

It's "No. of contracts".

Thanks again nac. That seems that there is a good amount of volume in the contract.

no it is no of contracts *25 . basically its no of units.

Ok, do you mean the contract multiplier, is that 25 or 50. What is the contract multiplier for the individual stock futures? is there any information on that.

It's 25. BANKNIFTY lot size is 25 i.e, 25 unit is one contract.

Lot size differs from contract to contract. You can check them here

Master, Aman was correct. It's no of units traded, not no. of contract (yeah, I was wrong . Check it again...

Ok. Thanks, sorry I am being stupid again but just to get this clear, if I see a Daily volume of say 100 in the bank nifty, that means that 4 contracts traded so that 25X4 = 100

Follow up questions

1) The multiplier of 25 defines the notional exposure, for instance if say bank nifty is being quoted at Rs 11k, my notional exposure is like 25 times that or around 2.7 lac? Is that reasoning correct?

2) How is the contract settled, if I chose to hold it into expiry, will I get the cash equivalents for the individual stocks in the index, like for instance say weight of HDFC is 25%, of that 2.7 lac, do I get 25% of 2.7 lac worth HDFC shares?

3) How does the pricing work, NSE website says that they recalculate every 6 secs, does it mean that they are reweighing and calculating real time index weights according to time varying market caps?

4) Also how do dividends get modeled, are they constants i.e non stochastic?

Ok. Thanks, sorry I am being stupid again but just to get this clear, if I see a Daily volume of say 100 in the bank nifty, that means that 4 contracts traded so that 25X4 = 100

Follow up questions

1) The multiplier of 25 defines the notional exposure, for instance if say bank nifty is being quoted at Rs 11k, my notional exposure is like 25 times that or around 2.7 lac? Is that reasoning correct?

2) How is the contract settled, if I chose to hold it into expiry, will I get the cash equivalents for the individual stocks in the index, like for instance say weight of HDFC is 25%, of that 2.7 lac, do I get 25% of 2.7 lac worth HDFC shares?

3) How does the pricing work, NSE website says that they recalculate every 6 secs, does it mean that they are reweighing and calculating real time index weights according to time varying market caps?

4) Also how do dividends get incorporated? Are the dividends known deterministically ?

It depends on where you get your data. The sample you posted is no. of units traded in a minute. The EOD data you get from nseindia (historical data) is no. of contracts traded.

1. Correct
2. Cash settlement. (If you have bought @11k and sold @ 11.1k, you will 2.5k (.1k x 25).
3. That weighing applies to real time spot index, not for the future contract you trade.
4. I don't think it has anything to do with spot, but with ETF. (Some one who knows better may clear you about this)