At first glance, the number of shares executed in a given time period would seem to be a straightforward calculation. The simplest definition of volume is the number of shares traded from one point in time to another point in time. However, several variables affect the calculation.

Market conditions may cause a calculation of volume to differ among data providers. For example, the two plans that manage the US Consolidated equities market have different number of, and definition for, trade reporting codes. In addition, data distributors often include variables such as odd lots, corrections, cash trades, or pre-/post-market trades in the volume calculation.

Numbers can become more visible in light volume or over time. For example, what was volume as of 09:37?

Depending on the distributor, the volume at 09:37 could be:

• 1000 shares if the distributor corrects the volume for corrections
• 2000 shares if the distributor only counts positive numbers
• 3000 shares if the distributor reflects the total of all prints expressed as a positive number

This may be a simplified example, but understanding how a distributor calculates volume will help the volume calculation serve as an indicator of market direction.