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Quant版 - Question about high freq volume and condition code
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1 (共1页)
J*****n
发帖数: 4859
1
I tired to understand the difference between intraday volume sum and daily
volume.
If we select any securities, say EEM US Equity from BB.
And we download the daily volume and intraday (Trade/close) volume from BB.
We will find on each day, the sum of the intraday volume is different from
daily volume and size can be significant.
I called BB's help desk. They told me they receive the data directly from
exchange. And it is due to something called condition code. But they can't
explain more.
Any body can explain what makes the difference?
Thank you.
s*******s
发帖数: 1568
2
Maybe the daily volume includes the institutional trades wherease the
intraday volume don't

【在 J*****n 的大作中提到】
: I tired to understand the difference between intraday volume sum and daily
: volume.
: If we select any securities, say EEM US Equity from BB.
: And we download the daily volume and intraday (Trade/close) volume from BB.
: We will find on each day, the sum of the intraday volume is different from
: daily volume and size can be significant.
: I called BB's help desk. They told me they receive the data directly from
: exchange. And it is due to something called condition code. But they can't
: explain more.
: Any body can explain what makes the difference?

s*******i
发帖数: 546
3
intraday 可能不包括dark pool.
dark pool 交易size 非常大(> 100000 mostly)
看来你自己没写过交易系统吗.
还有很久不见到你了,你人在哪儿?

【在 J*****n 的大作中提到】
: I tired to understand the difference between intraday volume sum and daily
: volume.
: If we select any securities, say EEM US Equity from BB.
: And we download the daily volume and intraday (Trade/close) volume from BB.
: We will find on each day, the sum of the intraday volume is different from
: daily volume and size can be significant.
: I called BB's help desk. They told me they receive the data directly from
: exchange. And it is due to something called condition code. But they can't
: explain more.
: Any body can explain what makes the difference?

1 (共1页)
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话题: volume话题: intraday话题: bb话题: daily话题: question