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Volume in Quantopian seems much lower than Yahoo and Bloomberg
Ted Murphy
posted Oct 7, 2016

Hello all,

The volume numbers shown in Yahoo for UVE are:

Sep 30, 2016 25.20 193,400
Oct 03, 2016 24.00 449,300
Oct 04, 2016 22.81 686,900
Oct 05, 2016 22.23 590,800
Oct 06, 2016 19.51 3,983,200
https://finance.yahoo.com/quote/UVE/history?p=UVE

But Quantopian is much lower:

2016-10-06 15:50 PRINT price volume
2016-09-30 00:00:00+00:00 25.180 133331.0
2016-10-03 00:00:00+00:00 24.010 356244.0
2016-10-04 00:00:00+00:00 22.820 603788.0
2016-10-05 00:00:00+00:00 22.220 495752.0
2016-10-06 00:00:00+00:00 19.535 3507271.0

The same discrepancy can be shown for AAPL, and I would assume others. What is the difference? Thanks!

ted

3 responses
Dan Dunn
Oct 7, 2016

Quantopian's volume is calculated by summing all of the reported trades during regular trading hours. I imagine yahoo is including after-hours trading.

There will be other discrepancies in price, too. Yahoo, for instance, uses the "exchange of record" to determine the open/close prices. We calculate it ourselves based on the actual trade data, including trades that aren't on the exchange of record. Those differences tend to be minimal, though.

A bit in the FAQ too.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Simon Thornington
Oct 7, 2016

Quantopian probably doesn't include the opening/closing auction volume either.

Ted Murphy
Oct 10, 2016

Great explanation, thank you very much. Is there perhaps a field for yesterday's volume available from Morningstar or one of your other sources?

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.