There has been a big change to intraday data for S&P Dow Jones Indices and chartists using volume indicators should take this into consideration. Basically, S&P Dow Jones started using data from the "Consolidated Tape of all recognized U.S. exchanges". This change resulted in a dramatic increase in reported volume from one day to the next. The chart below shows the Dow Industrials with 30-minute bars and volume. Notice how the volume bars exceeded the 20 million mark only once from November 15th until December 2nd. That suddenly changed on December 5th as the individual volume bars exceeded 20 million on a regular basis.
Note that change this affects INTRADAY volume data for the S&P 500, S&P MidCap 400, S&P Small-Cap 600, Dow Industrials, Dow Utilities, Dow Transports and Dow Composite. This change does NOT affect daily volume data because we calculate that in house. Our stock data was already based on the "Consolidated Tape" and this means we were ahead of the curve on this one. The chart below shows daily data for the Dow Industrials and the volume bars.
Note that this volume change also affects DAILY and INTRADAY volume data for the Dow Jones US industry group indices. These symbols begin with "$DJUS" and include the DJ US Bank Index ($DJUSBK), the DJ US Internet Index ($DJUSNS) and the DJ US REIT Index ($DJUSRE). Click here for a complete list.
Here is a quote from the S&P Dow Jones Indices Press Release:
"Effective 5-Dec-2016, SPDJI’s intraday index calculations started using prices from the Consolidated Tape of all recognized U.S. exchanges. Following this change, all eligible prices and volume as reported through the Consolidated Tape have been included in the intraday index calculations for all indices covering U.S. equities. The increase in volume for all the indices mentioned below is due to this change and the values received are correct." PDF File of press release.
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