Constructing index volume for price-volume signals

An end-of-day quote is not a standard object

An end-of-day quote is not a single standard object. It can include or exclude venues, electronic portals, and sessions depending on how the feed is built.

Equity quotes and sector-index quotes from the same vendor can follow different volume definitions. Stock-versus-index volume-price comparisons can conflict even when the charts look comparable.

The same index can carry several volume series

One widely used gold-and-silver index does not itself publish a total volume figure. Third-party feeds that display a volume number are applying their own construction rules.

One premium construction of that index volume sums only regular-trading-hours volume of the component stocks on the primary exchange. That is not the same definition used for ordinary stock quotes on the same site.

A portal chart of the same index can plot the host exchange's total daily volume instead of a volume series built from the index constituents.

An index membership change can reverse the reading

On 18 August 2003 that index changed both the number and identity of its members at a swing that volume-price analysis would treat as decision-critical. Different volume constructions then pointed to opposite trade hypotheses.

Unaltered sequential volume is the daily sum of current members using a US all-session aggregate. After an index membership change that adds a name, that series can look like expanding demand when the extra name, not greater participation, created the jump.

Revised-composition volume restates history with the later 12-name basket. That restatement can make a prior high look unmet by demand, but it also injects volume from names that were not in the index when that high printed.

Weighting should follow how the index price is built

Because the index is capitalization-weighted, a capitalization-weighted volume series can differ sharply from simple summed volume and better matches how price itself is constructed.

Simple addition of share volume passes stock-split and share-count changes straight into the index total as spikes or rank shifts. Capitalization weighting is designed to keep a split from changing a name's weight.

Editorial reading

Editorial interpretation, not an archive claim: a repeatable chart condition becomes a price-volume hypothesis only after the volume series is defined. If switching among unaltered sequential volume, revised-composition volume, and capitalization-weighted volume flips confirmation into denial, the pattern has not yet been made falsifiable.