Feedback from the public is always welcome and appreciated:
If you have detailed feedback, questions, or ideas, including suggestions for improvement, regarding any of the specific MIDAS data series and analyses presented, you may email the staff directly at email@example.com. Though we may not be able to reply to all questions individually, common questions will be included in the frequently-asked-questions section.
Frequently Asked Questions
Q1: Why doesn’t your trading volume match the composite volume from other published sources (Bloomberg, Yahoo, etc.)?
A1: Many sources report total (composite) trading volume, which includes both on-exchange trading as well as off-exchange trading. For the purposes of computing our metrics we need to identify volume that is relevant for each calculation in order to ensure we have a proper baseline. Since our metrics involve counting trades and displayed orders that appear on the exchange-feeds during continuous trading, we compute comparable total volume numbers that reflect on-exchange trading during continuous-trading hours for those exchanges that provide sufficient data to compute each metric. As such, our volume metrics generally exclude off-exchange trading, trading at the opening and closing auctions, and any off-hours trading. We also note that under certain unlikely circumstances, feed-handling issues could result in missing MIDAS data for an exchange on a given day. To avoid distorting the metrics, we exclude volume on any exchange in the event that data on that exchange was not available that day for us to compute the metrics. The Methodology document provides more details.
Q2: What is the difference between HiddenVol(‘000) and TradeVolForHidden(‘000)?
A2: Not all of the exchanges provide enough information to conclusively determine whether trades occurred against hidden orders or not. As described more generally in Q1 above, those exchanges are excluded from the ratios involving hidden orders to facilitate an apples-to-apples comparison. HiddenVol(‘000) represents the volume of trading against hidden orders and TradeVolForHidden(‘000) (the denominator) represents all of the possible orders from exchanges where we can definitively determine trades against hidden orders. The exchanges for which we cannot, at present, definitely determine whether any given trade was executed against a hidden order include NYSE and Amex as well as CHX and NSX. This can be verified by checking the Exchange charts in the Data Visualization. See the README file associated with the User Download files for further details.
Q3: Why is there no CBSX data within the Exchange time series?
A3: The CBSX feed provides only top of book data - similar to that found on the tape (i.e., the SIP). Much of the information we would need to compute the various measures is missing.
Modified: March 25, 2021