Historical Market Volume Data
Bats is a leading source of market data for the industry providing comprehensive market share and volume statistics for the U.S. equities markets. The following files contain historical market data for all of the U.S. equities exchanges and trade-reporting facilities (TRFs), dating back to January 2009.
The historical market volume files include the following data for each market center, broken down by Tape (Tape A, B, C):
- Total shares traded daily
- Total notional value traded daily
- Total number of trades occurring daily
For real-time market volume information, please visit our Market Volume Summary page. If using this data in a published report, please cite Bats Global Markets as the source.
Data is based on UTDF and CTS consolidated data feeds. Data is believed reliable but not guaranteed. Explanation of Market Volume Methodology
"Notional Value", which is also referred to as "Dollar Value Traded", is calculated by multiplying the execution price of each transaction by the total number of shares executed in each transaction. This method of calculating market share, as opposed to simply using the total number of shares that traded hands, can be a better representation of the actual "size" of a market. The larger the Notional Value traded, the more risk that actually changed hands. By way of example, 100 shares of stock ABC at $362 per share is a much larger transaction than 100 shares of stock XYZ at $2.20 a share. Other assets classes, such as futures and options, and most other equity markets outside of the U.S., historically have used Notional Value as an index into how much activity takes place on those markets.