Multi-Pivots and Gap Up for June 21, 2011

[adam ali]

Then, several research papers revealed that the official exchange reported volume had dwindled from 85% of total consolidated volume in 2007 down to only 25% in 2009. That's 75% of total true volume that you cannot monitor anymore as a retail investor and it is only traded by professionals, your most important actors to monitor.
The only way left to use official volume data confidently for tracking large players activity is Pascal's Effective Volume and 20 DMF.

The concept of dark pools and ATS is easy to understand. What is unclear to me is how all this volume is reported in an aggregate sense and what is the meaning of official exchange reported volume in relation to total consolidated volume. When you say it is only traded by professionals, how does that work?

Parsing out official exchange volume as Pascal does is one approach (and perhaps the best one). But isn't this data available to everyone?

Sounds like it may be time for me to revisit Larry Harris' book.

[Billy]

The concept of dark pools and ATS is easy to understand. What is unclear to me is how all this volume is reported in an aggregate sense and what is the meaning of official exchange reported volume in relation to total consolidated volume. When you say it is only traded by professionals, how does that work?

Parsing out official exchange volume as Pascal does is one approach (and perhaps the best one). But isn't this data available to everyone?

Sounds like it may be time for me to revisit Larry Harris' book.

Sure the estimated data is available from Markettells.com but for NYSE only and EOD.
Not very useful for monitoring and interpreting IWM volume and even less intraday.
I attach the file with the historical % of reported volume compared to total consolidated volume.
Please promise me that you will swear to yourself never looking seriously at official reported volume again, or at people interpreting doctrinally such misleading data or I will think you are out of your mind!

NYTOTVOL.xlsx

Billy