XETRA (german) total volume intraday data

December 20th, 2017, 06:29 AM

how can I get intraday total traded VOLUME data for the XETRA (German) exchange?
is there a symbol for it? like $TVOL &TVOL/Q (on my thinkorswim)

December 22nd, 2017, 11:04 AM

Difficult to do that I think. You would have to add the volumes of all the 30 stocks in the dax to get the total volume.
But if you look back you have to account for changes in the composition of the dax.

Not sure what you're trying to do, but wouldn't you be better off looming at the fdax future contract volume?

December 23rd, 2017, 06:12 AM

Have a look here:

https://www.deutsche-boerse-cash-market.com/dbcm-en/instruments-statistics/statistics/cash-market-statistics/order-book-statistics

Under "Daily order book statistics - FWB Xetra Close" you can download daily statistics.

December 29th, 2017, 05:40 AM

I have an algo on FDAX I wrote and it has some periods of time that it performs subnormal.
I was thinking to see if there might be some correlation to the total market volume (not necessarily to volume of the futures themselves . looking for the market conditions in general) so i need the data for a few years back. I have the data of FDAX of course.

December 29th, 2017, 08:41 AM

dadarara

I was thinking to see if there might be some correlation to the total market volume (not necessarily to volume of the futures themselves .

The obvious correlation's going to be with the futures: that will be very close, because of all the automated HFT arbitrageurs in the market making sure it stays that way?

XETRA (german) total volume intraday data

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XETRA (german) total volume intraday data