How are these indices volume calculated? Is it weighted average or a simple sum?


Most sources use a sum of trade volume of the constituents without weighting.

Some sources only use trades that occur on the primary exchange, others use all trades reported to the consolidated tape. We use the latter.

It's worthwhile verifying the exact methodology used with your data source.

Cheers, Richard.

Full disclosure: I am a co-owner of Norgate Data, a data vendor in this area.

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