I'm currently using IB. They have a "US Value Bundle" data subscription: "A BBO alternative that will deliver aggregated quote, trade, volume, and optional depth information for all four US equity exchange books operated by BATS (BATS, BYX, EDGX, EDGEA). Includes Dow Jones Industrial Average and S&P 500 Indices and top of book GLOBEX quotes for CBOT, CME, COMEX, and NYMEX" They also have options such as : NYSE (CTA Tape A) Level 1 My understanding is that equities are exchanged on all the different exchanges, but that if I have BATS, I will only see the top of book from BATS. If I add NYSE, and ARCA, and NASDAQ, I'll see more bids/offers at the top of the book. Not that that's important to me, but just clarifying. What I want to know is the volume information; will having the other subscriptions A/B/C be redundant? Does BATS volume represent the total volume or simply the BATS volume for that equity?
If you are looking for aggregated trade/volume data, then you probably want to look at the Network A, Network B, and Network C subscriptions (they're $1.50 each). These are the consolidated tapes (CTA) for NYSE, AMEX, and NASDAQ listed securities respectively.
What would these three provide over the Value Bundle described above? is there volume information that won't be included in the Value Bundle? When a non-real-time site such as Yahoo lists Volume for a given day, where is it sourcing this information from? All of them in aggregate? Does each stock keep track of how it is traded on all the exchanges?
I want to start by saying I have not subscribed to this value bundle you're referencing, so what I'm saying is based on the description of it. The value bundle you listed specifically says it is the aggregated quote, trade, and volume for the 4 BATS exchanges. It does not say for all exchanges that trade US equities as such I would assume that this is not going to be the total volume, only the volume actually traded on the 4 BATS exchanges. If you want volume across all exchanges (not just BATS), then you should subscribe to the Network A/B/C tapes as they are in fact the aggregate across all exchanges for equities listed on the exchanges covered by Network A/B/C respectively. I have no idea where Yahoo gets their data, but considering people often find problems with Yahoo's data, I'd suggest you not strive to mimic Yahoo's method of data acquisition.
Yahoo gets its US stock data from CSI. CSI's volumes are consistently lower than places so it's missing some trades. Don't even get me started on their stock splits and dividends!
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