just notice the intraday stock market data (volume) from different providers have big difference. for example, you can see 5min intraday chart for stock on both Thinkorswim and TDAmeritrade. for example, the volume of SPY are quite different between the two. anyone know why? I have not got the chance asking their supports. I plan to do so.
Perhaps one is showing primary exchange (NYSE Arca)-only volume and the other is showing consolidated tape volume.
If you want the "official" volume number at any given point, you could check the listing exchange's Web site, for example: https://www.nyse.com/quote/ARCX:SPY
FYI, that "official" web site is simply an outsourced feed from Morningstar. It does represent consolidate tape volume. Compare: http://www.reuters.com/finance/stocks/overview?symbol=SPY with: http://www.reuters.com/finance/stocks/overview?symbol=SPY.P (the latter shows primary exchange only trades)