I don't think anything. I refer to the data. What's the difference between the ENTIRE premarket and just the premarket session? Seems a weird emphasis, or did you have some other variation on your definition?
you must be trading at a good broker since you DON'T know the difference. at a crap broker you would know the difference.
some brokers only allow premarket trading after 8am when a number of ECNs start trading. So i tend to think in terms of the "ARCA and NSDQ premarket" and then the rest of the premarket from 8am to 9:30am
When you consider how much price movement happens in the futures markets, I'm guessing it's not insignificant.
I have a live feed which contains every tick, every venue, every trade cancellation. I don't pay any attention to what my broker platforms tell me unless a discrepancy is detected and then further risk mitigation strategies are employed.
The answer is about 10%. The premarket session does about 2% of the total SPY volume (counting premarket + RTH + after hours). The Afterhours session does 19% (!). About 12% of that 19% is the 30 minutes after the close. The truth is that the market doesnt not close at 4pm, it actually closes at 4:30pm http://www.beathft.com/?p=178