For instance when you use the HP function in Bloomberg or draw volume data in Excel or just use the volume figure on Yahoo Finance, it does not include pre and after hours volume, correct? (I know you can draw pre and after hours volume figures in Bloomberg.)
Yahoo Finance and Bloomberg (internet site) both include extended hours volume. I looked at a stock (IMUX) that reported clinical trial results after hours on 10/20/2021. It traded a lot of volume after hours, and that is reflected in both the Yahoo and Bloomberg volume data for 10/20. I would assume the same holds in general.
I just asked Bloomberg (the terminal). Here is their answer: “Indeed, the volume figure when you use HP or draw volume data in excel is without pre and post hours volume.”
I think you are right and the answer from Bloomberg must be wrong. The normal trading hours volume for IMUX for 10/20/22 is 2,929,281 summed using IB's intraday volume (the graph). The volume figure in the Bloomberg terminal and Yahoo Finance is 11,943,500.
Somewhat strange that Bloomberg and Yahoo Finance choose one cut off (4 pm NY time) for price and another cut off (end of after hours trading) for volume.
%% I noticed , in the past anyway ,IBKR volume can be way low; but consistant strangely, maybe 30%of right number lol. Investors Business Daily[investors.com] is real slow to update end of day or week volume. WSJ includes post market volume,SPY for example, sometimes ; but separate from eod volume in newspaper.......