Norgate Data calcultaes volume of the S&P 500 using the constituents for each day. Even though we get various feeds that show S&P 500 volume, most of them are variable in quality and often only show volume from the primary listing exchange rather than consolidated tape volume. Since we've researched all of the historical constituents, we have volume on S&P 500 back to Mar 4th 1957 on a daily basis.