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Average traded volume for a single stock over a date window: the volume the instrument traded on each date alongside its trailing average daily volume over two short windows.
The windows count trading sessions, not calendar days. A 5-day average is the mean of the last five sessions the instrument actually traded, so a week containing a market holiday still averages five real sessions rather than four sessions and a gap. This is the convention volume vendors quote average daily volume on, and it is what makes the figure comparable across markets whose holiday calendars differ.
Available Data Points:
- Date: The trading date the averages are as of. (
YYYY-MM-DDformat). - Volume: Shares traded on the date itself. Null if the instrument did not trade.
- Avg Volume 5D: Mean shares traded per session over the trailing 5 trading days.
- Avg Volume 10D: Mean shares traded per session over the trailing 10 trading days.
Share basis
Volumes are on the as-traded basis — the share count as it was quoted on the day, not restated into the current capital structure. This matters inside the window: our upstream vendor restates historical volume after a split, so averaging the restated figures would average days measured on two different share bases. Each day is converted back to as-traded before the window is applied, which also keeps the average in the same units as the volume column beside it.
Coverage
A window is null until the listing has traded enough sessions to fill it, so a recently listed instrument reports its 5-day average before its 10-day one. A window is never computed from fewer sessions than its name claims. Dates with no usable volume history are absent from the series rather than present with every window null.
Try it out! You can test the API with the trial key TEST. Simply include it in your request headers; either here, or add the header "Ortex-Api-Key": "TEST" to your http request.
Trial key restrictions: Trial keys may be limited to a specific date range and set of regions. Requests outside the allowed regions or entirely outside the allowed date range are rejected; a date window that partially overlaps the allowed range is trimmed to it, reported in meta.restriction.
Get full access! Get a key at app.ortex.com/apis