Data Definitions - V

Valid Exchange Codes in Universe
(Partition or Index Restriction)
Valid When-Issued Secruities in Universe
(Partition or Index Restriction)
Valid First Digit of Share Code
(Partition or Index Restriction)
Volume, Average
Valid Incorporation of Securities in Universe
(Partition or Index Restriction)
Volume, Median
Valid NASDAQ Market Groups in Universe
(Partition or Index Restriction)
Volume, Total
Valid Second Digit of Share Code
(Partition or Index Restriction)
Volume, Total Adjusted

Valid Exchange Codes in Universe (Partition or Index Restriction)

Valid Exchange Codes in Universe is an integer code indicating the base exchanges in the universe used to partition an index or to populate the actual index. The following table lists the base codes used. The sum of two or more codes indicates all selected exchanges are valid.

Code Description
0 No Exchange restriction
1 NYSE
2 NYSE MKT
4 NASDAQ Stock Market
8 ARCA
General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item Code
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element partuniv.wantexch or induniv.wantexch
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array partuniv or induniv
Element wantexch
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Valid First Digit of Share Code (Partition or Index Restriction)

Valid First Digit of Share Code is an integer code describing the valid digits in the first digit of the share code in a subset universe used to partition an index or in the actual index. Valid First Digit of Share Code is the decimal representation of a 10-digit binary number. The nth bit of the binary number is 1 if an n in the first digit of the Share Code is valid in the subset, and a 0 otherwise.

General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item Code
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element partuniv.shrcd.fstdig or induniv.shrcd.fstdig
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array partuniv or induniv
Element fstdig
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Valid Incorporation of Securities in Universe (Partition or Index Restriction)

Valid Incorporation of Securities in Universe describes the incorporation of companies selected in a subset universe used to partition an index or in the actual index. The following integer codes are used.

Code Description
0 Not applicable or no restriction by country of incorporation
1 Companies incorporated outside of the US are excluded
General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item Code
Date Range Availability
Daily 1962
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element partuniv.wantinc or induniv.wantinc
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array partuniv or induniv
Element wantinc
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Valid NASDAQ Market Groups in Universe (Partition or Index Restriction)

Valid NASDAQ Market Groups in Universe is an integer code indicating valid NASDAQ markets in the universe subset used to partition an index or used in the actual index. The NASDAQ National Market is a subset of The NASDAQ Stock MarketSM. The following codes are used:

Code Description
0 No National Market restriction, or not applicable
1 Only issues listed on The NASDAQ National Market are included
General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item Code
Date Range Availability
Daily 19820402
Monthly 198204
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element partuniv.wantnms or induniv.wantnms
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array partuniv or induniv
Element wantnms
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Valid Second Digit of Share Code (Partition or Index Restriction)

Valid Second Digit of Share Code is an integer code describing the valid digits in the second digit of the Share Code in a subset universe used in an index partition or in the actual index. Valid Second Digit of Share Code is the decimal representation of a 10-digit binary number. The nth bit of the binary number is 1 if an n in the second digit of the Share Code is valid in the subset, and a 0 otherwise.

General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item code
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element partuniv.shrcd.secdig or induniv.shrcd.secdig
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array partuniv or induniv
Element secdig
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Valid When-Issued Secruities in Universe (Partition or Index Restriction)

Valid When-Issued Securities in Universe is an integer code describing the types of when-issued trading allowed in a subset universe used in an index partition or in the actual index. The following codes are used:

Code Description
0 No when-issued restrictions, or not applicable
10 Initial when-issued trading is included when available. Ex-distribution trading is excluded. When-issued trading during reorganizations is included.
110 Initial when-issued trading is excluded until issue attains regular-way status. Ex-distribution trading is excluded. When-issued trading during reorganizations is included.
General Information
Primary Concepts Index Header
Data Type integer number
Unit of Item Code
Date Range Availability
Daily 1925
Monthly 1925
Database Availability and Utility Usage
Database Formats CRSPAccess
Product Types IND
ts_print Daily Usage n/a
ts_print Monthly Usage n/a
stk_print Option(s) /hr
C Usage
Object indhdr_row
Array indhdr
Element partuniv.wantwi or induniv.wantwi
FORTRAN-95 Usage
Type or Subtype indhdr
Member and/or Array partuniv or induniv
Element wantwi
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Volume, Average

Daily: Average daily volume traded within the selected output calendar. For example, the weekly calendar will average the 5 trading days within each week.

Monthly: Average monthly volume traded within the selected output calendar. For example, the quarterly calendar will average the 3 month-end volumes in the quarter.

Category Volume
Data Type Double Precision Floating Point
Data Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID volavg
Monthly ITEMID mvolavg
Header Volavg
SUBNO 0
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Volume, Median

Daily: Median daily volume traded within the selected output calendar. For example, the weekly calendar will select the median value for the 5 trading days within each week.

Monthly: Median monthly volume traded within the selected output calendar. For example, the quarterly calendar will select the median value for the 3 month-end volumes in the quarter.

Category Volume
Data Type Double Precision Floating Point
Data Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID volmed
Monthly ITEMID mvolmed
Header Volmed
SUBNO 0
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Volume, Total

Daily: total raw number of shares of a stock traded on that day, and is not adjusted for splits during the month and it does not contain over-allotments.

Monthly: the sum of the trading volumes during that month. Monthly volumes are the sum of shares reported in units of 100, and are not adjusted for splits during the month.

Volume, Total is the integer raw number of shares traded during the calendar period. It is expressed in units of one share, for daily data, and on hundred shares for monthly data. Our data source for NYSE/NYSE MKT reports the number rounded to the nearest hundred. For example, 12,345 shares traded will be reported on the NASDAQ Stock Exchange as 12,345 and on the NYSE or NYSE MKT exchanges as 12,300. Volume is set to -99 if the value is missing. A volume of zero usually indicates that there were no trades during the time period and is usually paired with bid/ask quotes in price fields.

On NASDAQ, volumes of after-hours trades are included in the current day, while the trades or quotes are included the next day. Therefore, it is possible to have bid/ask or missing price quotes paired with nonzero volumes. Trades on all exchanges connected to NASDAQ's composite pricing network and all late trades are included in the volume. There are no volumes available on NASDAQ prior to November 1, 1982.

Until June 15, 1992, NASDAQ reported volumes differently on the NASDAQ National Market and NASDAQ SmallCap Market. On the National Market, the volume of each transaction was reported by one part involved in the transaction. On the SmallCap Market, all market makers of a security made two volume reports at the end of the market day, the total number of shares they bought and the total number of shares they sold. The NASDAQ system summed the greater figure (whether buy or sell) from the market reports to create daily volume figures.

NYSE/NYSE MKT volumes are the sum of volumes on all U.S. exchanges where that security traded that day.

Beginning in November 2008, the consolidated volumes reported in the CRSP Stock database include volumes on the BATS Exchange, which now accounts over 10% of all US equity trading on a daily basis.

Category Volume
Data Type Floating Point
Data Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID tvol
Monthly ITEMID mtvol
Header Vol
SUBNO 0
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Volume, Total Adjusted

Daily: Total volume traded within the selected output calendar, adjusted for splits. For example, the weekly calendar will sum the 5 trading days within each week.

Monthly: Total volume traded within the selected output calendar, adjusted for splits. For example, the quarterly calendar will sum the 3 months within each quarter.

Category Volume
Data Type Floating Point
Data Range Availability
Daily 1925
Monthly 1925
Database Availability and Product Types
Database Formats CRSPAccess
Product Types STK
ts_print/TsQuery Usage
Daily ITEMID adjvol
Monthly ITEMID madjvol
Header Adjvol
SUBNO 0
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