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Just build it from the 30 stocks i.e. 30X (individual stock price X stock volume) if you have them in your feed and a programmable platform like Ninja with OnMarketData or equivalent.
I agree with ratfink. IQFeed has the last few day's volume, but not longer. I don't know why but I think many do not. Here's the question: what does it mean to compute the index volume? IMO the money flow is a more normalized value. So for a price weighted index like the dow, consider:
TRV has traded 418K shares with a last of 91.00
CSCO has traded 9.77M shares with a last of 25.10
Clearly more money is moving in CSCO, but not 23X (9.77 / .418), as the volume alone would indicate. Actually only 6.5X as much, as approx $244M flows in CSCO, with $38M in TRV.
You could compute this by taking total volume for each stock and multiply it by its VWAP for the day (or manually compute and sum volume * price for each transaction in each stock if VWAP is not available to you). That will give you the total volume in dollars traded. Sum those and you have total money for the index. Or, to ballpark it, take something like the midpoint of the day ((H+L)/2) and multiply it by the volume.
