By Islam BarakaDefinitions
In plain terms
It multiplies eligible trade price by quantity, aggregates by day, and averages across the selected window and currency basis.
Technical
The metric requires trade eligibility, price and quantity units, currency conversion, venue coverage, corrections, corporate-action policy, zero and missing days, window, and point-in-time cutoff.
Scope
It is not the same as share volume and does not directly measure market depth or price impact.
Formula
ADTV = sum(daily eligible traded value) / N_daysADTV=\frac{1}{N}\sum_{d=1}^{N}V_d| Symbol | Meaning | Unit |
|---|---|---|
V_d | eligible traded value on trading day d | currency |
N_days | number of included trading days | trading days |
Output unit: currency per trading day
Examples
- A governed methodology records average daily traded value with its source, cutoff, units, parameters, and effective version.
Common misconceptions
- Average Daily Traded Value does not have one universal implementation without the declared methodology, data basis, and constraints.
Concept relationships
Prerequisites
Related
Where this concept is used
Tutorials planned
These catalogued topics use this concept, but their complete build has not shipped yet.
- D03-F06-A02 Important
- D03-F06-A04 Important
- D03-F06-A08 Important
Evidence and governance
- MSCI Global Investable Market Indexes Methodology Library MSCI · first party methodology
Supports: preferred label, short definition, technical definition, formula
Limits: MSCI methodology and production data are provider-specific and branded data or calculated values may require licenses.
- Fintech Builder Glossary Definition Contract The Fintech Builder · internal governed contract
Supports: variant distinction
Limits: Defines governed platform behavior rather than claiming these policies are universally prescribed by external McClellan methodology.
- Reviewed by
- fintech-builder-batch-004
- Last reviewed
- 2026-07-27
- Next review
- 2027-07-27
- Record status
- published