I work for a financial services startup, and one of the services that the company will offer is real-time (or near real-time) stock information. I have a deal with a stockbroker where they run an application I've written on one of their trading machines. The trading software they use produces a text file that updates every time there's a trade; my application parses the file into something I can use on my site.
Among the fields in the text file are
|m_ExTotalTrades||Total number of trades in exchange|
|m_ExVolume||Total volume traded in exchange|
|m_ExMonitoryVol||Total of shares traded multiplied by their corresponding sell rates|
These three values start off at zero, and update as the day goes long. I don't know for certain if the values come from the trading software, or from the stock exchange itself, but I just noticed that the last value — m_ExMonitoryVol — is almost always negative. Something's not dealing with large numbers...