How are trades in PHOTO/NOTO sorted into volume buckets?

For PHOTO/NOTO, the trade count and volume count are bucketed based on the number of individual trades and total volume count for the day on a post aggregate basis. Each bucket is segmented into three levels of volume, less than 100, between 100 and 199, and 200 or more.

For example, 2 trades occur for the same options series before 9:40am ET.

1st Customer Opening Buy Trade: volume = 50

2nd Customer Opening Buy Trade: volume = 100

In the 9:40am file, they are aggregated for PHOTO/NOTO reports and bucketed as follows.

Trade Count = 2 --> Customer Opening Buy Trades < 100

Trade Volume = 150 --> 100 < Customer Opening Buy Volume < 199

This aggregation will continue across the intraday files until each count breaches a new threshold, at which point the count will shift to the next bucket.

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