This I KNOW alittle about. The measurement of trading volume depends on which exchange you're looking at.

On the NYSE, trades are typically handled electronically, and are direct between buyer and seller. The volume is the number of shares that changed hands.

On the OTC (Nas/OTCBB/AMEX), trades typically flow through an MM, so shares are "bought" from a seller by the MM, and then "sold" to a buyer by the MM. Thus, the number of shares that changed hands is one half the refected volume.

The above goes hand-in-hand with what I've posted about moving to another exchange. If you want to escape the MMs, you want to be on the NYSE, where (as of a couple of years ago) only 2% of the securities traded are "managed" by MMs. Going to the NAS doesn't help, as (again, as of a couple of years ago) 98% of the securities are managed by MMs. Someone posted that the AMEX is some 67% managed by MMs. Take us to the NYSE!

This stuff I KNOW (I think! LOL)

SGE