Taiwan Day Trading Stats — 現股當沖 Volume, Value & Ratio (TWSE + TPEx)

Get structured JSON access to Taiwan's same-day trading turnover, security by security — how much of every stock's daily volume was bought and sold again before the close, what day traders paid, what they got back, and what share of the whole market they were.

Taiwan is the most day-traded equity market in Asia. On a normal session a quarter of all shares that change hands on the TWSE are round-tripped the same day, and in individual names the figure routinely passes 70%. Both exchanges publish that breakdown after the close — this Actor normalizes both boards into one flat schema and computes the per-security ratio the exchanges only publish market-wide.

What you get

Record type	Rows	What it tells you
STOCK	~1,200 TWSE + ~840 TPEx per session	Per-security day-trading volume, buy value, sell value, the ratio against that session's own turnover, plus OHLC and close
MARKET	1 per board per session	The exchange's own market-wide day-trading volume, value and percentages, with the whole-market totals behind them

Both boards — TWSE listed (上市) and TPEx OTC (上櫃) — with history back to 2014-01-06, the day same-day trading became legal in Taiwan.

Why this data matters

• Day-trading ratio is a crowding gauge. A stock where 70% of the volume is intraday round-trips has almost no position-holder behind the move. day_trading_ratio gives you that number for every security, every session — the exchanges publish it only for the market as a whole.
• You can see whether day traders won or lost. day_trading_net_value is the sell leg minus the buy leg: the gross P&L the day-trading crowd booked in that security, before fees and the 0.15% intraday transaction tax. Aggregate it across a market and you have a sentiment series that has nothing to do with price.
• Entry and exit prices, not just turnover. day_trading_avg_buy_price and day_trading_avg_sell_price are volume-weighted — compare them against the session's OHLC to see whether the crowd was buying strength or fading it.
• Regulatory suspensions are flagged. When a security draws 注意/處置 attention, the exchange suspends selling first and buying back the same day. sell_first_day_trading_suspended marks it, so a backtest knows the short-side leg was unavailable.
• Real history. Twelve years of sessions, one request per board per day, no key and no registration.

Output

One record per security per session, plus the market line. Every row carries the same keys regardless of board or record type, so the dataset stays tabular.

{
  "record_type": "STOCK",
  "market": "TWSE",
  "date": "2026-08-04",
  "stock_code": "3481",
  "stock_name": "群創",
  "is_etf": false,
  "day_trading_volume": 258266000,
  "day_trading_buy_value": 12022293200,
  "day_trading_sell_value": 12055560850,
  "day_trading_net_value": 33267650,
  "day_trading_avg_buy_price": 46.55,
  "day_trading_avg_sell_price": 46.6789,
  "day_trading_ratio": 74.182,
  "day_trading_buy_value_ratio": 74.016,
  "day_trading_sell_value_ratio": 74.2208,
  "total_volume": 348151865,
  "total_value": 16242834512,
  "open": 45.65,
  "high": 48.55,
  "low": 44.7,
  "close": 47.8,
  "price_change": 2.0,
  "sell_first_day_trading_suspended": false,
  "source_url": "https://www.twse.com.tw/exchangeReport/TWTB4U?response=json&date=20260804&selectType=All"
}

{
  "record_type": "MARKET",
  "market": "TWSE",
  "date": "2026-08-04",
  "day_trading_volume": 3010263000,
  "day_trading_buy_value": 451260488660,
  "day_trading_sell_value": 453230864230,
  "day_trading_net_value": 1970375570,
  "day_trading_ratio": 26.54,
  "day_trading_buy_value_ratio": 41.51,
  "day_trading_sell_value_ratio": 41.69,
  "market_total_volume": 11340636777,
  "market_total_value": 1087045875836,
  "securities_count": 1221,
  "source_url": "https://www.twse.com.tw/exchangeReport/TWTB4U?response=json&date=20260804&selectType=All"
}

Input

Field	Type	Default	Notes
startDate	string	—	YYYY-MM-DD, required. Dates before 2014-01-06 are moved up to it.
endDate	string	= startDate	Inclusive. Weekends are skipped without a request.
markets	array	both	TWSE, TPEX
stockCodes	array	all	e.g. ["2330", "3481"]. MARKET rows are kept regardless.
minDayTradingRatio	integer	0	Keep only securities at or above this day-trading percentage.
excludeEtfs	boolean	false	Drop 00-prefixed codes — ETFs, ETNs, bond and leveraged variants.
includeMarketSummary	boolean	true	Emit the MARKET row per board per session.
includeQuotes	boolean	true	Fetch closing quotes for the ratios and OHLC. Off halves the requests.

Screening example — every TWSE and TPEx ordinary share whose volume was at least 70% intraday round-trips last week:

{
  "startDate": "2026-07-27",
  "endDate": "2026-07-31",
  "minDayTradingRatio": 70,
  "excludeEtfs": true
}

How the ratio is computed

Neither exchange publishes a per-security day-trading ratio — only a market-wide one. This Actor computes it, using the formula reverse-engineered from the exchange's own published figure and verified against it:

day_trading_ratio = day-trading volume ÷ that security's total session volume × 100

At market level, TWSE's published 26.54% for 2026-08-04 reproduces exactly from its own two published totals (3,010,263,000 ÷ 11,340,636,777 = 26.5440%), and the same holds for the buy- and sell-value percentages. Every run re-checks this on TWSE sessions and logs a warning if the exchange's arithmetic and its own numbers ever stop agreeing.

Note that TWSE prints these percentages truncated to two decimals rather than rounded — 48.0882% appears as 48.08%. Both conventions are accepted by the check; the values in the dataset are computed to four decimals and not truncated.

TPEx publishes no all-categories market total, so its MARKET rows carry the exchange's own percentages and leave market_total_volume empty. Per-security ratios are computed identically on both boards.

Data integrity

Numbers are checked against other official numbers before anything is published:

• Per-security turnover must sum to the market line. All three totals — volume, buy value, sell value — are re-added from the detail table and compared with the exchange's own market row. On both boards, on every session tested, they match to the share and the dollar.
• Day-trading turnover cannot exceed session turnover. Every security's round-trip volume is checked against its own total volume from the daily quote table.
• The market percentages must reproduce. As described above, on TWSE.
• The session must be the one you asked for. TWSE answers a date it has no session for by silently serving the most recent one instead, echoing its own date in the payload. That echo is compared with the requested date before parsing, so a holiday or a future date returns nothing rather than yesterday's numbers filed under the wrong day.
• A missing column stops the run. If either exchange drops a column this Actor reads, the run fails loudly instead of publishing a partial dataset that would look like a quiet session.

Known gaps, stated rather than papered over:

• sell_first_day_trading_suspended is null on early TPEx sessions. The suspension marker was added to the OTC table years after launch — TPEx's 2014 sessions have five columns, not six. Null means the exchange never published it, not that nothing was suspended.
• price_change is null when the session is not comparable. TWSE marks securities that went ex-dividend or resumed from suspension with X instead of a direction; no change is reported for them rather than a misleading zero.

Sources

All official, all free, no API key:

Feed	Endpoint
TWSE day trading	www.twse.com.tw/exchangeReport/TWTB4U
TWSE daily quotes and market totals	www.twse.com.tw/rwd/zh/afterTrading/MI_INDEX
TPEx day trading	www.tpex.org.tw/www/zh-tw/intraday/stat
TPEx daily quotes	www.tpex.org.tw/www/zh-tw/afterTrading/otc

Related Actors

Same publisher, same market, designed to join on stock_code and date:

• Taiwan Stock Alerts — 注意股/處置股. The securities whose sell-first day trading gets suspended show up here first.
• Taiwan Margin Trading — 融資融券 balances, the leveraged position-holders behind the other side of the tape.
• Taiwan SBL & Short Sale Balance — borrow and short balances.
• TWSE Institutional Trades / TPEx Institutional Trades — foreign, trust and dealer net buying.