The average number of securities (e.g., shares) traded over a specific period of time (trading window). Average daily volume (ADV) is a measure of market liquidity of a certain security at a certain point in time as it captures a daily average of the number of securities traded by all market participants. The higher the ADV, the more liquid a security and vice versa, with everything else held equal.

Put into context, this measure has to be set against the position in a trade. Size of a trade correlates adversely with ADV: large sizes make it more difficult to trade a position and vice versa. A high-touch trade (where a trade exceeds 5% of the daily average volume) is more difficult to execute than a low-touch trade (where a trade’s size is below 5% of the daily average volume). By nature, sizable trades have a noticeable impact on prices: for sell trades, the impact is a drop, whereas for buy trades, the impact is a move-up.

It is also known as an average daily trading volume (ADTV).