Volume

Volume counts activity, not direction. Every trade has a buyer and a seller, so a day of enormous volume does not mean more buying than selling; it means more agreeing on a price. What it indicates is how much attention the stock received.

It is most informative against its own recent average. A day at three times a stock's normal volume says something happened, usually news, a report, or an index change. The same absolute number would be an ordinary day for one company and extraordinary for another.

Volume also describes how easily a position can be entered or exited without moving the price, which is what people mean by liquidity. Heavily traded shares absorb large orders with little effect; thinly traded ones do not, and the gap between the best available prices tends to be wider.