Is there any way for a given symbol to get what percentage of total volume was advancing shares or declining shares? Percentages, raw volume, it doesnt matter. It also doesn't need to be real time. End of day positive/negative volume would be fine.

Anything like that out there with IQFEED? I didn't see anything in the data formats for summary, update, or fundamental messages.

Hello, we carry advance and decline values on some exchanges. Here is a link to all of our indices.http://www.iqfeed.net/symbolguide/index.cfm?symbolguide=guide&displayaction=support§ion=guide&web=iqfeed&guide=mktindices&web=IQFeed

Of particular interest,
AMEX Advanced, Declined, Unchanged, Total IIAA.Z,IIAD.Z,IIAU.Z,IIAT.Z
Nasdaq Advanced, Declined, Unchanged, Total IIQA.Z,IIQD.Z,IIQU.Z,IIQT.Z
NYSE Advanced, Declined, Unchanged, Total IINA.Z,IIND.Z,IINU.Z,IINT.Z

Will these meet your needs?

For an individual symbol, there is no fundamental or update field which contains what you're looking for. Unfortunately, you need to plug through all the ticks and compare the trade to the bid/ask to figure out where the volume went.