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I am searching for a stock metric that reflects the actual prices at which a stock trades hands.

• The price of a stock at a daily close is the last price at which a stock trades hands, which does not reflect volume at prices lower or higher than that number

• The only indicator that I've found that incorporates volume uses daily closes in its equation (Positive and Negative Volume Indices)

Prices can move when volume is low or high, and throughout a trading day, a steep drop can coincide with low volume, and a recover run can coincide with increased volume. The price at which the most stocks were traded may not be reflected in the opening or closing price, or the average volume for the day.

Is there a way to determine the mean or median price for the day, e.g. :

1000 shares @ 10.00
100 shares @ 11.00
10000 shares @ 12.00.

Mean share purchase price = (1000 * 10 + 100 * 11 + 10000*12)/(1000 + 100 + 10000) = 11.81

On such a day, with dwindling volume, the price could close at 10.50 and would not reflect that the majority of shares were purchased at a higher price.

Thanks for your help!

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    I don't understand what you're after, you ask if there's a way to calculate it, then show an example of how it would be calculated. Can you clarify? If you don't need to calculate it yourself you can find VWAP (volume-weighted average price) as a common metric from stock data providers. – Hart CO Jul 21 at 21:47
  • in some sense the answer to your queston is simply: open any stock chart. they always have two lines, up top in the large chart the price through the day and at the bottom the volume through the day. look at the volume one. – Fattie Jul 22 at 11:54
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As mentioned in the comments, VWAP is volume-weighted average price, which is available from brokers that cater to day-traders.

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As mentioned, VWAP is typically used for part of your question but does not answer the opening part

"a stock metric that reflects the actual prices at which a stock trades hands"

That would be "course of sales" or "time and sales" (thanks @Flux) which is also typically available from the exchange or via your broker.

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  • "Course of sales" appears to be an Australian term. In other places, this is known as "time and sales". – Flux Jul 22 at 7:45
  • @Flux Thanks - have added that term for the wider audience. – LoztInSpace Jul 22 at 10:24
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There are many volume indicators and like all technical indicators, sometimes they'll correlate and sometimes they won't because they are derivatives. Some examples:

  • OBV indicator
  • Volume RSI
  • Volume price trend indicator
  • Money flow index
  • Chaikin money flow indicator
  • Accumulation/distribution
  • Ease of movement
  • Negative volume index
  • Volume-weighted average price

Each will provide a somewhat different answer because of the formula used in the calculation.

I am searching for a stock metric that reflects the actual prices at which a stock trades hands.

You can look for patterns within daily trading numbers but the only true indicator of price is Time & Sales. "That reflects the actual prices at which a stock trades hands."

You could aggregate all of the day's trading in price order and multiple by the volume at each price and the largest number would reflect the price at which the most trading occurred during the day. However, that price isn't significant because it only reflects a point of stagnation where there was no excess buying or selling pressure to move price up or down.

And FWIW, technical indicators are like looking in the rear view mirror, telling you where you have been. None predict anything.

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