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!