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Open,High,Low,Close

I have these fields, representing the "opening" amount, the highest for the day, the lowest for the day, and what it closed at.

I'm trying to determine the "average" price for the day.

I currently do this:

(Open + High + Low + Close) / 4

Is this correct? I get slightly different numbers if I do:

(High + Low) / 2

Which one is correct? Or, most common/used?

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    $\begingroup$ In an ideal scenario, I think you need transaction data with volume and price for each transaction. Then you can calculate weighted mean. $\endgroup$
    – Dayne
    Oct 30 '20 at 7:50
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    $\begingroup$ Since many sources only give close data, fairly typical to use the close. Argument is that almost all the information released on a day has settled by then. The open/hi/lo information is used for candlestick charts. $\endgroup$ Oct 30 '20 at 12:10
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You cannot obtain that information with the data provided.

You would need periodic samples throughout the day.

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  • $\begingroup$ Well, I don't have that data. Then what am I calculating with my algorithms? $\endgroup$
    – Jelani
    Oct 30 '20 at 6:13
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I would use A = (low + high)/2. I am not aware of this being a common technical indicator.

In regard to common practices "VWAP" refers to any algorithm that calculates a volume weighted average price. I have seen a few references that define simple VWAP = volume x (low + high + close)/3.

https://www.investopedia.com/ask/answers/031115/what-common-strategy-traders-implement-when-using-volume-weighted-average-price-vwap.asp

This simple algorithm is used for a period which aggregates tick data.

If all tick data is available for a period then VWAP would not be estimated from low, high, and close data, it would be calculated directly from the actual trade price and volume for each trade.

One application of VWAP is to buy or sell a large stock position over time. Instead of trying to buy or sell large blocks of shares all at once, the large order is broken into smaller trades that execute close to the VWAP. The theory is that this will produce the best execution.

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You can't calculate an actual average from that data. An average is the sum of all values divided by the count of values. If you are just making a trend-line or time series, just use Open or Close.

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