Why VWAP Can Be More Informative Than Total Trading Notional

Summary

The discussion compares end-of-day trading data practices in Chinese and US stock markets. The questioner describes Chinese exchange data as including both volume and amount, where amount is the sum of each trade’s price multiplied by its volume. They emphasize that this total notional is not generally equal to closing price multiplied by daily volume. They ask why comparable amount data are not disclosed for US stocks.

The response points to volume-weighted average price, or VWAP, as an available measure. VWAP equals total traded notional divided by total volume, so it expresses the average price paid per unit traded while incorporating activity throughout the session. The respondent argues that VWAP is more useful than total notional, though the exchange does not explain which trading or research tasks benefit most, nor does it compare market data rules across venues. The exchange is brief and provides no systematic evidence about disclosure practices or data availability.

Key ideas

• Daily traded notional sums the price multiplied by volume for each trade.
• Closing price multiplied by daily volume does not generally equal total notional traded.
• VWAP is total traded notional divided by total volume.
• The response argues that VWAP can be more useful than total notional, without detailing particular applications.
• The exchange does not establish why US and Chinese market data disclosures differ.

Tags

# Why no stock's amount data on us stock market?


# Why no stock's amount data on us stock market?












In chinese stock market , every stock's traded volume and amount (price * volume) data was disclosed.

Why in us stock market no amount data disclosed?

There must be such 7 fields as `date`,`open`,`high`,`low`,`close`,`volume`,`amount` for every stock's EOD (end of day) data,no `adj close` in chinese stock data.

The amount in a trading day != close * volume, the chinese exchange (shanghai and shengzheng) sum every traded data into a total sum, The amount in a trading day = sum(price * volume),they provide the data.

## Answer by kurtosis (score 0)

https://quant.stackexchange.com/a/57649

If I go to barchart.com, I can get the volume-weighted average price (aka VWAP, under "+Study") added to any graph. The VWAP is just the notional (trade price*trade volume) divided by the total volume. Furthermore, the VWAP is more useful than the total notional traded.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.