Typically securities trade on a primary exchange and as such the 'price' of that security is quoted from the primary exchange.
For example Exxon (XOM) stock is listed on the NYSE, even though there are smaller venues/dark pools the market price of Exxon stock is quoted from the NYSE.
What if a security does not have a primary exchange? what if the trade volume of a security is broken up into say 10 different exchanges. Exchange 1 has 10% of all volume, exchange 2 15% and so on...
I realize that a simple method would be to do an volume weighted price average, but are there other methods used in practice?
If someone could give any examples, or references to papers/literature that would be greatly appreciated.