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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.

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  • $\begingroup$ I don't quite understand what you are trying to do. Are you concerned with instantaneous intraday price (XOM at 10:05am today) or daily closing price or average of all trades during the day? What will you do with this price once you have it? $\endgroup$ – Alex C Dec 5 '17 at 2:21
  • $\begingroup$ I am interested in instantaneous intraday pricing and ohlc pricing for periods of say 1 minute for example. $\endgroup$ – Mustard Tiger Dec 5 '17 at 3:21

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