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Ordinary stock data not only consists of closing prices, but also gross volume traded in the security by end-of-day. It is always reported in absolute terms even though there could have been more buying (bid) activity than sell (ask) activity (executed transactions) by end-of-day. Based on the gross volume or other variables, is there a way to tell if the net volume for a time series was more on the bid (positive) or ask (negative) sides per day?

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  • $\begingroup$ Perhaps comparing the closing price to the VWAP for a full day? $\endgroup$ – amdopt Apr 27 at 17:41
  • $\begingroup$ could you expand on this and reasoning $\endgroup$ – develarist Apr 27 at 17:52
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    $\begingroup$ If the closing price were above the VWAP for the entire day it would suggest that the net activity for the day took place on the offer (net buying). For example, stock XYZ opens at 100 and closes at 101. The trades for the day were 100 shares @ 100, 100 shares @ 101 and 100 shares @ 101 (in that order). The VWAP would be 100.67, the close would be 101 indicating that the majority of the activity occured at the ask. $\endgroup$ – amdopt Apr 27 at 18:01
  • $\begingroup$ just to make sure i'm thinking of the same one, what is the formula for VWAP that would reveal net buying/selling? and what you're saying is that, if a day's VWAP is below (above) the closing price for that day, then there was net selling (net buying)? wouldn't net order change depend on the previous day's close instead? $\endgroup$ – develarist May 27 at 11:58
  • $\begingroup$ is there a source that confirms what u said, that comparisons between VWAP versus the closing price speaks to more trades occuring on the buy side or sell side? $\endgroup$ – develarist May 31 at 15:18

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