You can consider the following two methods:

• If you have Matlab, you can use the following code: Volume Weighted Average Price from Intra-Daily Data

This package allows you to [1] retrieve intra-daily stock price data from Google Finance, [2] calculate the VWAP at the end of each trading day and [3] transform intra-daily data to a daily format.

• If you don't have MatLab you can replicate the code by yourself. As I understand, the package connects with Google Finance and downloads a spreadsheet from: http://www.google.com/finance/getprices?q=.DJI&x=INDEXDJX&i=60&p=10d&f=d,c,h,l,o,v with the date (intra-daily), closing price, high, low, open and volume.

You can adjust this to your own preferences by 'seeing' the code as: http://www.google.com/finance/getprices?q=TICKER&x=EXCHANGE&i=INTERVAL&p=PERIOD&f=d,c,h,l,o,v.

Where:

TICKER: is the unique ticker symbol

EXCHANGE: is where the stick is listed on

Hint: to track these inputs, for instance for the Dow Jones Industrial Average, you search the security of interest at Google Finance and then you can find at the top: (INDEXDJX:.DJI) which obviously refers to (EXCHANGE:TICKER).

INTERVAL: defines the frequency (60 = 60 seconds)

PERIOD: is the historical data period (see also Google Finance), here 10d refers to the past 10 days (up to current time).

You can consider the following two methods:

• If you have Matlab, you can use the following code: Volume Weighted Average Price from Intra-Daily Data

This package allows you to [1] retrieve intra-daily stock price data from Google Finance, [2] calculate the VWAP at the end of each trading day and [3] transform intra-daily data to a daily format.

• If you don't have MatLab you can replicate the code by yourself. As I understand, the package connects with Google Finance and downloads a spreadsheet from: http://www.google.com/finance/getprices?q=.DJI&x=INDEXDJX&i=60&p=10d&f=d,c,h,l,o,v with the date (intra-daily), closing price, high, low, open and volume.

You can adjust this to your own preferences by 'seeing' the code as: http://www.google.com/finance/getprices?q=TICKER&x=EXCHANGE&i=INTERVAL&p=PERIOD&f=d,c,h,l,o,v.

Where:

TICKER: is the unique ticker symbol

EXCHANGE: is where the security is listed on

Hint: to track these inputs, for instance for the Dow Jones Industrial Average, you search the security of interest at Google Finance and then you can find at the top: (INDEXDJX:.DJI) which obviously refers to (EXCHANGE:TICKER).

INTERVAL: defines the frequency (60 = 60 seconds)

PERIOD: is the historical data period (see also Google Finance), here 10d refers to the past 10 days (up to current time).