Weighted Average of a stock price

Occasional Contributor
Posts: 5

Weighted Average of a stock price

Dear All,

I am having trouble coding the average pricing of stock.

Data

FLAG QTY PRICE AVG_PRICE CALCULATION
Buy 50 100
Buy 50 101
Buy 50 102
Sell 100 101.5 101 (50*100+50*101+50*102)/150
Buy 50 99
Sell 50 99.5 100.5 (50*100+50*101+50*102+50*99)/(150+50)

I need to generate weighted average price against flag 'S' as shown above with calculation how to calculate avg_price.
In case of first sell,I need weighted average price of all buys. total quantity purchased before first sell is 150 and quantity sold is 100.
Balance quanity is 50. To generate price against second 'Sell' we nee to take average of first 3 buys and 4th buy.

Kindly help me out.

Regards
Sandeep Gupta

Frequent Contributor
Posts: 131

Re: Weighted Average of a stock price

Hello Sandeep,

The code here below should do the job:

```data results (drop= SUM_:);
set input;

retain SUM_COST SUM_QTY;

if _N_ = 1 then do;
SUM_COST = 0;
SUM_QTY = 0;
end;

if strip(upcase(Flag)) = 'BUY' then do;
SUM_COST = SUM(SUM_COST, QTY * PRICE);
SUM_QTY = SUM(SUM_QTY, QTY);
AVG_PRICE = .;
end; else

if strip(upcase(Flag)) = 'SEL' then do;
AVG_PRICE = SUM_COST / SUM_QTY;
end;

run;```

Considering that the content of your "input" dataset has the following colomns: FLAG, QTY, PRICE.

Please let me know should there be something missing in my answer.

Regards,

Florent

Occasional Contributor
Posts: 5

Re: Weighted Average of a stock price

Hi Florent,

Thanks for a quick reply.

I am getting the desired output for a single account. But if there are multiple accounts then the code is not giving desired output.

I am attaching the sample data for multiple accounts. Kindly help me out with this problem.

Sample data is as below:

 ACCOUNT_NO TRADE_DATE FLAG QTY PRICE 1 3-Mar-14 FRESH 50 6233.75 1 3-Mar-14 COVER 50 6242.1 1 4-Mar-14 FRESH 50 6250.3 1 4-Mar-14 FRESH 50 6249 1 4-Mar-14 FRESH 50 6251.2 1 4-Mar-14 COVER 50 6267.8 1 4-Mar-14 FRESH 100 6269.95 1 4-Mar-14 FRESH 50 6291.65 1 4-Mar-14 FRESH 50 6303.35 1 4-Mar-14 FRESH 50 6333 1 5-Mar-14 COVER 350 6341 2 1-Apr-14 FRESH 200 6751 2 1-Apr-14 FRESH 100 6761 2 4-Apr-14 COVER 500 6739 2 4-Apr-14 FRESH 200 6769 2 9-Apr-14 FRESH 300 6795 2 9-Apr-14 FRESH 200 6828 2 15-Apr-14 COVER 500 6787 3 28-Feb-15 FRESH 25 8858 3 28-Feb-15 COVER 25 8890 4 18-Feb-15 FRESH 50 8951.375 4 26-Feb-15 COVER 25 8750 4 28-Feb-15 COVER 25 8938 4 28-Feb-15 FRESH 25 8950 5 28-Feb-15 FRESH 25 8961.7 5 28-Feb-15 COVER 25 8949.8 6 20-Feb-15 FRESH 50 8857.2 6 20-Feb-15 COVER 25 8888 6 20-Feb-15 COVER 25 8848.3 6 23-Feb-15 FRESH 50 8859.225 6 23-Feb-15 COVER 25 8863 6 23-Feb-15 COVER 75 8740 6 24-Feb-15 COVER 25 8780.8 6 24-Feb-15 FRESH 25 8743 6 26-Feb-15 COVER 25 8684.35 6 28-Feb-15 FRESH 25 8924.35 6 28-Feb-15 COVER 25 8990 7 26-Feb-15 FRESH 50 8766.775

Regards

Sandeep

Frequent Contributor
Posts: 131

Re: Weighted Average of a stock price

[ Edited ]

Hi Sandeep,

Just to make sure, are the rows with the value "FRESH" in the variable 'FLAG' to be considered as the "Buy" you mentioned in your first message ? I would expect to have a Buy as first operation for each account (you cannot sell something you haven't bought earlier in my point of view).

Regards,
Florent

Occasional Contributor
Posts: 5

Re: Weighted Average of a stock price

Hi Florent

Fresh is buy and cover is sell.

Regards
Sandeep
Frequent Contributor
Posts: 131

Re: Weighted Average of a stock price

[ Edited ]

Hi Sandeep,

Would the following version of the code do what you want ?

``````data results (drop= ACCOUNT SUM_:);
set input;

retain ACCOUNT SUM_COST SUM_QTY;

if ACCOUNT ne ACCOUNT_NO then do;
ACCOUNT = ACCOUNT_NO;
SUM_COST = 0;
SUM_QTY = 0;
end;

if strip(upcase(Flag)) = 'FRESH' then do;
SUM_COST = SUM(SUM_COST, QTY * PRICE);
SUM_QTY = SUM(SUM_QTY, QTY);
AVG_PRICE = .;
end; else

if strip(upcase(Flag)) = 'COVER' then do;
AVG_PRICE = SUM_COST / SUM_QTY;
end;

run;``````

It's important that all the data related to the same Account are consecutive (i.e. first all lines related to the account 1 then the ones of the account 2, ...etc) in your input otherwise this will not work as expected.

Regards,

Florent

Occasional Contributor
Posts: 5

Re: Weighted Average of a stock price

Dear Florent,

The code you shared is not giving the desired output. I am attaching excel containing desired output with formula to calculate the output. Let me know in case you require extra information.

 ACCOUNT_NO TRADE_DATE FLAG QTY PRICE Desired_AVG_PRICE 1 3-Mar-14 FRESH 50 6233.75 1 3-Mar-14 COVER 50 6242.1 6233.75 1 4-Mar-14 FRESH 50 6250.3 1 4-Mar-14 FRESH 50 6249 1 4-Mar-14 FRESH 50 6251.2 1 4-Mar-14 COVER 50 6267.8 6250.166667 1 4-Mar-14 FRESH 100 6269.95 1 4-Mar-14 FRESH 50 6291.65 1 4-Mar-14 FRESH 50 6303.35 1 4-Mar-14 FRESH 50 6333 1 5-Mar-14 COVER 350 6341 6277.3 3 28-Feb-15 FRESH 25 8858 3 28-Feb-15 COVER 25 8890 8858 4 18-Feb-15 FRESH 50 8951.375 4 26-Feb-15 COVER 25 8750 8951.375 4 28-Feb-15 COVER 25 8938 8951.375 4 28-Feb-15 FRESH 25 8950 5 28-Feb-15 FRESH 25 8961.7 5 28-Feb-15 COVER 25 8949.8 8961.7 6 20-Feb-15 FRESH 50 8857.2 6 20-Feb-15 COVER 25 8888 8857.2 6 20-Feb-15 COVER 25 8848.3 8857.2 6 23-Feb-15 FRESH 50 8859.225 6 23-Feb-15 COVER 25 8863 8859.225 6 23-Feb-15 COVER 25 8740 8859.225 6 24-Feb-15 FRESH 25 8743 6 26-Feb-15 COVER 25 8684.35 8743 6 28-Feb-15 FRESH 25 8924.35 6 28-Feb-15 COVER 25 8990 8924.35 7 26-Feb-15 FRESH 50 8766.775

Regards

Sandeep

Frequent Contributor
Posts: 131

Re: Weighted Average of a stock price

Hello Sandeep,

I don't understand why the logic to calculate the DESIRED_AVG_PRICE of the cell F7 of your Excel does not take into account the QTY and PRICE of the of row 2, whereas the calculation of the DESIRED_AVG_PRICE of the cell F12 of your Excel takes into account the QTY and PRICE values of the rows 4 to 6. It seems to me that the logic is not in aligned...

I would expect to find 6246.0625 as DESIRED_AVG_PRICE in the cell F7 of your excel (calculated as with the formula =(D4*E4+D5*E5+D6*E6+D2*E2)/200).

Kr,
Florent
Occasional Contributor
Posts: 5

Re: Weighted Average of a stock price

Hi Florent,

Please find the attached excel. I have mentioned steps how to calculate weighted avg price. Kindly let me know if have any doubts regarding data or logic.

Regards

Sandeep

Frequent Contributor
Posts: 131

Re: Weighted Average of a stock price

Hi Sandeep,

Sorry for the delay but I had a lot to do on my projects.

I don't know if you have solved your problem in the meantime but I'll still give it a last try. Please find below a new SAS program which, according to the logic I saw in your Excel, should match with your expectations.

Do not hesitate to comment the DROP statements in the code so that you can have a look at the temporary variables that are created. Also, adding PUT statements before, inside, and  after the DO loops may help in visualizing what is happening during the execution of the datasteps.

Kind regards,

Florent

``````data tmp_Results (drop= tmp_: len_:);

set input;

length List_Row List_Qty List_Price \$1000 tmp_Row \$100;
retain List_Row List_Qty List_Price;

tmp_row_num = _N_;
tmp_Total_Qty = Qty;

/* To keep exactly the same amount of rows as in the excel example */
if tmp_row_num <= 22 then do;

/* In case of Fresh, add the values to the lists */
if strip(upcase(Flag)) = 'FRESH' then do;
List_Row = strip(List_Row) || strip(put(tmp_row_num, best12.))|| ';';
List_Qty = strip(List_Qty) || strip(put(Qty, best12.))|| ';';
List_Price = strip(List_Price) || strip(put(Price, best12.))|| ';';
end; else

/* In case of Cover, remove values from the lists */
if strip(upcase(Flag)) = 'COVER' then do;

do until (tmp_Total_Qty <= 0);
tmp_Row = strip(scan(List_Row, 1, ';') || ';');
tmp_Qty = input(scan(List_Qty, 1, ';'), best12.);
tmp_Price = strip(scan(List_Price, 1, ';') || ';');

len_Price = lengthn(strip(tmp_Price));
len_Qty = lengthn(strip(scan(List_Qty, 1, ';') || ';'));

if tmp_Qty >= tmp_Total_Qty and tmp_Total_Qty > 0 then do;
tmp_Total_Qty = tmp_Total_Qty - tmp_Qty;

if tmp_Total_Qty >= 0 then do;
List_Row = strip(tranwrd(List_Row, strip(tmp_Row), ''));
List_Qty = strip(substr(List_Qty, len_Qty+1));
List_Price = strip(substr(List_Price, len_Price+1));
end; else
if tmp_Total_Qty < 0 then do;
List_Qty = strip(put(-tmp_Total_Qty, best12.)) || ';' || strip(substr(List_Qty, len_Qty+1));
end;
end; else
if tmp_Total_Qty > tmp_Qty and tmp_Total_Qty > 0 then do;
tmp_Total_Qty = tmp_Total_Qty - tmp_Qty;

List_Row = strip(tranwrd(List_Row, strip(tmp_Row), ''));
List_Qty = strip(substr(List_Qty, len_Qty+1));
List_Price = strip(substr(List_Price, len_Price+1));
end;
end;
end;

output tmp_Results;
end;
run;

data Results (drop= List_: tmp_:);
set tmp_Results;

List_Row = lag1(List_Row);
List_Qty = lag1(List_Qty);
List_Price = lag1(List_Price);

if strip(upcase(Flag)) = 'COVER' then do;
tmp_nb_items = countw(List_Row);
tmp_numerator = 0;
tmp_denominator = 0;

do tmp_i=1 to tmp_nb_items;
tmp_Qty = input(scan(List_Qty, tmp_i, ';'), best12.);
tmp_Price = input(scan(List_Price, tmp_i, ';'), best12.);

tmp_numerator = sum(tmp_numerator, tmp_Qty * tmp_Price);
tmp_denominator = sum(tmp_denominator, tmp_Qty);
end;

avg_price = divide(tmp_numerator, tmp_denominator);
end;
run;``````

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