Hi, I have accumulated the following data for a set of securities I have been working on for from different sources. The data that I have is computed daily for each security and each exchange. So I have data separate for IBM,NYSE and IBM,ARCA and IBM,BATS.. 1. No of changes in level 1 bid/ask. 2 Average quantity at the top of the book. 3 Avg quantity weighted by time at the top of the book. 4 Avg Spread 5 No of trades 6 Avg Trade Qty 7 Avg Trade Price 8 Volume traded 9 Avg Level 2 Book Qty (+/- 20 bps from midpoint) 10 Percentage of time the exchange has best bid/offer for that security 11 10-min volatility (std dev of returns every 10 mins) Now I am looking to aggregate this numbers across certain periods, so that I can present a 20-day (or monthly) moving average of these statistics. I need some suggestions in the best way to aggregate these numbers that will make the most sense and add more useful information. example: for average trade price, I am aggregating by taking a volume weighted average price across days. Any suggestions, comments and observations are most welcome. cheers, Sam