You can export all of your trades by navigating to History > Export when logged into your account. Here you can export a CSV-file of your trades, selecting a number of fields, for example Volume, Price, Fee and Cost. You can then import this file into a spreadsheet and calculate the average price for all your orders.
There is an issue with this exporter that we are aware of. The issue is that the two date pickers (i.e. left- and right-hand) are switched. The left-hand one is normally meant to be the start date and the right-hand the end date. However, this is switched.
So, what you need to do is to pick your preferred start date for the history in the right-hand date selector and the preferred end date for the history in the left-hand date selector. You can for example pick a very early date (say 12-31-2009) to make sure you get all of your trade history.
Order history is not currently available for export, but one can generate order history via the API.