OT: Intraday data and close (was: Entry + exit on the same bar?)
On 22 Jun 2022 Brian G. Peterson <brian at braverock.com> wrote:
hourly data is widely available with a reasonable history, often for free. use better data.
I purchased stock intraday data (down to 1 minute) but noticed the close of the official trading session (16:00 ET) is often not included. The support told me with intraday data this would not be possible because - block trades are out of sequence and not reported until after the close of trading. These trades would be included in the official exchange data but not in intraday data - odd-lot trades are included in intraday data but excluded from the official exchange data OHLC prices Are these two reasons correct? Are there at all intraday data available for stocks that include the daily close price? Or would I have to purchase two different datasets (intraday + EOD) and compile my own dataset for backtesting by taking the close of the EOD and all other data of the intraday dataset? Can some recommend vendors for historical hourly/half-hourly stock data with daily close price? Mike