[R-SIG-Finance] OT: Intraday data and close (was: Entry + exit on the same bar?)

[Mike]

On 22 Jun 2022 Brian G. Peterson <brian using 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