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

[Frank]

I have not used the following, but it seems like a good deal:

https://firstratedata.com/i/index/SPX



Frank
Chicago
-----Original Message-----
From: R-SIG-Finance On Behalf Of Mike
Sent: Tuesday, August 23, 2022 10:04 AM
To: r-sig-finance using r-project.org
Subject: [R-SIG-Finance] OT: Intraday data and close (was: Entry + exit on
the same bar?)

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

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