Support Board
Date/Time: Fri, 04 Jul 2025 23:00:17 +0000
Post From: Understanding Intraday data
| [2019-01-31 23:45:58] |
| User629461 - Posts: 186 |
|
Hi, I'm analysing intraday data for symbol ES (ESH19) and would like some help with the following: I want to deconstruct the daily bar statistics (open, high, low, close, volume) using intraday data which I downloaded using 'Export Intraday data to Text File', however I cannot replicate the same result. Example, for 30/01/2019 the daily data statistics are (2648.5, 2689.75, 2636.25, 2682.5, 1564987). However, using the intraday data from 00:00:00 to 23:59:59 the result is (2644.75, 2689.75, 2636.25, 2687.5, 1506029) with the Open, Close and Volume being different. I also notice a difference between the downloaded intraday data (from above) and that in the Intraday Data Editor in the SC application. Example, the first record from the downloaded data for 30/01/19 shows (00:00:00, 2644.75, 2644.75, 2644.25, 2644.25, 247) however on the Intraday Data Editor the first record is (00:00:03, 2643.5, 2643.5, 2643.5, 2643.5, 4). Your help in understanding this would be appreciated, thanks. |