Daily vs Intraday Data

Discussion in 'Data Sets and Feeds' started by Wayne Gibbous, Mar 7, 2008.

  1. I hope this isn't too basic of a question. I don't do much with intraday data. I'm trying to find why the daily bar doesn't exactly match the intraday data.

    For example:

    On 3/6 the ESH8 (Globex) Trades daily bar is: High 1343, Low 1302.25, Open 1335.75, Close 1308.25.

    If you look at the ESH8 5 Minute data for 3/6, the high of the highest 5 minute bar is only 1337.5. That's nowhere near 1343.

    Why aren't the daily and intraday highs the same?

    Thanks for the help!
  2. Also, this is IB data. I just changed scale on the chart. I know that IB data is not "tick" data, but it doesn't seem like trades that many points away would be missed by the intraday bars?
  3. 40 views and no reply :eek:
  4. Lucrum


    Is your 5 min chart RTH (regular trading hours) or all sessions? That's the first thing I'd check.
  5. Thanks for the help.

    Okay, so I changed the settings to NOT show data outside of RTH. And now the Daily bar high = the 5 Minute high = 1329.5. That makes a lot more sense now.

    Still I have to wonder why when the settings were both "Outside RTH", they didn't match up? I had the whole 24 hr period graphed and they were not the same. Maybe, data outside of RTH is not to be trusted? Too illiquid and spikey?

    Sheesh. Someday I'll get this stuff down...maybe! :D