I like to backtest strategies on stocks where besides OHLC I also need some intraday trade data (30 minutes will do). I eventually purchased 1-minute intraday stock data (trades). These data also contain pre-session and after-hours trades. But the data does not contain the official close price. It seems if there is no after-hours trading the close of the last bar (15:59) equals the official close. If there is after-hours trading the open of the 16:00 bar sometimes equals the official close. But in most cases these data does not contain the official close at all. Asking the support they said it is not possible to reconcile intraday data and EOD data 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. Is this correct? If it is, which dataset should I use if I need intraday plus close of the day? Do I have to compile my own dataset from intraday + EOD? E.g. taking intraday bars (9:30-15:59) and replace last bar's close by EOD's close? Which means I would have to purchase two datasets - intraday and EOD?
Tip: daily EOD data for whole market you can get free of charge from www.eoddata.com But you need to be a user there.
Firstratedata is the vendor I mentioned where I purchased intraday stock data which do not contain the official close price (at 16:00 ET). Is their explanation correct (message #1)?
For most stocks I believe you want the EOD auction price. Here is an explanation of how this works at NASDAQ. https://www.nasdaqtrader.com/content/productsservices/Trading/ClosingCrossfaq.pdf