Who keeps a record of price and time data for their market? I am talking about the duration of movements (time) and the high - low difference (price). Has anyone constructed a successful trading model based on analysis of this raw data? What sort of information would it be useful to analyse? For example, the mini Dow index futures (/YM@CBOT). Here is part of a spreadsheet. What is recorded? First print at the 09.30 opening, last print at the 16.00 close. Previous days close (to calculate an opening gap magnitude). Then each significant intraday swing, with the high/low print of the move and the minute in which this occurred. With this sample screenshot shown, we see that there was a trade either at the open or within 7 minutes of the open in 10 out of 11 days. All of these were for greater than 20 points. So it would seem that if one knows the direction to trade at the open, this is the fastest 20 points on offer - or $100/contract gross. Further refining to know whether to trade at the open, or at a time within the next seven minutes would be helpful. As would the direction - perhaps could be calculated with reference to the prior N days net change on the day, the opening gap, and other supporting parameters? Could this model be expanded to give us even more information - likely time windows for intraday turning points? Taking this data going back to the very start of the YM contract, or back 3 years, 5 years etc - how much data do you think should be recorded. How long do the "patterns" persist for? 2008 onwards was volatile compared to say 2003. Would there be merit in taking so much data? What about the most recent 6 months only? What do folks here think? Has anyone done this type of analysis?