What is Intraday Data?

Intraday data is typically the open / high / low / close / volume of a security taken at intervals during the trading day. The intervals are usually called ‘bars’ and so a 1-minute bar would be the open/high/low/close/volume for that one minute period during the day. 

For example, for Dow Jones Industrial - DJI Intraday , the below are the first 1-minute bars for Jan 2, 2020 :

{timestamp, open, high, low, close, volume}

2020-01-02 09:30:00,28639.0,28666.6,28638.9,28666.5,748305
2020-01-02 09:31:00,28666.3,28670.9,28655.6,28656.6,999749

What is the Use of Intraday Data?

End of day data often masks some vital information for both long-term and short-term investors. For short-term investors (typically with an investment horizon less than two days) intraday data is obviously an essential resource since they are trading in and out of a stock during the day and need to evaluate the intraday trading patterns. 

Long-term investors will also use intraday data to search for specific patterns that would give an indication on the long term prospects of a stock. For example, the consistently high volume bars accompanied by upward price moves can indicate sustained buying  interest, very likely from a large institution or insider. 

Issues with Intraday Data

It should be noted that working with intraday data is more complex that end of day data and presents some issues that users need to be aware of. 

First, is selecting the granularity of the data. Intraday data goes down to one-second bars - however if such a high-frequency is required then using tick data would be preferable. 

In general, intraday traders will select either five-minute or one-minute bars  whereas for long-term investors one-hour bars are usually sufficient. 

It should be noted that intraday data often does not align with the exchange’s official open and close (eg the open on the first intraday bar does not match the exchange’s open). This is because the exchange usually has specific rules governing the official open and close prices, whereas the intraday bars are  simply the first and last trades recorded