Would it be possible to get price and volume data for the last 30 minutes of each day? So instead of just close(0) we could have close_last30(0) etc?
I don’t think P123 has intraday data.
No it does not I am wondering if it would be difficult to just get one intraday data point.
Hi,
Thanks for the suggestion.
Intraday trading data isn't on our features roadmap at this time. Our data model is built around daily point-in-time data, and adding intraday granularity would be an undertaking that we're not currently planning for.
Yes but this idea would not be true intraday granularity (which would multiply the rows in your database by however many bars per day you’d want). What I am suggesting is adding one new column which is 3:30pm price. Its not a major update to the database just think about it like one additional daily data point, instead of OHLC data points for each, its OHLC + 3:30pm price for each day.
I understand the idea, and from a storage perspective it's only one additional data point per day per ticker rather than full intraday OHLC bars.
The challenge is that, to be useful within the platform, it would need to behave like our other price/volume functions and be available historically for prior dates. In other words, we couldn't just start storing a 3:30 p.m. price going forward, we would also need to build a historical database of 3:30 p.m. prices so that the value could be referenced consistently across time.
Once you require historical coverage, the scope becomes larger than simply adding one new column to the current daily database.