Discrepancy between Minute and Daily data by Fidelity
Author: ronc
Creation Date: 6/6/2020 7:46 PM
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In WLPro, using Fidelity data for symbol SPY, the close price of the last 1-minute bar of each day does not equal the close price of the daily bar for that day. Example: (time,O,H,L.C,vol):

Daily bar:
1-min day end bar:

The end-of-day close values are similar but never equal. Interestingly, the start-of-day open values do match. Which has the correct end-of-day close price, the daily bar or last minute bar?

I have not checked other symbols for this issue.
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Matching intraday and Daily close price

See Cone's posts #6, #8 and #12
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In short..

For the close, intraday data is simply the last full-lot trade (100 shares or more) that occurs at or before 16:00:00 ET (or 13:00:00 on short sessions). Daily data uses the exchange's official close.. Here's how that's determined on the NYSE: https://www.nyse.com/publicdocs/nyse/regulation/nyse-arca/NYSE_Arca_Rule_1.1.pdf Note that ALL end of day providers use the official closing price.

For the open, nearly all providers report the first full-lot trade that takes place at 09:30:00 ET for both daily and intraday data. Wealth-Data uses the first trade in the primary market - and for good reason. For more on this the faq at Wealth-Data.com.

Finally, make sure to review this old post, as it's still valid.
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