I'm having trouble trying to understand why the daily closing prices don't match the closing prices of shorter time frames (1M, 5M ...) at the end of the trading session.
For example, I use OpenTick as my data provider, and have charts open for NDX (NASDAQ 100 index), S&P500 index and SPY.
It's only when I chart daily candles that the closing prices match the official closing prices from the exchange. On shorter time frames, shouldn't the closing price of the last candle of the session (at 4:00PM ET) be the same as the daily closing price?
What am I missing?
-- Peter
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