I'm looking for treasury prices (not yield) in OHLC format. On websites like this you can see it has intraday data, so we could drive an OHLC from it? But I can't find a website that lets me download such data. On JPMorgan I can download day by day Mid Prices; those can't be converted to OHLC, or even OC right? Because (at least in equities) the close price of one day is not the open price of the next day, and I assume this is true of bonds as well. Please pardon if this is a simple question, I'm new to quant finance.
Welcome to fixed income data problems padawan!
I mean, if you really wanted to, you can convert it. But the problem is the that a lot of these prices are lagged by varying measures with inconsistent updates and inaccurate from market convention prices outside of a few sources.
Only way I've obtained what you are asking for is asking my friend at a bank to hook me up. Data providers guard this stuff zealously and OHLC intraday data is more expensive the higher frequency it is.
ps: what JPM link are you talking about?