I wanted to share an algorithm where you can generate yesterday (9:30am - 4:00pm) High from 5-min 24hr data. I used Math.Max method (introduced earlier to me by Alexandre Catarino) and Rolling Windows.

1st you find intraday High between those hours; then you make an assumption that intraday High up to 4pm is that day's High. Lastly you place those 'intraday Highs up to 4pm' into a RollingWindow.

RollingWindow[1] is Yesterday's High. RollingWindow[2] is Day Before Yesterday High.