var groupedData =
    from s in db.Intraday
    where s.Date >= dateFrom && s.Date <= dateTo
    group s by new
    {
        Year = s.Date.Year,
        Month = baseUnit >= BaseUnit.Months ? s.Date.Month : 1,
        Day = baseUnit >= BaseUnit.Weeks ? s.Date.Day : 1,
        Hour = baseUnit >= BaseUnit.Hours ? s.Date.Hour : 0,
        Minute = baseUnit >= BaseUnit.Minutes ? s.Date.Minute : 0
    } into g
    select g;

var points =
    from g in groupedData.ToList()
    select new StockDataPoint
    {
        Date = new DateTime(g.Key.Year, g.Key.Month, g.Key.Day, g.Key.Hour, g.Key.Minute, 0),
        Open = g.Max(s => s.Open),
        High = g.Max(s => s.High),
        Low = g.Min(s => s.Low),
        Close = g.Max(s => s.Close),
        Volume = g.Sum(s => s.Volume)
    };

result = points.ToList();