A direct application of Tensor Principal Component Analysis (TPCA introduced by Babii et al. in 2022) of the intraday stock returns does not yield sensible result due to a combination of small sample, strong intraday heteroskedasticity, and large error. This paper proposes a weighted version of TPCA that can potentially mitigate the issue and preserve the asymptotic properties and test implications of the TPCA.