Hi,

Does anyone know how to consolidate Minute future data into daily future data based on trading hours (i.e. 6 pm EST to 5 pm EST the next day, adjusted for holidays or short trading days if applicable)

I have tried the 2 options below and it only consolidates data based on actual time. (i.e., 00:00:00 - 00:00:00 next day)

# option 1
self.Consolidate(self.es.Symbol, Resolution.Daily,
 self.DailyConsolidate)

# option 2
consolidator_daily = TradeBarConsolidator(timedelta(days=1))
consolidator_daily.DataConsolidated += self.OnDataConsolidated
self.SubscriptionManager.AddConsolidator(
self.es.Symbol, consolidator_daily)

And I notice that in the Calendar, there is no Daily option. There are only Weekly, Monthly, 

Can anyone teach me how to consolidate data based on trading hours?

Really appreciate the help in advance!