Trying to exclude overnight data to create SMA from intraday data

Trying to create SMA-40 from intraday 5-min data. The data includes extended hours. I would like SMA-40 to be formed from yesterday's and today's regular sessions' data, excluding overnight hours. So far, I have been unsuccessful not to include hours from 16:00 pm to 9:30 am.

See my code. I would appreciate any advice.

Update Backtest

I found a solution to the above problem. I created another class for my data and excluded the overnight hours by the following code inside of BaseDate Reader:

if (cmBar.Time.TimeOfDay < new TimeSpan(9, 30, 00) ||
cmBar.Time.TimeOfDay > new TimeSpan(16, 10, 00))
return null;

Now I have 2 classes that hold the data: 1st - original, 24hrs data; and 2nd - data excluding overnight hours. After that, I had to create another OnData method, that passed the data from newly created class, specifically for SMA.

See the algorithm.


I am new to this, so don't know the anwers. However, As a C# dev i suggest you start use variables for readability. It also prevents you to make errors.

var a = BarHistory[0];
var b = BarHistory[1];

if (a.RealBody > (decimal)0.75 && a.Close < a[0].Open && a.Volume > b.Volume &&


Thank you for your great and timely advice. I just began thinking how cumbersome my algorithms are beginning to look.  Even to myself, and I wrote them. Readability is definitely very important .


Update Backtest


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