This is a constant problem that I have not yet worked out.

I have attached a simple code that attempts to find the Open/Close in two different methods. One is by using Timestamps, and the other using the TimeSpanConsolidator class making a one day bar. Both seem to be ineffective, here is the log:

12/01/14: Open: 206.40, Close: 205.76
12/02/14: Open: 205.81, Close: 207.09
TIME: Open: 206.43 Close: 205.77
CONSOL: Open: 206.43 Close: 205.77
TIME: Open: 205.81 Close: 207.04
CONSOL: Open: 205.8 Close: 207.04