I have been working on a quotebar consolidator that consolidates bars once a day at a specific time in a specific timezone.


  • Set your data resolution to at least Resolution.Hour. If your time of day has a minute-component, you will need Resolution.Minute. Same if your time of day has a second-component (Resolution.Second).
  • Example: Consolidate bars at 3AM London time every day:
MyConsolidator = new ZonedTimeOfDayQuoteBarConsolidator( dailyCloseTime: TimeSpan.FromHours( 3 ), closeTimeZone: "Europe/London", exchangeTimeZone: security.Exchange.TimeZone.ToString() );

I have tested this in backtests and am currently using it on my live deployment without issues.

Hopefully some of you find this useful. Submit issues and PRs in the repository linked if you have suggestions or comments.