I've checked the Documentation (https://www.quantconnect.com/docs/algorithm-reference/historical-data) but could not find any examples for handling historical Tick data.

5 Minutes before the Market opens I want to process the Tick-Data of the last 2 trading days to make a guess for the upcoming session. Its very important that the last 2 days are trading days (e.g on a Monday I want to process Thursday and Friday). 

Any hints how to achieve this?