I am trying to consolidate futures minute data to daily bars. Therefore I created a consolidator as follows:

var consolidator = new TradeBarConsolidator(TimeSpan.FromDays(1));

Unfortunately, this gives a bar starting from 11pm America/Chicago time --> + 1 day, which is the standard NY day, but which is not the exchange trading time. 

How to consolidate according to exchange trading hours?

e.g. pseudo code for Gold Futures "GC" trading from 5pm to 4pm Chicago time.

var consolidator = new TradeBarConsolidator(GC.MarketOpen, GC.MarketClose);