Daily Bar from interday data

[sam.burn]

Would like to made a Daily Bar from interday data so can control session times.
eg Would like daily to start at session start and finish at one minute before next session start time. Not midnight.
Any ideas.

[Guest]

Sam,

I'm not entirely sure what you are trying to achieve, but you could try to use the amount of minutes the day has, ie. if the market is open 8 hours, use an interval of 480 minutes. Using then as well time templates, you should be able to achieve what you need.

[ACM]

sam
In addition to what Elmar said consider also that daily bars are already based on a security's trading session times (including Settlement) and not on midnight.
For example the data for the daily bar of ES goes from 16:30 EST (ie the open of the e-mini S&P session) to 16:15 EST of the following day (ie the end of the trading session) and then includes the Settlement (transmitted usually at 16:20 EST)
Alex