LEAN Zoned Time Of Day Consolidator

LEAN Zoned Time Of Day Consolidator is an unofficial, alternative consolidator for QuantConnect's LEAN Engine that consolidates bars once a day at a specific time of day in a given timezone.

Precise bar consolidation is important in many aspects of trading, in particular in Forex and Commodity markets that tend to trade throughout the day in different timezones.

Getting Started

Usage:

• 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()
);

Acknowledgments

• Tony Shacklock for his work on a non-timezoned consolidator