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.

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()
);

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