Hi There, how you doing?

Is there any way that I can set Session start time and Session end time at intraday timeseries?

For example the SP500 future @ CME Globex: Sunday - Friday 6:00 p.m. - 5:00 p.m. Eastern Time (ET) with trading halt 4:15 p.m. - 4:30 p.m

Hi Yuri,

Although you can use the Bars.MarketInfo properties (OpenTimeNative/CloseTimeNative) to set the start/end of day in a Strategy (see the QuickRef tool - F11 key), the preferred way is to use the Market Manager tool. For data providers that support it, the MM makes it much easier:

Market Manager > Market Manager Options

Note that there's a limitation: data will not be shown for intraday symbols trading round-the-clock if their close time precedes the open time (e.g. Open = 6:00 pm and Close = 5:15 pm). Unfortunately, this looks like your case.

thanks!

De nada.