OK, I understand the problem now. You're effectively getting all of the one minute bars for the entire day, which is not going to match the daily bars constructed by something like Yahoo that only takes the prints during market hours. Some ideas that come to mind might be to derive from the IQFeed plugin and discard the 1 minute bars that fall outside of the desired hours. If you're using a database store, it might be a simple delete statement to remove these bars from the store. Finally, you could create a custom data store plugin that only returns the data you require. Again, deriving from an existing plugin instead of reinventing the wheel.
I'm not sure I understand the last part about creating a custom indicator from the daily bar and custom daily bar. Aren't you trying to make the daily bars match? Or do you still have a use for daily bars that are constructed from the 1min bars that which print outside of market hours?
It would be nice to have a way to tell the frequency object to only create bars using marketHours.
That is instead of using the 12:00AM to 11:59PM trades...only use 9:30 to 4:00PM. This way the daily bars match up with Yahoo.
The 12am to 1159pm bar is worthless especially since you will unlikely find a gap on the daily anymore (at least not an accurate one)
Having this ability to create daily from 1min market hours would take my backtesting to another level.
FYI...I use IQfeed to pulll my 1 min bars.
Because I really don't want to wait for the next release if you agree with the above....can I use the example here to create both my daily bars and to create an indicator off my custom daily bar? Do you think that would work?