Converting intraday to daily based on fixed start/end times


I have 5 minute bar stock data and want to create some indicators using daily data. I have tried using TimeFrameSet but that does not give me the result I desire. The problem is for say the 11am bar when I use set the timeframe to daily it creates daily bars from 11am to 11am of the previous day. Instead I want to look at daily bars of the standard day of 9:30am to 4pm. I think I could probably do this with some loops but just wondering if there is a more efficient way.

You don’t need loops. Recommended reading: