SessionIterator

protected override void OnDataPoint(Bars bars, double open, double high, double low, double close, DateTime time, long volume, bool isBar, double bid, double ask)
{
   // build a session iterator from the bars object being updated
   if (SessionIterator == null)
     SessionIterator = new SessionIterator(bars);
   // check if we are in a new trading session based on the trading hours selected by the user
   bool isNewSession = SessionIterator.IsNewSession(time, isBar);
   // calculate the new trading day
   if (isNewSession)
     SessionIterator.CalculateTradingDay(time, isBar);
   Print(SessionIterator.ActualTradingDayExchange);
}