ATR on modified time frame

edited August 2016 in Charting
I'm trying to write a formula that calculated a simple daily average true range but rather than calcualting this on the daily bars which CQG provides, have it calculate on my own customized open and close times.  For example, I'd like to calculate a 100 day daily atr (simple average)  on crude fuutres but only using the time frames between 9am and 12pm eastern tme.  If I use the CQG provided atr study (say on CLE futures) and append with a ",D" to get the daily ATR, it will give me the atr on the full session CLE regardless of the customized begin and end session times I am using.   Is there a way to do this? 

On perhaps a related note, I am also trying to calculate the average opening range (say 15 minutes, but should be a parameter) of a contract for the last say, 10 days (another parameter).  What's the best way to code this?

thank you in advance


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