Futures: Consolidate minute resolution into daily resolution based on trading hours

I worked out a way to have this implemented. However, the first day in the backtesting is off a little bit as the data feed starts from midnight. Hope someone else has a better way to implement this. And if anyone sees any issue, would appreciate it if you could let me know.

class AlgoStrategy(QCAlgorithm):

    def Initialize(self):
        self.SetStartDate(2021, 12, 30)
        self.SetEndDate(2021, 12, 31)
        self.SetCash(60000)
        self.SetTimeZone("America/New_York")
        self.es = self.AddFuture(
            Futures.Indices.SP500EMini, dataNormalizationMode=DataNormalizationMode.Raw, dataMappingMode=DataMappingMode.OpenInterest, contractDepthOffset=0)

        consolidator_daily = TradeBarConsolidator(self.FutureDaily)
        consolidator_daily.DataConsolidated += self.OnDataConsolidated
        self.SubscriptionManager.AddConsolidator(
            self.es.Symbol, consolidator_daily)
            
    def FutureDaily(self, dt):
        if dt.time() >= time(18, 0, 0):
            start = dt.replace(hour=18, minute=0, second=0)
            next_day = dt + timedelta(days=1)
            end = next_day.replace(hour=17, minute=0, second=0)
        else:
            prior_day = dt - timedelta(days=1)
            start = dt.replace(day=prior_day.day, hour=18, minute=0, second=0)
            end = dt.replace(hour=17, minute=0, second=0)
        self.Log(f"{start} to {end}")
        return CalendarInfo(start, end-start)
        
    def OnDataConsolidated(self, sender, bar: TradeBar):
        self.Log(
            f"{bar.Period} - Open: {bar.Open} - Close: {bar.Close} - High : {bar.High} - Low: {bar.Low}")