private SessionIterator sessionIterator;
private DateTime sessionBegin;
private DateTime sessionEnd;

protected override void OnBarUpdate()
{
    base.OnBarUpdate();

    if (base.CurrentBars[0] < base.BarsRequiredToPlot)
    {
        return;
    }

    if (this.sessionIterator != null)
    {
        if (base.IsFirstTickOfBar && base.Bars.IsFirstBarOfSession)
        {
            if (this.sessionIterator.GetNextSession(base.Time[0], false))
            {
                this.sessionBegin = this.sessionIterator.ActualSessionBegin;
                this.sessionEnd = this.sessionIterator.ActualSessionEnd;
            }
        }
    }
}

if (this.Bars != null)
{
    this.sessionIterator = new SessionIterator(this.Bars);
}