I can't help much (still a beginner), but I can tell you my experience. I use IB as my broker, and MultiCharts as my platform. Because of timing issues, I found out recently that my bars were being drawn all wrong, especially at the open, and so when the 1 minuet bar in the IB charts had closed already, the bar in Multicharts still had about 20 second left before it closed. I found a setting to force MultiCharts to use the time data from the server. But in MultiCharts, I still have my opening bar for the trading session be my 8:31 bar, and not the 8:30 as with IB. I'm not sure why this is, but this is what I have. I'm still not sure why sometimes the bars in MC have an entry or exit that are off by a tick, especially since MC just uses the data the IB provides, but oh well, this I can live with and I can refresh the data and in about 3 or 4 seconds it all matches up, except of course that the 8:31 bar is still the opening bar in MC whereas the 8:30 is the opening bar in the IB charting which is Trader Workstation.
It looks like the two programs follow a different interpretation: first interpretation: for example at 8:30 the logic is that when we start 8:30 we close the minute 8:30. So all quotes between 8:29 and 8:30 are included. second interpretation: for example at 8:30 the logic is that when we end 8:30 we close the minute 8:30. So all quotes between 8:30 and 8:31 are included. The difference between the 2 approaches is exactly 1 minute, the difference that i see in timing and quotes. that can explain what is happening. It is clear that for some reason one company says it is 8:30 and the other one says it is 8:31.
This is exactly what I thought as well in relation to the interpretation. If anything, I think it makes more sense to call it the 8:31 bar since this is when it closes. Its frustrating that given that all of this data is from one source, since all the trades happen at one exchange, that there can be these differences. (I know nothing about the routing of the trades mind you... but perhaps this just relates only to stock as well) And although I can see how being a second off could explain why a bar might be a tick off in relation to the open or close of a bar, why the fill on a trade that is above the top or bottom of a bar is a mystery. If price never went that high for the bar to print at the top where your entry is marked, then why does your entry get filled anyway??? (this relates to the original question of course in that there is a fill outside of where the data says that price traded) Oh well...