What generally happens to the trades that occur at 4:00 and 4:01 with regard to which intraday bar they're placed in? Is accepted practice to create a new bar or bucket them into the bar ending at 3:59pm? A tiny one or two minute bar including only 4:00 and 4:01 tacked onto the end of a 20min or 30min intra chart can seriously skew things such as ATR. Note: This obviously only applies to bars of 5 minutes or greater as the difference is trivial in shorter bar lengths. Thanks, Rich