Just an update to this thread to share experience in case another new user of Zorro like me running into similar issue.

So I had to develop another script to remove the pre-market and after-market ticks from the data file to produce the plot, OHLC, ATR values "closely" matched to what Sierra Chart (where the data is from) show.

Another minor issue, looks like the run() function is executed about 500ms off of the market open time set in StartMarket, therefore it misses a few ticks, hence OHL values are slightly off.