JCL,
to work around the EndM>StartM limitation, I have played with StartMarket/EndMarket as follows:
Quote:
StartMarket=000;
EndMarket=1701;

if (time>=1716) { StartMarket= 1717; EndMarket=2359;}

AssetMarket=ET;
Weekend=1+8;

TimeFrame=AssetFrame;
It works and correctly handles 1700 ET close -> 1715 ET start transition. But then the first bar of the new day - 015 ET- is skipped for some reason.

Quote:
[490: Wed 16-05-11 03:55] (123.89)n AssetFrame=1 ET Time=2355, O= 123.93600, C= 123.89200

[491: Wed 16-05-11 04:15] (123.89)
[492: Wed 16-05-11 04:35] (123.86)n AssetFrame=-1 ET Time=35, O= 123.89200, C= 123.86300

[493: Wed 16-05-11 04:55] (123.82)n AssetFrame=1 ET Time=55, O= 123.86300, C= 123.81700

Interestingly, if I only leave the session as 000-1701, the first frame/bar is indeed 015, as expected.