Charts can use either Natural or Session hours in forming bars. Natural hours start at the top of the hour, so the first bar of the regular market in Natural hours would be from 9 AM to 10 AM ET. Session hours begin at the start of the session. Since the Regular Trading Hours for AAPL start at 9:30 AM, the first hour of the chart in Session hours would start at 9:30 AM ET and run until 10:30 AM ET.
As you can imagine, a chart set for Natural Hours could look quite different from a chart set for Session hours. Think of that first hour. For equities during regular trading hours, the first natural bar would only include data from 9:30 to 10:00 ET (even though there's no RTH data from 9 to 9:30). The first session hour bar would include 9:30 to 10:30 AM. For Natural hours, the 10 to 10:30 data would be in the 2nd bar of the regular trading hours session.
The following sections explain how to choose between Session and Natural hours in TradeStation and ThinkorSwim. When learning how to use these settings, you can bring up the hourly chart, for example, and then see what the impact is regarding each bar's starting and ending time.
How do we choose between these in TradeStation?
In TradeStation, we can choose between the two within the Format / Symbol dialog, as shown in the following image. The menu to the right, labeled For bar build, is the menu to select between Session Hours and Natural Hours. In this example, bars are set to build starting at the beginning of the session at 9:30 AM ET for the $SPX.X symbol. The first-hour bar would then cover 9:30 - 10:30 AM ET. If we set that menu to Natural Hours, then the first bar would only include half of that timeframe, or 9:00 to 10:00 AM ET. 10 to 10:30 would be in the 2nd bar, which runs from 10 to 11.
So how do we choose this in Thinkorswim?
In Thinkorswim, you'll need to set this up for Equities, Options and Futures individually. It's done via the Chart Settings dialog (click the gear icon to open Chart Settings). Locate the tab for the asset class you want to change (Equities, Options, or Futures), and find the Axis section near the bottom. In the following image, you can see Chart Settings with the Equities asset class tab selected. You'll see three checkboxes in the lower section called the Axis settings. The Start aggregations at market open checkbox determines whether you build bars at Session Start or "Naturally", at the top of the hour. The box is unchecked in this example, so Natural hours would be used. For the SPX, that would make the first bar of the regular trading hours 9:00 AM to 10:00 AM. If you check the box, then the first hourly bar would start at 9:30 AM and run until 10:30 AM ET. This selection is independent of whether extended hours are displayed, but you must uncheck the Show Extended Hours Trading session checkbox to be able to modify the aggregation button. Once you change the aggregation setting, you can recheck the extended hours button, and the aggregation button will still be in effect. The Highlight Extended Hours Trading session option provides an alternate background on the chart when the extended session is active. When unchecked, you won't see any indication of whether a bar is in the extended or regular trading hours part of a trading day.