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I have noticed when using CME RTH or ETH in any timeframe the first candle is omitted. Maybe I am missing something. For example 15min timeframe the first candle is 9:45am, not 9:30am. Is there a setting I need to change?
It is not a 15 min candle until 15 minutes have elapsed.
In real time data, the candle is 'forming' before the time elapses but is only complete when the time ends.
Candles form with Open, High, Low and CLOSE.
The Close is when the next candle Opens.
Before a candle closes, it can be a 5, 7, 9, 10, etc candle but can only be a 15 min candle after 15 min has elapsed.
