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In any given price bar is the highest price in that bar usually a purchase at the bid and the lowest price in that bar usually a sale at the ask ? I would expect that that is USUALLY the case , but are there exceptions ? I have tried to watch the Time and Sales to see but it goes by so fast . I would not expect to see a large contract size violating the above general rule , as presumably any reasonably sized order entry would simply shift the bid or ask further in it's respective direction , but perhaps a contract or two could slide by ? I mean if the inside ask was being offered at the same price that a bid has been hit at very shortly before , and the current inside bid was of course a quarter point above but no-one hit that bid for a purchase then the high price would be a sale right ? How common is that ? I am not operating on much sleep here so I hope I am making sense to somebody ! The reason why this is of great interest to me is because I am wondering if when you look at a chart in retrospect and/or back test a strategy and the system you are utilizing sold short at the top of a bar or bought at the bottom is such a result possible in actual trading ? I would suspect that it is usually not , but is it ever , at even very small size (say a single contract) ? Regardless of liquidity if contracts are never offered at a given price they can never be bought or sold there right ? Any input ?