Why are Open and Close prices of adjacent candles sometimes not equal?

The policy of closing periods/candles in Trade Interceptor is the following:

When a candle closes, the next candle starts to print when the next tick arrives.

If the next tick happens to be different than the closing tick of the previous candle, then a small gap occurs (old close not equal to new open). This is usually observed in very small time frames like 1 and 2 min since the scales are tiny and these "gaps" sometimes look relatively big. This only depends on the price difference between these closing and opening ticks.

Printing close and open to match each other for that purpose only is wrong. There must be actual quotes which will define whether the opening price should be equal to the preceding closing price or not.

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