The atomic structure of CoPt and FePt nanoparticles (with a diameter between 2 and 5 nm) has been studied by transmission electron microscopy. The particles have been produced by a laser vaporization cluster source and annealed under vacuum in order to promote chemical ordering. For both alloys, we observe a coexistence of crystalline and multiply twinned particles with decahedral or icosahedral shapes. In addition to particles corresponding to a single L1(0) ordered domain, we put into evidence that even small particles can display several L1(0) domains. In particular, the chemical order can be preserved across twin boundaries which can give rise to spectacular chemically ordered decahedral particles made of five L1(0) domains. The stability of such structures, which had been recently predicted from theoretical simulations, is thus unambiguously experimentally confirmed.