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This algorithm can be found in the futures contract specifications on exchange website. This official settlement price is not the same price as the last trade price at the end of the trading session. In general the close prices will not exactly match between Historical Daily charts and Intraday...
Historical Daily charts use the official settlement pricefor the closing price of a bar and this is almost always different compared to Intraday charts. The official settlement price from the exchange is calculated using a certain algorithm. This algorithm can be found in the futures contract specif...