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You should not take the close, but the settlement price.
For the high and low, both is possible. Originally traders used the pit session high and low. But more and more traders now use the ETH high and low. Whether the majority uses the RTH (pit session) or the ETH pivots really depends on the instrument.
Attached ETH and RTH pivots for ES 06-12 and GC 06-12 for last Friday. From this example you would get the impression that RTH pivots work better for ES, while ETH pivots work better for GC. However, this is just a single day, and you would not base your judgement on a single day. If you do this back to the beginning of the year you will have your own opinion on which of them work better.
The settlement price is used to calculate your daily profit and loss for an open futures position and is thus the base for margin requirements.
Example 1: ES
The last traded price is the price at which the last transaction occurred at 3:15 PM Central Time.
The settlement price is the volume weighted average price of all transactions which occured between 3:14:30 and 3:15:00 Central Time. But attention, there are a few exceptions. On the last business day of the month, the settlement price is calculated from the index price via a fair value approach. The index value is taken at 3:00 PM, which is 15 minutes prior to the close of the futures session. There can be a significant difference bewteen the settlement price and the close on the last business day of the month. Also there are 6 days per year, where no settlement price is determined. And then there are a few days, where the settlement price is taken from the previous day.
Example 2: GC
The last traded price is the price at which the last transaction occurred at 5:15 PM Eastern Time.
The settlement price is the volume weighted average price of all transactions which occured between 1:29:00 and 1:30:00 PM Eastern Time. There are also 6 days without settlement and a few exceptions, but even on normal days the settlement price is taken about 3 hours and 45 minutes prior to the close. This can make up for a significant price difference.
