In my algo strategy, I am fetching 5 min OHLC I have observed that the closing value of say 9:35am candle change after 5 min when data is fetched at 9:40am.
I am attaching 1 example. There were many such cases throughout the day.
In the attached example, compare Close[-1] of 5min candle which closed at 9:55am to Close[-2] of candle which closed at 10am. Yesterday I found that even High and Low of previous candle has changed. Screenshot attached.