the gap fill report on edgeful analyzes price gaps between consecutive trading days by comparing each day's open to the previous close. it calculates gap fill rates based on whether the daily low reaches the gap up close level or the daily high reaches the gap down close level.

you get statistics on gap frequency, fill rates, and detailed gap records with dates and classifications.

this is one of the 150+ reports available on the edgeful platform. here's how it works, what the data shows, and how traders use it.

table of contents

• what the gap fill report measures
• how the calculation works
• available subreports
• how traders use gap fill data
• combining gap fill with other reports
• key takeaways

what the gap fill report measures

the gap fill report analyzes price gaps between consecutive trading days by comparing each day's open to the previous close. it calculates gap fill rates based on whether the daily low reaches the gap up close level or the daily high reaches the gap down close level.

the report is available for futures, stocks, ETFs, forex, and crypto. you can filter by ticker, session (NY, London, Asian, full globex, or custom), and lookback period (1 month to 5+ years).

how the calculation works

the gap fill report compares each day's opening price to the previous day's closing price to identify price gaps.

• when the market opens higher than yesterday's close, that's a gap up. when it opens lower, that's a gap down
• the report then checks whether price fills that gap during the trading session, meaning it trades back to (or through) the previous day's closing level
• you can customize the fill threshold. a 100% fill means price fully closed the gap, while lower percentages track partial fills
• gap size is measured as the distance between today's open and yesterday's close
• the report calculates how often gaps occur, how often they fill, and breaks down the data by gap direction

available subreports

the gap fill report has 6 subreports for deeper analysis:

by close. analyzes opening gaps in price data by comparing current day open prices to previous day close prices, tracking whether gaps get filled during the trading session and whether the closing price finishes green or red relative to the previous close. Calculates statistics for both gap up and gap down scenarios with performance breakdowns.

by fill time. analyzes price gaps between trading sessions to determine fill rates within specified timeframes. Processes historical data to identify gap up and gap down scenarios, calculates gap fill levels based on percentage parameters, and tracks whether gaps fill before or after a specified time cutoff. Returns statistics on fill rates for both trimmed time periods and full trading days.

by prev candle. analyzes price gaps between consecutive trading days by comparing current day open price to previous day close price. Tracks gap up and gap down occurrences, determines if gaps get filled based on a percentage threshold, and categorizes results by previous day candle color (green or red). Calculates detailed statistics and percentages for each gap type and fill status.

by size. analyzes price gaps between previous day close and current day open, categorizing gaps by dollar size ranges and percentage size ranges. Calculates gap fill rates for each category by checking if the gap was closed during the trading day based on a configurable percentage threshold.

by spike. analyzes price gaps between consecutive trading days and measures spike movements that occur when gaps get filled.

by weekday. analyzes price gaps between daily closing and opening prices, categorized by weekday. Calculates gap up and gap down frequencies, determines if gaps are filled based on a percentage threshold, and provides statistics for each day of the week including gap direction and fill rates.

how traders use gap fill data

• identifying gap fill probabilities for entry strategies after price gaps occur
• setting profit targets based on historical gap fill percentages and close levels
• risk management by understanding gap frequency and typical fill rates
• backtesting gap trading strategies using statistical fill rate data
• market analysis to determine optimal gap percentage thresholds for trading

the data doesn't tell you to trade. the gap fill report tells you the historical performance of the setup in front of you. what you do with that information is your decision.

results require customization, time, and effort. the numbers change depending on your ticker, session, and lookback period. always check the data for your specific conditions.

combining gap fill with other reports

the gap fill report works best when combined with other edgeful reports for confluence:

• use the what's in play dashboard to see gap fill data alongside your other favorite reports in one view
• the screener lets you scan up to 49 tickers for gap fill setups across 4 reports simultaneously
• edgeful AI can analyze gap fill data alongside other reports and find patterns you'd never spot manually

key takeaways

• the edgeful gap fill report measures analyzes price gaps between consecutive trading days by comparing each day's opening price with the previous day's closing price.
• available for futures, stocks, ETFs, forex, and crypto with full session, ticker, and date range filtering
• 6 subreports available: by close, by fill time, by prev candle, by size, by spike, by weekday
• part of the 150+ reports included in the edgeful essential plan ($49/month or $39/month annual)
• works best when combined with other reports using what's in play, the screener, or edgeful AI

trading involves risk. past performance and historical data do not guarantee future results. the statistics referenced in this post are based on historical data and may not reflect future market conditions. always trade with proper risk management.