REPORT / GAP FILL
Does the open close back to yesterday?
58%filled the cash session gap, over 1,320 sessions
gap up57%n 736
gap down59%n 584
Built on a continuous index proxy, validated against CME data.
Session
New YorkGlobex
Lookback
By weekday
share of sessions55
monn 24858
tuen 27864
wedn 27255
thun 26658
frin 256By size
share of sessions87
1 to 8 ptsn 33068
8 to 17 ptsn 33048
17 to 30 ptsn 33029
31 to 488 ptsn 330By move against
how much heat it took first94
0 to 3 ptsn 33086
3 to 12 ptsn 33042
12 to 32 ptsn 33010
32 to 224 ptsn 330| Session | Outcome | Direction | Size, pts | Against, pts | Extension, pts | Minutes |
|---|---|---|---|---|---|---|
| 2026-09-04 | unfilled | down | 12.38 | 29.58 | - | - |
| 2026-09-03 | unfilled | up | 27.61 | 61.32 | - | - |
| 2026-09-02 | unfilled | up | 8.17 | 40.32 | - | - |
| 2026-09-01 | unfilled | down | 48.73 | 25.71 | - | - |
| 2026-08-31 | unfilled | down | 20.55 | 26 | - | - |
| 2026-08-28 | filled | up | 7.26 | 13.38 | 27.64 | 36 |
| 2026-08-27 | unfilled | up | 24.78 | 38.91 | - | - |
| 2026-08-26 | filled | down | 11.67 | 0 | 14.83 | 4 |
| 2026-08-25 | filled | up | 25.63 | 6.7 | 4.11 | 60 |
| 2026-08-24 | unfilled | down | 9.29 | 26.38 | - | - |
| 2026-08-21 | unfilled | up | 32.71 | 19.36 | - | - |
| 2026-08-20 | unfilled | down | 32.76 | 39.08 | - | - |
| 2026-08-19 | unfilled | up | 28.72 | 21.72 | - | - |
| 2026-08-18 | unfilled | down | 41.38 | 16.86 | - | - |
| 2026-08-17 | filled | down | 1.51 | 1.38 | 3.86 | 0 |
| 2026-08-14 | filled | up | 6.03 | 0 | 24.61 | 0 |
| 2026-08-13 | unfilled | up | 23.92 | 45.15 | - | - |
| 2026-08-12 | unfilled | up | 43.35 | 2.14 | - | - |
| 2026-08-11 | filled | up | 14.63 | 0.61 | 37.11 | 5 |
| 2026-08-10 | filled | down | 4.71 | 0.76 | 18.79 | 0 |
Built from a Nasdaq 100 / S&P 500 / Dow 30 index tape, not from exchange futures ticks. Bar to bar return correlation against real MNQ is 0.988 over a 5,238 bar overlap, and 93 to 94 percent of swing pivots land on the same bar. The one minute pull is cross checked against a lossless local tick set over 2026-06-10 to 2026-08-25 and must correlate above 0.98 to ship. Levels are relative, so the rates hold; absolute prices carry a basis of roughly 160 points that drifts.
Sample runs 2021-01-05 to 2026-09-04, 1,320 sessions. Skipped: 47 half days, 58 data holes, 54 sessions the report did not apply to.