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 |
|---|---|---|---|---|---|---|
| 2026-08-07 | unfilled | up | 23.3 | 30.76 | - | - |
| 2026-08-06 | filled | up | 4.28 | 5.3 | 22.9 | 2 |
| 2026-08-05 | filled | up | 46.24 | 10.5 | 18.45 | 139 |
| 2026-08-04 | unfilled | up | 29.49 | 127.97 | - | - |
| 2026-08-03 | unfilled | up | 26.92 | 92.42 | - | - |
| 2026-07-31 | filled | up | 27.65 | 16.38 | 43.47 | 20 |
| 2026-07-30 | unfilled | up | 63.49 | 64.8 | - | - |
| 2026-07-29 | filled | up | 7.55 | 0.02 | 99.18 | 0 |
| 2026-07-27 | filled | up | 60.53 | 6.26 | 29.78 | 59 |
| 2026-07-24 | filled | up | 1.22 | 5.5 | 9.67 | 1 |
| 2026-07-23 | unfilled | down | 81.91 | 40.3 | - | - |
| 2026-07-22 | filled | down | 17.58 | 2.25 | 17.22 | 26 |
| 2026-07-21 | unfilled | up | 40.98 | 27.74 | - | - |
| 2026-07-20 | filled | up | 37.36 | 18 | 17.5 | 311 |
| 2026-07-17 | unfilled | down | 89.06 | 12.26 | - | - |
| 2026-07-16 | unfilled | down | 19.74 | 48.47 | - | - |
| 2026-07-15 | filled | up | 22.86 | 13.77 | 18.14 | 153 |
| 2026-07-14 | filled | up | 17.41 | 8.49 | 5.35 | 46 |
| 2026-07-13 | unfilled | down | 24.89 | 43.78 | - | - |
| 2026-07-10 | filled | up | 4.7 | 12.4 | 35.36 | 62 |
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.