REPORT / GAP FILL
Does the open close back to yesterday?
60%filled the cash session gap, over 1,379 sessions
gap up59%n 743
gap down62%n 636
Built on a continuous index proxy, validated against CME data.
Session
New YorkGlobex
Lookback
By weekday
share of sessions60
monn 25959
tuen 28565
wedn 28161
thun 27856
frin 276By size
share of sessions88
1 to 35 ptsn 34571
35 to 73 ptsn 34554
73 to 143 ptsn 34528
143 to 991 ptsn 344By move against
how much heat it took first97
0 to 17 ptsn 34587
17 to 54 ptsn 34546
54 to 149 ptsn 34411
149 to 1053 ptsn 345| Session | Outcome | Direction | Size, pts | Against, pts | Extension, pts | Minutes |
|---|---|---|---|---|---|---|
| 2026-09-04 | filled | up | 63.26 | 104.77 | 54.63 | 78 |
| 2026-09-03 | unfilled | up | 59.28 | 335.71 | - | - |
| 2026-09-02 | filled | down | 25.8 | 80.12 | 87.97 | 44 |
| 2026-09-01 | unfilled | down | 386.07 | 109.41 | - | - |
| 2026-08-31 | filled | down | 51.28 | 18.61 | 50.21 | 1 |
| 2026-08-28 | filled | down | 65.62 | 64.04 | 121.08 | 10 |
| 2026-08-27 | unfilled | up | 232.56 | 175.98 | - | - |
| 2026-08-26 | filled | down | 96.64 | 0 | 100.53 | 1 |
| 2026-08-25 | unfilled | up | 198.26 | 122.95 | - | - |
| 2026-08-24 | unfilled | down | 155.02 | 289.32 | - | - |
| 2026-08-21 | filled | up | 178.9 | 0 | 68.98 | 22 |
| 2026-08-20 | unfilled | down | 169.78 | 142.37 | - | - |
| 2026-08-19 | filled | up | 114.59 | 45.77 | 205.1 | 10 |
| 2026-08-18 | unfilled | down | 398.62 | 171.72 | - | - |
| 2026-08-17 | filled | up | 79.29 | 65.48 | 74.8 | 224 |
| 2026-08-14 | filled | up | 55.33 | 26.71 | 153.98 | 6 |
| 2026-08-13 | unfilled | up | 58.26 | 359.23 | - | - |
| 2026-08-12 | unfilled | up | 358.49 | 9.47 | - | - |
| 2026-08-11 | filled | up | 98.34 | 1.97 | 202.83 | 3 |
| 2026-08-10 | filled | down | 22.99 | 14.58 | 72.54 | 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, 1,379 sessions. Skipped: 45 half days, 39 data holes, 16 sessions the report did not apply to.