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 |
|---|---|---|---|---|---|---|
| 2026-08-07 | unfilled | up | 224.67 | 144.69 | - | - |
| 2026-08-06 | filled | down | 270.09 | 92.74 | 87.39 | 41 |
| 2026-08-05 | filled | up | 113.35 | 97.7 | 266.65 | 61 |
| 2026-08-04 | unfilled | up | 339.71 | 713.99 | - | - |
| 2026-08-03 | filled | up | 25.74 | 12.47 | 80.16 | 0 |
| 2026-07-31 | filled | up | 341.67 | 149.12 | 155.15 | 35 |
| 2026-07-30 | unfilled | up | 532.9 | 429 | - | - |
| 2026-07-29 | filled | up | 3.25 | 33.12 | 589.44 | 0 |
| 2026-07-28 | unfilled | down | 251.13 | 331.99 | - | - |
| 2026-07-27 | filled | up | 305.28 | 21.97 | 349.12 | 34 |
| 2026-07-24 | filled | down | 65.09 | 40.22 | 23.86 | 4 |
| 2026-07-23 | unfilled | down | 447.95 | 276.26 | - | - |
| 2026-07-22 | filled | down | 218.5 | 0 | 36.79 | 100 |
| 2026-07-21 | unfilled | up | 442.93 | 136.82 | - | - |
| 2026-07-20 | unfilled | up | 284.92 | 147.54 | - | - |
| 2026-07-17 | unfilled | down | 599.65 | 187.99 | - | - |
| 2026-07-16 | unfilled | down | 226.71 | 385.17 | - | - |
| 2026-07-15 | filled | up | 169.23 | 22.53 | 389.33 | 17 |
| 2026-07-14 | unfilled | up | 346.03 | 84.72 | - | - |
| 2026-07-13 | unfilled | down | 325.04 | 309.5 | - | - |
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.