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 |
|---|---|---|---|---|---|---|
| 2026-07-10 | filled | down | 103.05 | 36.32 | 131.57 | 19 |
| 2026-07-09 | unfilled | up | 290.2 | 247.93 | - | - |
| 2026-07-08 | filled | down | 189.03 | 0.99 | 120.23 | 15 |
| 2026-07-07 | unfilled | down | 356.15 | 381 | - | - |
| 2026-07-06 | unfilled | up | 282.28 | 255.29 | - | - |
| 2026-07-02 | filled | up | 1.19 | 20.81 | 732.18 | 0 |
| 2026-07-01 | unfilled | down | 286.32 | 175.08 | - | - |
| 2026-06-30 | filled | down | 3.04 | 11.33 | 559.36 | 0 |
| 2026-06-29 | filled | up | 270.74 | 187.22 | 103.66 | 43 |
| 2026-06-26 | unfilled | down | 377.08 | 177.06 | - | - |
| 2026-06-25 | filled | up | 639.13 | 41.38 | 222.84 | 22 |
| 2026-06-24 | filled | up | 58.8 | 0 | 384.35 | 0 |
| 2026-06-23 | unfilled | down | 944.63 | 133.38 | - | - |
| 2026-06-22 | filled | up | 130.17 | 133.31 | 198.57 | 60 |
| 2026-06-18 | unfilled | up | 600.94 | 188.88 | - | - |
| 2026-06-17 | filled | up | 222.86 | 19.08 | 370.01 | 271 |
| 2026-06-16 | filled | down | 50.42 | 60.55 | 26.45 | 17 |
| 2026-06-15 | unfilled | up | 678.88 | 283.48 | - | - |
| 2026-06-12 | filled | up | 35.1 | 3.18 | 225.33 | 0 |
| 2026-06-11 | unfilled | up | 229.11 | 786.88 | - | - |
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.