Opening gap and gap fill
An opening gap is the distance between a bar's open and the previous bar's close, most visibly between a session's first price and the prior session's last one. A gap fill occurs when price later returns to the prior close; until it does, that close remains an open reference level that many participants watch.
Senzoukria · Glossary · Updated September 2026
Measuring a gap
On a chart a gap is simply open[i] minus close[i−1]. Whether it deserves attention depends on its size relative to the instrument's tick, so a gap detector counts ticks between the two prices rather than raw price difference. Counting in whole ticks also avoids a floating-point trap: comparing a price difference with a threshold times the tick size can miss a gap of exactly the threshold size because of rounding. Without a known tick size a threshold in ticks has no meaning, and the honest output is no marker at all.
- On futures the session gap is measured against the last bar before the daily break, not against the regular-hours close.
- A threshold of a few ticks separates a genuine hole in the quotation from an ordinary opening offset within the spread.
- The direction of the gap, up or down, is part of the reading: it tells which side was left holding positions at the old price.
The gap fill level
- The level is the previous session's close. It stays relevant as long as no bar of the new session has traded through it.
- Once any bar's low-to-high range includes that price, the gap is filled and the level no longer represents an unfinished move. Keeping it drawn afterwards would suggest a support or resistance that the market has already consumed.
- Sessions frequently open near the prior close and touch it within the first bars, so unfilled levels are uncommon. Their absence on a chart is a normal state, not a data problem.
- The same removal rule is applied to naked points of control: a level touched once disappears rather than being truncated.
In Senzoukria
Two overlays cover the concept. Gap Open, in the Structure & sessions group of the indicator panel, places a marker at the open with an arrow in the direction of the gap whenever the tick distance between a bar's open and the previous close reaches its Min gap (ticks) parameter, four by default; it draws nothing when the instrument's tick size is unknown. Gap Fill Level, in Profiles & levels, draws the previous session's close for as long as the current session has not traded through it, and stops drawing it once it has. Both rely on the chart's 17:00 CT session split for CME contracts.
Reading a gap with order flow
- A gap up that holds shows sellers unable to push price back into yesterday's range; the footprint at the gap's lower edge shows whether buyers are absorbing.
- A fast fill on thin volume is a different event from a slow grind back with imbalances on every level.
- Gap statistics published elsewhere depend on the instrument, the session definition and the period; none of them is a property of the level itself.
Related
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Frequently asked questions
- Why does the gap fill level disappear instead of stopping at the touch?
- Because a filled gap is no longer a target. A truncated line would look like a level that once held, which is a different claim. Removing it keeps the chart showing only gaps that are still open. The history of past fills is visible in the bars themselves.
- Is the gap measured against the settlement price?
- No. It is measured against the close of the last bar of the previous session in the loaded data. Settlement is an exchange figure that can differ from the last trade. If a rule needs settlement, the exchange publishes it separately.
- Why is there no gap marker on my crypto chart?
- Either the instrument's tick size is not known to the chart, so a threshold in ticks cannot be evaluated, or the market simply did not gap: continuous markets rarely produce a hole between consecutive bars outside of outages.