A session gap compares the opening price of a defined session with a prior reference such as the previous session's close. A chart can also show a gap between adjacent bars. Specify which definition you use before measuring frequency or testing a trade.

Confirm the Data and Reference

Regular-session and extended-session charts can show different gaps. For futures, a new contract month or a continuous-contract adjustment can create a discontinuity unrelated to an overnight move in the same contract. Corporate actions can also affect share-price comparisons.

A gap up from a $50 reference close to a $52 open is 4% of the reference close. A return to $50 would fill that defined gap. It might never happen within your trading horizon.

Fade and Continuation Are Separate Hypotheses

A fade rule trades toward the reference close. A continuation rule trades in the opening move's direction. Define the trigger, order, stop, target and maximum hold for each; do not switch labels after seeing whether the gap filled.

Names such as breakaway, continuation and exhaustion can describe how a move looks in hindsight. If classification depends on what happens later, it cannot be used as though it were known at entry.

There is no general 70% fill probability without a universe, gap definition, timeframe and treatment of unfilled observations. “Eventually” is not a practical holding-period rule.

Do Not Use Fixed Waiting Times as Safety Assurances

A 15- or 30-minute wait changes which price observations are available. It does not guarantee settled volatility or predictable direction. Identify scheduled releases and company announcements from primary sources, while recognising that unexpected events remain possible.

If you add a pre-market volume threshold, compare equivalent time windows and verify the feed. A multiple of an unspecified average cannot be reproduced.

Record the Orders You Could Actually Execute

The opening print is not necessarily your fill, and a target touching on a bar does not guarantee a limit execution. Short entries also depend on product permissions and borrow where applicable.

Test failed fades, failed continuations and missed entries with the same costs and risk rules. See extended-hours trading for the session and order constraints that a simple gap chart can hide.

Risk Disclaimer: Trading involves substantial risk of loss. Past performance is not indicative of future results. See our full risk disclaimer.