Weekly open gaps differ by broker too

[Amanhasnoname]

A weekend gap on one broker's chart is not always the same as on another's. The Friday close and the Sunday open are quoted from each broker's own feed, and when liquidity is thin, those feeds can disagree by a lot.

One platform may show a 12 pip gap while another shows 18, and a third shows none because it opens a few minutes later with a smoothed price. Strategies built on gap fills depend on which version is used.

The size of the gap also depends on how the broker handles the first quotes. Some filter out the first few unreliable ticks, others print them. The difference shows up in the candle's wick.

A backtest of a gap strategy needs to match the broker that will be used. Using a different data source gives results that are either too good or too bad, and it is hard to tell which.

Even then, live fills at the Sunday open are poor, so the realistic edge is smaller than any chart suggests.

Does a gap fill strategy hold up on your broker's data, or does it change from feed to feed?