Weekly open gaps: gap and go vs gap fill
Posted: Wed Oct 28, 2026 5:08 am
Sunday's open sometimes shows a gap from Friday's close. Two stories compete: the gap fills, meaning price returns to the Friday close, or the gap and go, where price extends away.
Data from major pairs often shows that small gaps fill more often than not, since they usually reflect thin liquidity and temporary imbalance. Large gaps, caused by weekend news, tend to hold longer and may start a new trend.
Filling can take minutes or weeks. A rule that says "the gap will fill" without a time limit is untestable. Defining a window, like within the first 24 hours, makes it measurable.
Broker differences matter greatly. The Friday close and Sunday open prices differ by feed, and some brokers show gaps that others don't.
A year of weekly data, split by gap size, gives a clear picture of fill rates. Often the picture is that gaps below a certain size fill quickly and gaps above a threshold don't, with a murky middle ground.
Trading the Sunday open carries execution risk, with wide spreads and thin books. Even a statistically favourable gap fade might not survive costs.
Another variable is the day of the week for the gap's cause. Gaps after a holiday weekend, when the market has been closed longer, may behave differently from regular weekend gaps.
What's the measured fill rate for gaps of various sizes on the broker's feed, and over what timeframe?
Data from major pairs often shows that small gaps fill more often than not, since they usually reflect thin liquidity and temporary imbalance. Large gaps, caused by weekend news, tend to hold longer and may start a new trend.
Filling can take minutes or weeks. A rule that says "the gap will fill" without a time limit is untestable. Defining a window, like within the first 24 hours, makes it measurable.
Broker differences matter greatly. The Friday close and Sunday open prices differ by feed, and some brokers show gaps that others don't.
A year of weekly data, split by gap size, gives a clear picture of fill rates. Often the picture is that gaps below a certain size fill quickly and gaps above a threshold don't, with a murky middle ground.
Trading the Sunday open carries execution risk, with wide spreads and thin books. Even a statistically favourable gap fade might not survive costs.
Another variable is the day of the week for the gap's cause. Gaps after a holiday weekend, when the market has been closed longer, may behave differently from regular weekend gaps.
What's the measured fill rate for gaps of various sizes on the broker's feed, and over what timeframe?