Gap Trader

  • Plot the most recent 20 gaps based on custom session info.
  • The session can be customized with a start time and an end time.
  • The previous open, high, low, close are only from the price during the session specified.
  • A gap line will stop printing the moment the gap is filled.
  • For CME futures , the session must be offset by one hour for Central time. I use the official cash close of 16:15 EST (yes, not 16:00) as this is the TRUE close when options go offline. Every day CME futures take a break between 16:15 - 16:30 EST for settlement, and then again from 17:00 - 18:00 EST.
  • To offset CME futures you must subtract an hour, the official NYSE hours for futures: 0830-1515, this translates to 9:30 AM EST - 4:15 PM EST.
  • For information about the probability of a previous day's gap being filled by the NYSE close:
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Another day another dollar.

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