OPEN-SOURCE SCRIPT
RTH Gap Fill Timing Stat
RTH Gap Fill Timing Stat [Execution Windows]
The RTH Gap Fill Timing Stat is a sophisticated backtesting utility that breaks down the "time-to-fill" for intraday gaps. While most indicators only tell you the final result at the end of the day, this script categorizes every gap fill into specific time buckets (e.g., the first 30 minutes, the 10:00 AM reversal window, etc.).
Knowing the historical timing of gap fills allows you to align your trades with the market's natural rhythm and avoid sitting in "dead money" trades that aren't statistically likely to move yet.
Core Functionality
The indicator tracks the progress of gaps from the 09:30 AM NY Open and records the exact time bucket in which two major milestones are reached:
Min 50% Fill: Price retraces half of the gap distance.
100% Fill: Price touches the previous day's closing price.
The Timing Matrix (Dashboard)
The dashboard provides a granular breakdown of the last 126 days, sorting fills into the following high-impact windows:
09:30 – 09:59: The "Opening Drive" window.
10:00 – 10:15: The "Initial Balance" turn.
10:16 – 10:30: The "Silver Bullet" window.
10:31 – 11:00: The late-morning extension.
After 11:00: Midday and afternoon "slow grinds."
Not Filled: Days where the gap remained open.
Strategic Insights
Optimal Entry Timing: If the stats show that 70% of Gap Up fills happen before 10:00 AM, but price is still at the high at 10:15 AM, the probability of a fill today has dropped significantly. This may signal a "Gap and Go" trend day.
The 10:00 AM Reversal: Many traders look for the 10:00 AM reversal. By checking the 10:00 – 10:15 bucket, you can see if that specific window historically completes the gap fill for the current ticker.
Setting Realistic Expectations: If a large percentage of fills happen "After 11:00," you know that you may need to hold your position through the midday chop to reach your target.
Technical Specifications
Sample Size: Uses a 126-day rolling array (approx. 6 months) to capture the current volatility environment.
Timezone: Hardcoded to America/New_York to ensure your time buckets are perfectly synced with the NYSE opening bell and institutional windows.
Precision Tracking: Operates on intraday timeframes to capture the exact minute a fill milestone is hit.
Disclaimer: Timing statistics represent historical market behavior. Market conditions and participant behavior can change. Use these time windows as a guide for high-probability execution zones.
The RTH Gap Fill Timing Stat is a sophisticated backtesting utility that breaks down the "time-to-fill" for intraday gaps. While most indicators only tell you the final result at the end of the day, this script categorizes every gap fill into specific time buckets (e.g., the first 30 minutes, the 10:00 AM reversal window, etc.).
Knowing the historical timing of gap fills allows you to align your trades with the market's natural rhythm and avoid sitting in "dead money" trades that aren't statistically likely to move yet.
Core Functionality
The indicator tracks the progress of gaps from the 09:30 AM NY Open and records the exact time bucket in which two major milestones are reached:
Min 50% Fill: Price retraces half of the gap distance.
100% Fill: Price touches the previous day's closing price.
The Timing Matrix (Dashboard)
The dashboard provides a granular breakdown of the last 126 days, sorting fills into the following high-impact windows:
09:30 – 09:59: The "Opening Drive" window.
10:00 – 10:15: The "Initial Balance" turn.
10:16 – 10:30: The "Silver Bullet" window.
10:31 – 11:00: The late-morning extension.
After 11:00: Midday and afternoon "slow grinds."
Not Filled: Days where the gap remained open.
Strategic Insights
Optimal Entry Timing: If the stats show that 70% of Gap Up fills happen before 10:00 AM, but price is still at the high at 10:15 AM, the probability of a fill today has dropped significantly. This may signal a "Gap and Go" trend day.
The 10:00 AM Reversal: Many traders look for the 10:00 AM reversal. By checking the 10:00 – 10:15 bucket, you can see if that specific window historically completes the gap fill for the current ticker.
Setting Realistic Expectations: If a large percentage of fills happen "After 11:00," you know that you may need to hold your position through the midday chop to reach your target.
Technical Specifications
Sample Size: Uses a 126-day rolling array (approx. 6 months) to capture the current volatility environment.
Timezone: Hardcoded to America/New_York to ensure your time buckets are perfectly synced with the NYSE opening bell and institutional windows.
Precision Tracking: Operates on intraday timeframes to capture the exact minute a fill milestone is hit.
Disclaimer: Timing statistics represent historical market behavior. Market conditions and participant behavior can change. Use these time windows as a guide for high-probability execution zones.
Skrypt open-source
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Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.
Skrypt open-source
W zgodzie z duchem TradingView twórca tego skryptu udostępnił go jako open-source, aby użytkownicy mogli przejrzeć i zweryfikować jego działanie. Ukłony dla autora. Korzystanie jest bezpłatne, jednak ponowna publikacja kodu podlega naszym Zasadom serwisu.
Wyłączenie odpowiedzialności
Informacje i publikacje nie stanowią i nie powinny być traktowane jako porady finansowe, inwestycyjne, tradingowe ani jakiekolwiek inne rekomendacje dostarczane lub zatwierdzone przez TradingView. Więcej informacji znajduje się w Warunkach użytkowania.