Gaps · MNQ
How often does a gap up on MNQ get filled the same day
54.1%
fill rate
n=1462025-08-30 to 2026-09-06
fill rate
54.1%
num filled
79
num not filled
67
avg gap size points
170.15
Methodology
Analysis code was generated by an AI model up to 25 times, run in a sandbox against real MNQ 1-minute bars from 2025-08-30 to 2026-09-06, and reviewed automatically. Attempts that computed the same set of measures were grouped, and the figures shown are the median of the largest group. Agreement between attempts lowers the chance of a one-off coding slip; it does not prove the code matches the question, so the exact code is shown below.
Show the code
bars_et = to_et(bars)
rth = rth_session(bars_et)
rth = rth.copy()
rth['date'] = trading_date(rth)
daily = rth.groupby('date').agg(open=('open','first'), high=('high','max'), low=('low','min'), close=('close','last'))
daily = daily.sort_index()
prev_close = daily['close'].shift(1)
daily['prev_close'] = prev_close
# gap up: today's open above prior day's close
gap_up = daily[daily['open'] > daily['prev_close']].copy()
# filled same day if the low of the day trades back down to/through prev_close
gap_up['filled'] = gap_up['low'] <= gap_up['prev_close']
n = len(gap_up)
if n > 0:
fill_rate = gap_up['filled'].mean()
avg_gap_size = (gap_up['open'] - gap_up['prev_close']).mean()
else:
fill_rate = None
avg_gap_size = None
result = {
'sample_size': int(n),
'fill_rate': float(fill_rate) if fill_rate is not None else None,
'num_filled': int(gap_up['filled'].sum()) if n > 0 else 0,
'num_not_filled': int(n - gap_up['filled'].sum()) if n > 0 else 0,
'avg_gap_size_points': float(avg_gap_size) if avg_gap_size is not None else None,
}
- Generated by an AI model up to 25 times, run in a sandbox, and reviewed automatically; the figures above are the median of the largest group of attempts that computed the same measures. Agreement between attempts lowers the chance of a one-off coding slip -- it does not prove the code matches the question, so check the definition and code. A one-off calculation, not a permanent fixture.
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This is historical statistical information only. It is not investment advice, and past performance does not indicate future results. Trading involves risk of loss.