AMT Half-Gap Alert
Opening gap fill probability based on 7 years of data
Calculates the half-gap (midpoint between prior settlement and RTH open) and displays the historical fill probability based on gap width. Uses 7 years of 1-min bar data (2019–2026) across ES, NQ, RTY, and CL. Provides pre-market projection, live fill tracking, directional fill rates, and configurable alerts.
How It Works
At the RTH open, the study computes the half-gap — the midpoint between the prior session’s settlement and today’s opening price. It then looks up the historical fill rate for that gap width from 7 years of backtested data. During the session, it tracks whether price fills to the half-gap level.
- Small gaps (ES 0–5 pts) fill at 99%. The fill rate decreases monotonically with gap size.
- Gap-down fills are consistently slightly higher than gap-up fills across all markets.
- Use directional fill rates for a more accurate probability based on gap direction.
- Pre-market mode projects the half-gap from the live price before RTH opens.
On-Chart Features
The study draws the half-gap level, prior settlement, and RTH open on your chart. A status label shows the current fill probability, gap bin, direction, and fill status. Optional info and reference tables display the full bin lookup and detailed rates.
Supported Markets
ES (E-mini S&P 500), NQ (E-mini Nasdaq-100), RTY (Russell 2000), and CL (Crude Oil). Auto-detection from chart symbol, with manual override available.
Requirements
- Sierra Chart with ACSIL (Advanced Custom Study Interface and Language)
- Any intraday chart timeframe
- RTH Start/End times configured in your chart’s timezone
Input & Settings
| No. | Input Name | Function |
|---|---|---|
| 1 | Market | Market selection: Auto, ES, NQ, RTY, CL. Auto detects from chart symbol. Default: Auto. |
| 2 | Show Info Table | Display the detailed info table with gap data, bin, rates, and status. Default: No. |
| 3 | Show Reference Bins Table | Display the full bin reference table for the selected market. Default: No. |
| 4 | Show HG Level Line | Draw the half-gap level as a horizontal line on the chart. Default: Yes. |
| 5 | Show Alert Signals on Chart | Draw arrow signals when the alert threshold is met. Default: No. |
| 6 | Show HG Status Label | Display pre-market projection, active fill tracking, or filled status label. Default: Yes. |
| 7 | Use Directional Fill Rate | Use gap-up or gap-down specific fill rate instead of combined. Default: Yes. |
| 8 | Alert Threshold (%) | Minimum fill probability to trigger an alert. Default: 75%. Range: 10–100%. |
| 9 | Show Settlement + RTH Open Lines | Draw prior settlement and RTH open reference lines. Default: No. |
| 10 | Info Table Horiz Position | Horizontal position of the info table (0–100). Default: 3. |
| 11 | Ref Table Horiz Position | Horizontal position of the reference table (0–100). Default: 3. |
| 12 | Show Info Label at HG Level | Display a text label at the half-gap price level. Default: No. |
| 13 | RTH Start Time (chart TZ) | RTH session start time in your chart’s timezone. Default: 06:30:00 (Pacific). |
| 14 | RTH End Time (chart TZ) | RTH session end time in your chart’s timezone. Default: 12:59:59 (Pacific). |
| 15 | Settlement Chart # (Daily) | Chart number of the daily chart for settlement lookup. Default: 1. |
| 16 | Info Table Vert Position | Vertical position of the info table (0–100). Default: 60. |
| 17 | Ref Table Vert Position | Vertical position of the reference table (0–100). Default: 38. |
| 18 | Status Label Horiz Position | Horizontal position of the status label (0–100). Default: 1. |
| 19 | Status Label Vert Position | Vertical position of the status label (0–100). Default: 15. |
| 20 | Use Daily Chart for Settlement | Use a daily chart reference for settlement instead of self-tracking. Default: No. |
| 21 | Change HG Line Color on Fill | Change the half-gap line color when filled. Default: No. |
Market selection: Auto, ES, NQ, RTY, CL. Auto detects from chart symbol. Default: Auto.
Display the detailed info table with gap data, bin, rates, and status. Default: No.
Display the full bin reference table for the selected market. Default: No.
Draw the half-gap level as a horizontal line on the chart. Default: Yes.
Draw arrow signals when the alert threshold is met. Default: No.
Display pre-market projection, active fill tracking, or filled status label. Default: Yes.
Use gap-up or gap-down specific fill rate instead of combined. Default: Yes.
Minimum fill probability to trigger an alert. Default: 75%. Range: 10–100%.
Draw prior settlement and RTH open reference lines. Default: No.
Horizontal position of the info table (0–100). Default: 3.
Horizontal position of the reference table (0–100). Default: 3.
Display a text label at the half-gap price level. Default: No.
RTH session start time in your chart’s timezone. Default: 06:30:00 (Pacific).
RTH session end time in your chart’s timezone. Default: 12:59:59 (Pacific).
Chart number of the daily chart for settlement lookup. Default: 1.
Vertical position of the info table (0–100). Default: 60.
Vertical position of the reference table (0–100). Default: 38.
Horizontal position of the status label (0–100). Default: 1.
Vertical position of the status label (0–100). Default: 15.
Use a daily chart reference for settlement instead of self-tracking. Default: No.
Change the half-gap line color when filled. Default: No.
Subgraphs
| No. | Subgraph Name | Function & Comments |
|---|---|---|
| 1 | Half Gap Level | Point at the half-gap price level. Purple (default), green when filled. |
| 2 | HG Filled | Point marking the bar where the half-gap was filled. Green. |
| 3 | Prior Settlement | Stair-step line at the prior session’s settlement price. Red. |
| 4 | RTH Open | Stair-step line at the RTH opening price. Blue. |
| 5 | Projected HG (Pre-Mkt) | Point showing the projected half-gap from current pre-market price. Gray. |
| 6 | HG Alert - Gap Down (Long) | Up arrow on gap-down days that meet the alert threshold. Green. |
| 7 | HG Alert - Gap Up (Short) | Down arrow on gap-up days that meet the alert threshold. Red. |
Point at the half-gap price level. Purple (default), green when filled.
Point marking the bar where the half-gap was filled. Green.
Stair-step line at the prior session’s settlement price. Red.
Stair-step line at the RTH opening price. Blue.
Point showing the projected half-gap from current pre-market price. Gray.
Up arrow on gap-down days that meet the alert threshold. Green.
Down arrow on gap-up days that meet the alert threshold. Red.
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