Gap Fill Probability & Statistics [ES/NQ]

🎯 What This Indicator Does
This indicator shows you the real probability of gap fill based on historical data analysis of 2,600+ ES and 2,700+ NQ trading days.
Unlike other gap indicators that just draw lines, this one tells you:

What's the chance this gap will fill today?
How long does it typically take?
How much risk (drawdown) to expect?
What happens after the gap fills?

All statistics are context-specific — calculated for your exact gap type (size + direction), not generic averages.

📊 Key Features
Real-Time Gap Tracking

Automatic gap detection at RTH open (9:30 AM ET)
Visual fill levels on chart (25%, 50%, 75%, 100%)
Live status updates as price moves

Historical Statistics Panel

Fill probability by time (10:30, Noon, Close)
Typical fill time in minutes
Sample size for statistical confidence

Risk Metrics

MAE (Max Adverse Excursion) — typical drawdown before fill
Worst 10% scenarios
Whipsaw probability (fills then reverses)

Timing Analysis

When do most fills happen?
Cumulative fill probability by time bucket

After-Fill Behavior

Does price continue or reverse after fill?
Extension beyond gap close


📈 Gap Classification
Gaps are classified by size relative to ATR:

Tiny: < 0.3x ATR
Small: 0.3x - 0.7x ATR
Medium: 0.7x - 1.2x ATR
Large: > 1.2x ATR

Statistics are calculated separately for each size AND direction (Up/Down), giving you 8 unique contexts instead of one generic number.

⚙️ Customization
Toggle individual sections on/off:

Today's Gap
History Stats
Fill Chances (ladder)
Live Status
Risk Info
Best Time to Fill
Opening Range
After Gap Fills


🔔 Alerts
Built-in alerts for:

25% fill
50% fill
75% fill
100% fill (complete)


📋 Data Source
Statistics derived from analysis of:

ES (E-mini S&P 500): 2,646 trading days
NQ (E-mini Nasdaq): 2,791 trading days

Data includes gaps from 2014-2024, covering various market conditions.

⚠️ Disclaimer
This indicator provides statistical probabilities based on historical data. Past performance does not guarantee future results. Use as one input in your trading decisions, not as the sole basis for trades.

💡 How to Use

Add indicator to ES or NQ futures chart
Select correct symbol in settings
At market open, check the probability and typical fill time
Use MAE data to set appropriate stop levels
Monitor live status throughout the session

Best used on 1-minute to 15-minute timeframes during RTH session.