What is the Gap-Fill Protocol?
The Gap-Fill Protocol is an automated NinjaTrader 8 strategy that trades overnight gap fills on E-mini S&P 500 (ES) and E-mini Nasdaq-100 (NQ) futures contracts during the first 90 minutes of regular trading hours.
The Gap-Fill Concept
A "gap" occurs when the opening price of regular trading hours differs significantly from the previous day's closing price. This creates a price gap on the chart. Statistically, many gaps tend to "fill" - meaning price returns to the previous close level - especially during the first hours of trading.
Why Do Gaps Fill?
Gaps often fill due to:
- Overnight news being digested and corrected by RTH volume
- Initial overreaction to pre-market price action
- Market makers and institutions closing overnight positioning
- Algorithmic reversion strategies targeting gap fills
How the Strategy Works
1. Gap Identification
At 9:30 AM ET (RTH open), the strategy calculates:
- Previous day's RTH close price
- Current day's RTH open price
- Gap size (difference between open and previous close)
- Gap direction (up gap or down gap)
2. Entry Criteria
The strategy enters a position when:
- Gap size exceeds minimum threshold (typically 5-10 points on ES)
- Price begins moving toward the gap fill level (previous close)
- Entry trigger conditions are met (price action based)
- Time is within trading window (9:30 AM - 11:00 AM ET)
3. Trade Management
Once entered, the strategy manages the trade automatically:
| Parameter | Default Setting | Purpose |
|---|---|---|
| Stop Loss | 8-12 points (ES) | Risk management - exits if trade moves against position |
| Profit Target | Gap fill level ± 2 points | Exits near the previous close (gap filled) |
| Time Exit | 11:00 AM ET | Closes position if gap doesn't fill by late morning |
| Position Size | 1-2 contracts | Based on account size and Apex rules |
4. Risk Management
The strategy includes multiple layers of risk control:
- Daily Loss Limit: Stops trading if daily loss reaches Apex threshold ($1,000 for 50k account)
- Max Position Size: Hard-coded limits based on account size
- Time Restrictions: Only trades during first 90 minutes of RTH
- Gap Size Filter: Ignores gaps that are too small or too large
Apex Trader Funding Optimized
The strategy comes pre-configured with position sizing and daily loss limits that comply with Apex Trader Funding evaluation rules:
- 50k Account: Max 1 ES contract, $1,000 daily loss limit
- 150k Account: Max 2 ES contracts, $3,000 daily loss limit
Markets Traded
The Gap-Fill Protocol is designed for:
- ES (E-mini S&P 500): Primary market, high liquidity, tight spreads
- NQ (E-mini Nasdaq-100): Alternative market, similar gap behavior
The strategy can be adapted for other futures markets (YM, RTY) but default settings are optimized for ES/NQ.
Trading Hours
Gap Calculation: Uses previous RTH close (4:00 PM ET) to current RTH open (9:30 AM ET)
No Overnight Positions: All positions closed by 11:00 AM or at profit target/stop loss
What Makes This Strategy Different?
1. Transparency
You receive the complete C# source code (.cs file). Every entry rule, every exit condition, every risk parameter is visible and modifiable. No black boxes.
2. Local Execution
Runs directly on your NinjaTrader 8 platform. No cloud servers, no API dependencies, no third-party execution risk.
3. Prop Firm Compliance
Pre-configured for Apex Trader Funding rules, reducing the risk of violating evaluation account requirements.
4. Customizable
Since you own the source code, you can:
- Adjust gap size thresholds
- Modify entry trigger conditions
- Change stop loss and profit target logic
- Add additional filters or confirmations
- Optimize for different futures contracts
Important Considerations
This is NOT a Holy Grail
The Gap-Fill Protocol is a systematic approach to trading overnight gaps. It does not win every trade. Like all trading strategies:
- Results vary based on market conditions
- Past performance does not guarantee future results
- You are responsible for testing, optimization, and risk management
- This is a template - not a guaranteed profit system
Getting Started
Ready to own the code and start trading? The Gap-Fill Protocol is available for a one-time payment of $99.