What is Gap Fill?

Indian market context (NSE)

Reference levels: Nifty 50 at 24,300, Reliance Industries at ₹1,300, Bank Nifty futures at 55,000 (lot size 30). Examples below show how Gap Fill shows up on Indian index, equity, and futures books — update to live quotes in your journal.

Nifty 50 perspective

Gap Fill on Nifty (24,300): on the 15-minute chart, combine with session VWAP and 9:15–10:00 liquidity — index gap fill signals misfire on expiry Tuesdays without volume confirmation.

Reliance Industries perspective

Gap Fill on Reliance at ₹1,300: daily vs hourly settings diverge around results and ex-dividend dates; note corporate events in journal when gap fill readings spike.

Bank Nifty futures perspective

Gap Fill on Bank Nifty futures (55,000): first-hour signals differ from post-14:30 behaviour; avoid standalone entries when banking names lead the move.

How to validate

• Validate Gap Fill fills against broker contract notes monthly.
• Measure median slippage in points/₹ for Gap Fill on Bank Nifty vs mid-caps.
• Flag sessions with abnormal rejections or partial fills for separate review.
• Compare limit vs market tags only on symbols with similar liquidity.

How to track in TradeLyser

• Record order type, limit price, fill price, and latency on the trade.
• Tag “slippage > plan” when Gap Fill fills worse than expected.
• Monthly slippage report by symbol and order type in analytics.
• Reconcile with broker order log quarterly.

Best practices

• Choose Gap Fill before the move, not after FOMO entry.
• Default to limits on illiquid mid-caps; markets on urgent exits only.
• Log rejected orders — they reveal unrealistic limit discipline.
• Review slippage in R-multiples, not only rupees.

Common pitfalls

• Chasing with market orders after Gap Fill already moved.
• Using limits on fast Bank Nifty breaks without timeout rules.
• Not recording partial fills — skews performance stats.
• Assuming broker fills match intended Gap Fill every time.

How to use this in TradeLyser

Log gap % at open and fill outcome; review by gap size bucket monthly.