Gap filling statistics

@Bhuvan @Meher_Smaran @ShubhS9 @VenuMadhav @nithin @MohammedFaisal From where I can get the statistics related to Gap filled in Nifty & Bank Nifty. For example- How many time gap get filled, how many times gap filled in same day or day 1 or day 2 etc. how many times gap filled in first half or second half of same day, percentage of gapup filled vs gapdown filled etc…

Similar data available for Nasdaq but I have not found any for Nifty or Bnak nifty (Link - Gap Fills: Statistics & How to Trade Them )

I think no resources available because lack of trading research firms in India…I got one but it is old year 2020…
I think if we don’t get that data we have to create it ourself…we have to plot X axis -percentage of gap down and on Y axis -percentage of intraday movement.

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I have downloaded 13 years of data. but am able to write formula where gap filled on same day when after gap more than 0.8% high or low of the price crossed previous day close price. With that I have found 44% gap up filled on same day & 24% gap down filled on same day. Other than that its little bit difficult using excel formula only.

I’m unaware of anything. Maybe @Streak can help.

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One has to do it for themselves I suppose. If you do or need help with your research, maybe we can do half-half research each. And share it with everyone here? Does it sound good? Meanwhile I will find for data somewhere.

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Good idea!

Please find my data where I have done some analysis.

I think you will be somewhat sattisfied by cheking this website. link- Trading the Gap. How does one trade Nifty & Bank Nifty during gap down and Gap up days? - Algo Trading in India | (

Thanks For sharing. I have already seen it earlier. by the way I have manage to do some analysis in excel on more than 10 years of data. will try to improve to get the output I need except few things which is not possible in excel.