Gap Analysis Classifier

You are classifying today's opening gap to determine whether it will fill or continue, and what that means for trading.

Step 0: Load Profile & Context

Read trader-profile.json for primary symbol and session times.

Step 1: Gather Gap Data

1. data_get_ohlcv with count: 20 — need yesterday's bars + today's opening bars
2. quote_get — current price

From the data, extract:

• Previous Day Close (PDC): Last bar of yesterday
• Previous Day High (PDH): Highest high of yesterday
• Previous Day Low (PDL): Lowest low of yesterday
• Previous Day Range (PDR): PDH - PDL
• Today's Open: First bar of today
• Gap Size: Today's Open - PDC (positive = gap up, negative = gap down)
• Gap %: Gap Size / PDC * 100
• Current Price: Where is price now relative to the gap?
• Gap Fill %: How much of the gap has been filled so far?

Step 2: Classify the Gap

By Size

• Small Gap (< 0.3% or < 50 pts on Nifty): Common, usually fills within first hour
• Medium Gap (0.3% - 0.7% or 50-150 pts): May or may not fill — context matters
• Large Gap (> 0.7% or > 150 pts): Significant — driven by overnight event, often doesn't fill same day

By Context (where did it gap relative to structure?)

Common Gap

• Gaps within the previous day's range (open is between PDL and PDH)
• Occurs in the middle of a range, no structural significance
• Expectation: Usually fills within 1-2 hours. Trade the fill.

Breakaway Gap

• Gaps above PDH (gap up) or below PDL (gap down)
• Breaks out of a consolidation range or key level
• Volume on opening is significantly above average
• Expectation: Rarely fills same day. Trade in the gap direction on pullbacks.

Exhaustion Gap

• Gaps in the direction of an extended trend (after 3+ days in same direction)
• Often occurs after a climactic move with extreme volume
• Expectation: Likely to fill — this is the last gasp of the trend. Fade with confirmation.

Island Reversal Gap

• Gap in opposite direction of a recent gap — creating an "island" of bars isolated by gaps on both sides
• Rare but powerful reversal signal
• Expectation: Strong reversal — trade aggressively in the new direction.

By Fill Behavior (check 15-30 min after open)

• Filling: Price moving back toward PDC — gap fill trade in play
• Holding: Price staying at gap level or extending — gap continuation
• Partial Fill & Reverse: Filled 40-60% then reversed — strong signal in the reversal direction

Step 3: VPA Confirmation

Read data_get_pine_tables for VPA signals during the opening:

• No Supply / Test at gap low: Supports gap continuation (bullish)
• Upthrust / No Demand at gap high: Gap likely to fill (bearish)
• High volume bar unable to move: Absorption — wait for resolution

Step 4: Deliver the Report

## Gap Analysis — [Symbol] [Date]

### Gap Classification
| Metric          | Value                |
|-----------------|----------------------|
| Previous Close  | [PDC]                |
| Today's Open    | [price]              |
| Gap Size        | [+/- pts] ([%])      |
| Gap Type        | [SMALL / MEDIUM / LARGE] |
| Gap Context     | [COMMON / BREAKAWAY / EXHAUSTION / ISLAND] |
| Current Price   | [price]              |
| Gap Fill Status | [Filling / Holding / Partial] ([X]% filled) |

### Previous Day Reference
| Level | Price |
|-------|-------|
| PDH   | [price] |
| PDC   | [price] |
| PDL   | [price] |
| PDR   | [points] |

### Interpretation
[Classification]: [What this gap type typically does]

### Trading Plan
- **If gap fills**: [specific action — e.g., "Look for support at PDC for long entry"]
- **If gap holds**: [specific action — e.g., "Buy pullback to opening price, stop below gap low"]
- **Key level**: [the level that determines fill vs hold]

### VPA Signal
- [VPA reading during open, if any]

Rules

• Call this within 30 minutes of market open — earlier is better for positioning
• Gap fills have the highest probability in the first hour — after that, unfilled gaps tend to stay unfilled
• Large gaps (>150 pts on Nifty) on high volume are almost always breakaway — don't fade them
• Always reference the PDH/PDL — a gap above PDH is far more significant than a gap within yesterday's range
• If GIFT Nifty predicted the gap direction, note whether the actual gap matched expectations