Market open gap size?

How would I go about adding a check to see what the size of the gap between market close and market open is? If like to be able to detect if the gap is larger than x amount of pips, and add a pt/so according to the size of the gap. The best I’ve figured out how to do is detect if there is a gap, but not how large or small the gap is. Any help creating that rule or pointing me to some documentation that would help would be greatly appreciated. I should note that I would be using the algowizard built into strategyquant

Hello,

using Wizard you can simply do the subtract operation: OpenDaily(0) – CloseDaily(1) and if the price difference is higher than specified value you can do another operation as you wish

Let me know if any issues with that

So would it look like OpenDaily(x gap pips) – CloseDaily(1) ?

Hello,

the example attached shows how to save the gap size (in pips) into a variable called “gapSizePips” which can be then used to decide what to do next

Let me know if any questions

Thank you that was exactly what I was looking for.

Hello Tomas
After creating the variable “gapSizePips” as per the attached example, how do I add it to the LongEntrySignal and the ShortEntrySignal

For example, if “gapSizePips >= 50
and OpenD [0] < CloseD [1]
Send a long signal

For example, if “gapSizePips >= 50
and CloseD [1] < OpenD [0]
Send a short signal

Would you have a template with this information?

Thank you for attention!

Simply setup a new tab (IF-THEN) and add a new condition

if “gapSizePips >= 50″ Enter At Market …

Or setup a new strategy template and copy the gap formula into a new tab there