6E discontinuity field guide
6E Gaps: Classify the Jump Before You Trade It
A blank space on a chart is not one setup. It may be a weekend reopening, a contract roll, a missing feed, or a fast event move between sampled bars. If you mix those together, your gap statistics are junk before the backtest starts.
- First check
- Same contract?
- Second check
- Feed complete?
- Third check
- Tradable?
- Fill odds
- Must be tested
Identity first
Four Different Things Get Called a Gap
The label describes a chart appearance. It does not identify the mechanism.
| Gap class | What changed | First check | Main trap |
|---|---|---|---|
| Weekly reopening | The same delivery month resumes after the scheduled weekly closure at a different price. | Compare the last and first eligible trades in the same contract. | Treating an indicative weekend quote as executable spot. |
| Contract roll | A chart switches from the expiring month to the next delivery month. | Inspect both contracts at the switch timestamp. | Calling a calendar-basis difference an overnight return. |
| Data or vendor gap | Observations are missing, filtered, timestamped incorrectly, or stitched differently. | Cross-check another authorized feed and the exchange session. | Backtesting a price path that never existed. |
| Event jump | Price moves between recorded observations while the market is open. | Use finer data with bid, ask, trade, and sequence information. | Assuming the blank chart space was executable. |
There is also a fifth, simpler case: a chart deliberately excludes overnight trading. The next displayed bar may open away from the prior displayed close even though 6E traded through the missing hours. That is a session-filter gap, not proof of a discontinuous market.
Correct the weekend myth
Spot EUR/USD Does Not Trade Normally All Weekend
FX is decentralized, but decentralized does not mean there is a deep, continuous, standardized weekend market.
Normal institutional spot liquidity winds down at the end of the global Friday session and returns as the new trading week opens. A broker may display an indicative quote, an internal weekend product, or a price inferred from another instrument. That quote is not automatically a firm, executable interbank EUR/USD market, and it is not evidence that CME 6E could have traded during its closure.
News can still develop while the major venues are closed. Politics, conflict, emergency policy announcements, and other information may change participants' reservation prices. When futures and ordinary spot trading resume, the first executable prices can be away from Friday's last trades. That is a genuine reopening discontinuity, but the first quote can arrive with thin depth and a wide spread.
The 6E session-liquidity guide handles participation and clock alignment. This page owns only the discontinuity and the test.
Chart forensics
Audit the Print Before Inventing a Story
A good gap review is boring. It checks identity, time, and data provenance before looking for a trade.
Name the contract
Record the exact 6E delivery month on both sides. If it changed, stop calling the difference a same-contract gap.
Name the prices
State whether each observation is a trade, bid, ask, midpoint, settlement, or bar open. Do not mix them.
Name the clocks
Store timestamps in UTC plus the source timezone and session definition. Resolve DST and holiday changes.
Verify the feed
Check missing sequence ranges, reconnects, filtered sessions, bad ticks, and a second authorized source.
A continuous chart deserves special suspicion. Back-adjusted series modify historical prices to smooth the roll. Ratio-adjusted and difference-adjusted histories behave differently. Unadjusted continuous series preserve a jump between contracts. Those are useful charting choices, but none should be confused with a tradable position held in one contract.
For the contract-month process, expiry, and volume migration, use the dedicated 6E roll guide. For a visible fast move during trading hours, the 6E order-flow guide explains why aggressive execution and price response still do not reveal trader identity or motive.
Define before counting
A Gap-Fill Rate Is Meaningless Without the Rules
There is no defensible universal “6E gaps fill X percent of the time” number. Change the definition and the answer changes.
One reproducible reopening-gap definition
For one named 6E delivery month, define the gap as the first eligible Sunday-session trade minus the last eligible Friday-session trade. Require an absolute minimum size set before analysis. Call it filled only if a subsequent eligible trade reaches or passes the Friday reference price within a fixed number of bars.
- Price type
- Trades, fixed in advance
- Contract
- Same month
- Deadline
- Fixed bars or time
That is only a starting definition. A trader attempting to enter after the open cannot transact at the first historical print after seeing it. A realistic test needs an entry delay or executable bid/ask, spread, slippage, fees, stop logic, and a rule for markets that move through the reference before an order can be placed.
Report raw price, standard 6E ticks, and the gap divided by a lagged volatility measure. The 6E ATR guide shows the required controls.
Separate weekly reopenings, holidays, scheduled roll periods, and major weekend events. Do not create categories after seeing profits.
Show count, median time to fill, non-fills, adverse excursion, costs, and results by year. A hit rate alone hides the losses.
Use only information available at the decision timestamp. Labeling a weekend “high-news” after observing Monday's move is look-ahead. Picking the eventual front month with future volume data is also leakage. Freeze the roll rule and event labels first.
Tradeability test
A Visible Gap Is Not Automatically an Available Trade
The open can be the exact moment when historical bars look cleanest and actual execution is least forgiving.
If fading toward the old price
Define what invalidates the reversion thesis. “It has not filled yet” is not invalidation. Check live spread and depth, cap order size, and calculate the dollar risk using current contract specifications. A limit order reduces price uncertainty but may not fill; a marketable order increases execution certainty but not price certainty.
If trading away from the old price
Define acceptance without using future bars. For example, require a fixed elapsed time or a close outside a predeclared range. That still needs testing. A gap can continue, reverse, or whip both ways; the label itself supplies no direction.
Do not park an oversized stop order into the weekly reopen and assume the historical chart price is your fill. Gap risk can produce worse execution than the trigger, and futures losses can exceed the amount deposited. Use the 6E contract-math guide to convert distance to dollars, then apply your own account-level loss cap.
Common questions
6E Gap FAQ
Does spot EUR/USD trade continuously all weekend?
No. Normal institutional and retail spot FX trading is not a continuous, centralized weekend market. Prices visible during the closure may be indicative, broker-specific, or from another product rather than executable interbank EUR/USD.
Is every jump on a continuous 6E chart a market gap?
No. A continuous chart can jump when it switches from one delivery month to the next. That roll discontinuity reflects two different contracts and must be separated from a same-contract reopening gap.
What does it mean for a 6E gap to fill?
A test must define the reference price and deadline. One defensible definition is that the same contract trades at or through the last eligible pre-gap price within a fixed number of bars, after accounting for executable prices and costs.
Do most 6E weekend gaps fill?
This page makes no universal fill-rate claim. The answer depends on the sample, contract series, minimum gap size, fill definition, time window, session template, and transaction-cost assumptions.
Can a missing bar create a false 6E gap?
Yes. Feed outages, filtered overnight sessions, bad ticks, timezone mistakes, and vendor stitching rules can all create apparent gaps that were not tradable market discontinuities.
Official sources and methodology
- CME Group: Euro FX contract specifications and trading information.
- CME Group: holiday calendar for date-specific schedule verification.
- CME Group: FX quote conventions for product and quotation context.
- CFTC: foreign-currency trading advisory for OTC venue and counterparty context.
Official schedule and product pages were checked August 12, 2026. This page specifies a test design but does not publish a historical gap-fill estimate.