These filter stocks based on the size and direction of the stock’s gap.

During the trading day, the gap is defined as the difference between the open price and the previous close price.  If a stock closes at 14.50, and opens the next trading day at 14.75, then the stock gapped up 0.25.  If another stock closes at 50.10, then opens the next day at 50.03, the stock gapped down 0.07, or it gapped up -0.07.  The official open price is the price of the first print after the trading day starts.  The exchange can correct this value, but normally the open price and the gap do not change after the first print.

In the premarket we always use the last print price instead of the open price.  This gives us a continuously improving approximation of what the gap will be.  This approximation is updated on each print until the exchange reports the official value of the opening print.

We start using this approximation of the gap shortly after the close.  For example, if last official print today is at 12.94, and the first after hours print is also at 12.94, this print will reset the gap to zero.  If the next print is 12.96, then the stock has gapped up 0.02.  For most actively traded stocks, the gap will not be reliable for the first 90 seconds after the market closes; it takes about that long for the exchange to report the last official trades of the day and transition into after market mode.  For more thinly traded stocks, the gap will change with the first after market print, whenever that happens.

• The easiest way is to list the number of dollars ($).  If you only want to see stocks which gapped up at least 50 cents, put ".50" into the "Min Gap Up ($)" field.
• The next option is to specify the size as a percentage (%).  If you only want to see stocks which moved down at least 2% between the close and the open, put "-2" into the "Max Gap Up (%)" field.
• The most powerful way to set the gap filter is to use noise filtering mode (bars).  This mode scales the gap according to the stock’s volatility.  $0.10 is a large gap for some stocks, but just noise for other stocks.  If you specify a noise filtering value, you will only see you stocks which are interesting, stocks which are not acting like they usually act.  If you set the minimum gap up filter to .25 and the max gap up filter to -.25, you will see approximately 1/2 of the stocks you would have seen without the filter.  With a filter value of ±.5 you will see only about 1/3 of the stocks.  With a value of ±1.0, you will only see about 1/5.  These values will vary from day to day.  The filter value is called "bars" because a value of 1 means the average amount that a stock moves between the close of one 15 minute bar and the next.

We allow negative numbers for these filters.  If stock gapped down by 1%, we say that it gapped up -1%.  To see all stocks which gapped down by at least 2%, set the max gap up filter to -2%. To see all stocks with no gap or a small gap, set the min gap up to $-0.25 and the max gap up to $0.25.  To see all stocks with a large gap in either direction, set the min gap up to $1.00 and the max gap up to -$1.00.

Note that this is not the only definition of gap.  See the Position of Open filters for another definition.