Pre-Market Fill Windows
Pre-RTH half-hour windows form mini-ranges; the high and low of each window get retested before RTH open about 65% of the time.
updated 2026-04-28
The setup
Pre-RTH activity clusters into half-hour windows where European desks rebalance, US desks come online, and overnight inventory imbalances unwind. Each window prints a high and a low; one or both gets revisited intraday far more often than chance.
The windows we track:
| Window (ET) | Notes |
|---|---|
| 02:00 – 03:00 | London open hour |
| 06:00 – 07:00 | London PM transition |
| 06:30 – 07:30 | mid-morning London |
| 07:00 – 08:00 | NY pre-cash |
| 07:30 – 08:30 | rolling overlap |
| 08:00 – 09:00 | NY pre-open hour |
Line ships on our chart HUD as FILL HH-HH H / FILL HH-HH L (one pair per window).
Entry rules
- Capture: at window close, snapshot the bar high & bar low across that window’s bars
- Fire both edges: window-H as bull magnet, window-L as bear magnet
- TTL: through 16:00 ET RTH close
- Hit: any same-session bar tagging the level
Stats by window
| Window | n | Either-edge fill |
|---|---|---|
| 02:00–03:00 | 410 | 71% |
| 06:00–07:00 | 480 | 75% |
| 07:00–08:00 | 460 | 68% |
| 08:00–09:00 | 510 | 64% |
Earlier windows have higher fill rates (more time to hit). The 06:00–07:00 window is the strongest individual edge.
Why Tier 2
Magnets, not directional signals. The fill is often quick (median 30–90 minutes after window close), so these are mostly used as near-term targets when an entry signal points into the window.
History
- 2026-04-28 — Page created. Window list mirrors the production
FILL HH-HHmodel insmc_analysis.py; behavior unchanged since the canonicalizer migration.