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Waypoint Smart Money · Sierra Chart study

Fair Value Gaps

Fair value gaps with fill tracking, CE lines, inversions and BPRs, plus a scorecard against random levels.

Fair Value Gaps draws bullish and bearish fair value gaps (three-candle imbalances) as boxes that extend right until filled, with the filled part, a CE (50%) line and inversion gaps (IFVG). Gaps come from the chart's own bars or from a higher timeframe built inside the study, and they form on closed bars only, so nothing repaints. A panel holds a scorecard that lets you check on your own chart whether the gaps did any better than random levels, and a position size at the nearest gaps. It places, changes and cancels no orders.

Waypoint Fair Value Gaps on an NQ 5-minute chart: red bearish gaps with dashed CE lines labelled fresh or partly filled, orange inversion gaps that were bullish, and green and teal support gaps below price.
Fair Value Gaps on a Sierra Chart chart. Settings and colours are inputs.

What the study does

  • Bullish and bearish fair value gaps, each a box from the middle candle, extended right while the gap is live. Filters: Min Gap Size in ticks (default 1), an optional minimum in ATR, and an optional displacement middle candle.
  • Fill tracking: wicks fill a gap from its near edge. The filled part is drawn lighter by default, or trimmed away. A dashed CE (50%) line and labels with side, timeframe, size in ticks, and fresh or % filled.
  • Gap Timeframe in Minutes builds gaps from a higher timeframe on the same chart, for example 15 on a 1-minute chart. Fill and touches are always tracked on the chart's own bars.
  • Mitigation when a wick reaches the far edge (default) or a gap-timeframe close beyond it. A gap closed through flips into an inversion gap (IFVG) in its own colour, until a later close back through it.
  • Optional balanced price ranges (BPR): the overlap of a new gap with the latest gap of the other side formed at most 10 gap-timeframe bars earlier (an input).
  • No repainting: a gap exists only after its third candle has closed. An optional provisional input shows the forming bar's gap and fill, worked out on a copy.
  • A scorecard: each gap's first touch is traded on paper against 3 random levels of the same side and height, with a verdict on this chart's own data once there are 30 gap trades.
  • A position size in the panel: entry, stop, risk in points and dollars, and contracts for Risk per Trade ($) at the nearest bullish gap below price and bearish gap above it, plus the room to the other one in R.
  • Hidden subgraphs for the nearest bullish and bearish gap's top, bottom and CE, and new-gap, first-touch, mitigated and inversion flags, plus alert sounds on a new gap and a first touch.

What you need

  • Any intraday chart. For exact scorecard grading, a 1-minute chart with Gap Timeframe set (for example 15).
  • A bar size that divides the Gap Timeframe, such as 1-minute bars for 15-minute gaps.
  • A back-adjusted continuous contract for long history, so a roll is not read as a gap.
  • The symbol's Currency Value per Tick set in Sierra Chart, for the position-size dollars.

Set it up in Sierra Chart

  1. Step 1: Buy and download

    Buy this study on its own here, or all eight Waypoint Smart Money studies at once from the Smart Money page (one .zip with every DLL). Checkout is a one-time payment. As soon as it is confirmed, the page Stripe returns you to has a Download button, and the receipt email carries the same link. Extract the .zip to any folder. It holds WaypointFairValueGaps_64.dll, plus a short INSTALL.txt.

  2. Step 2: Unblock the DLL

    Right-click WaypointFairValueGaps_64.dll > Properties. If the General tab shows an "Unblock" box, tick it, then click OK. Windows' Smart App Control can still refuse an unsigned DLL. If it does, the study is missing from the Add Custom Study list, or Sierra Chart's Message Log shows a loading error with the code 4551. Turning Smart App Control off is your own decision.

  3. Step 3: Copy it into Sierra Chart's Data folder

    Copy WaypointFairValueGaps_64.dll into Sierra Chart's Data folder. On a default install that is C:\SierraChart\Data. Otherwise it is the Data folder inside wherever Sierra Chart is installed.

  4. Step 4: Add the study to a chart

    Open the chart, then Analysis >> Studies >> Add Custom Study. Find the group "Waypoint Fair Value Gaps", select "Waypoint Fair Value Gaps", click Add, then OK. If the group is not in the list, restart Sierra Chart and look again.

  5. Step 5: Pick the gap timeframe

    Open the study's Settings. Leave Gap Timeframe in Minutes at 0 to find gaps on the chart's own bars, or set a higher timeframe, for example 15 on a 1-minute chart. The periods are pieces of the Globex day, 18:00 to 18:00 New York, counted from 18:00, and 1440 is the whole Globex day. The study converts bar times to New York itself (New York Time From, default the built-in New York DST rules), so the periods are the same on a chart in any time zone. For the most exact scorecard, use a 1-minute chart and set the gap timeframe.

  6. Step 6: Choose your rules

    Set Min Gap Size (ticks), or a minimum in ATR, to skip small gaps. Pick Gap Mitigated When: a wick reaching the far edge (default) or a gap-timeframe close beyond it. Inversion gaps are on by default; balanced price ranges are off until you turn on Show Balanced Price Ranges (overlap of opposite gaps).

  7. Step 7: Read the panel

    The panel sits in the top right corner (Panel Position). The scorecard lists trades, average R and win rate for the gaps and for the random levels, then one line: too few gap trades to grade yet, the gaps beat random levels, no evidence they beat random levels, or they did worse. If the gap trades lose on average after the cost input, a further line says so. Below it, the LONG and SHORT lines size a trade at the nearest gaps for Risk per Trade ($), using the symbol's Currency Value per Tick.

  8. Step 8: Check that it loaded

    Open Window >> Message Log. Look for a line that starts with "Waypoint Fair Value Gaps BUILD", followed by the build date and time. That line proves the study loaded. It also gives the number of gaps found, live gaps, inversion gaps and BPRs. With a Gap Timeframe set, a second line, "Waypoint Fair Value Gaps time check", says whether Sierra Chart's time-zone conversion and the built-in New York rules agree; if they do not, it is logged as an error.

Settings to check first

Open them with a right-click on the chart, then Studies, select the study and press Settings.

Gap Timeframe in Minutes (0 = chart bars, 1440 = daily)
Builds gaps from a higher timeframe on the same chart. 1440 is the Globex day from 18:00 New York. Default 0 (chart bars).
Min Gap Size (ticks)
The smallest gap drawn. Default 1. Min Gap Size (x ATR, 0 = off) adds an ATR minimum; default 0, with ATR Length 14.
Middle Candle Must Be a Displacement Candle
Keeps only gaps whose middle candle has a large body pointing the gap's way. Default No, with Displacement Min Body (x ATR) at 1.0.
Gap Mitigated When
A wick reaches the far edge (fully filled) by default, or A gap-timeframe close beyond the far edge.
Inversion Gaps (closed through = flips polarity)
A gap closed through becomes an inversion gap of the other side. Default Yes.
Live Gaps Shown per Side (nearest to price)
Live gaps drawn each side. Default 6. Inversion Gaps Shown per Side defaults to 3; Mitigated Gaps Shown per Side to 0 (removed when mitigated).
Show Gap Scorecard (gaps vs random levels on this chart)
Shows the scorecard. Default Yes, with a 2R target, a 40 gap-timeframe-bar time exit, a 1-tick cost and 3 random levels per gap.
Risk per Trade ($)
Dollar risk for the position size at the nearest gaps. Default 500. Show Position Size at the Nearest Gaps defaults to Yes.

Good to know

  • A charting and context tool, not a signal service. Waypoint's own tests on NQ, ES and CL found gap first touches lost after costs and did no better than random levels by any margin that would pay for them. The scorecard is there so you can check this on your own chart.
  • The scorecard grades on chart bars. A bar that spans the stop and target is decided by which is nearer its open, and gap stops are tight, so coarse bars grade low. Use a 1-minute chart with a Gap Timeframe for exact grading. It is a paper check of this chart's history, not a forecast.
  • Gaps across the 17:00-18:00 break or a weekend count like any other. On an unadjusted continuous contract, a gap across a roll is a price artifact.
  • Position-size dollars come from the symbol's Currency Value per Tick in Sierra Chart. The size is arithmetic, not a suggestion to take the trade.
  • The study keeps a record of every gap it has seen. Load the history you need, not all of it.
  • Provisional values, when that input is on, can appear and disappear while a bar forms. They never change what is drawn once the bar closes.
  • It places, changes and cancels no orders.

How it was tested. The engine was compiled exactly as shipped and compared gap by gap, bar by bar and trade by trade with an independent reference on years of NQ, ES and CL 1-minute data, on chart bars and with the Gap Timeframe input against native 5- to 240-minute bars. The forming-bar copy was checked against the committed result, and planted bugs were caught.

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