After Hours Gap Scanner

The solution depends whether you are trying to work with Futures or Stocks. This solution will be provided for use with stocks.

For this solution I am pulling code used in the following video: https://www.hahn-tech.com/thinkorswim-alert-high-low-version-two/

We must use a time value in order to look back and get the prior day close. But even after grabbing that closing value we must then carry that value forward into the next trading session. This requires us to use recursion. First, let’s see what it takes to mark the location of the previous day’s regular session closing price:

input marketClose = 1600;
def closeCounter = SecondsTillTime(marketClose);
def regSessEnd = closeCounter[-1] == 0;

So we have a variable named regSessEnd that is true only on the last regular session bar of the chart. Next, we’ll set the value of a recursive variable to the close of the bar, only when regSessEnd is true. Then for every other bar on the chart we’ll assign the variable’s previous value.

rec priorDayClose = if regSessEnd then close else priorDayClose[1];

It helps if we can visualize things so let’s add one more line of code to plot that priorDayClose variable:

plot data = priorDayClose;

Screenshot is included below showing how this plots.

IMPORTANT NOTE:

The scan engine in Thinkorswim does not use local time zone. So be sure to realize this when setting the time. In this example I have the time input set to 1600, which is Eastern time zone. Which is required for running scans, regardless where you are located. This may be subject to change in the future. So if you run into issues you can’t explain through other means, consider playing around with the time input so see if they have changed this requirement.