A market gap is the difference between the closing price of one period and the opening price of the next period. Market gaps are most often created between trading sessions, such as during the night or over the weekend.

Gaps in the market can also occur in highly volatile market announcements, high volatility leads to a lack of liquidity being provided by liquidity providers unable to support the other side of the deal. This leads to “slippage” of prices or re quotes from the Broker.