Gaps form an important part of price action. They vary in rareness from market to market. For instance, in the currencies market, they usually happen on opening following the weekend or whenever there is a big announcement while in stocks, gaps are fairly common from one day to another. In this article, we will see the different types of gaps and then code a scanner in Python that finds them and applies the well-known practice of “filling the gaps” as an algorithmic trading strategy. Intuitively, the strategy should underperform as no technique this simple can provide alpha but it is interesting to know how to code this system in Python.