Index gaps at the open: how does your broker handle them?

An index can open at a different price from its previous close, and that gap is one of the largest risks a position faces overnight. The reason is that the market is closed for part of the time, and news that arrives in that period is priced in at the next open. Market sessions explained shows when each centre opens and closes, which helps explain why a gap can appear between two sessions.

Members who trade through the open usually want to know how their broker fills a stop on a gap. A stop placed at a level below the previous close may be filled at the opening price, which can be well beyond the planned level. The terms that cover this are often in the execution policy, and they differ between brokers and between account types.

We would like to hear your experience:

• How does your broker fill a stop on an index gap at the open?
• Have you had a stop filled well beyond the planned level? What did you do?
• Do you hold index positions through a session change, or close before it?
• What would you check in a broker's execution policy before you trust it on a gap?

Please share your own approach and reasoning, not calls for others to copy. Posts that promise a direction or sell signals will be removed.