The gap can be normal for some stems. Think about it - if the gap closed all the way, then the bolt wouldn't be able to tighten the clamp any further.
How well does the curve of the stem pieces match the curve of the bar?
What brand & model is the stem? The handlebars? Or - what size are your handlebars: 25.4mm, 26.0mm, 26.4mm, 31.8mm; and what size bar is the stem meant for?