spread_by_hour
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-10-02, from amzn-premarket-and-after-hours-prices.
| et_hour | median_spread_bps | median_quoted_size |
|---|---|---|
| Thu 16:00 | 9.4 | 400 |
| Thu 17:00 | 5.3 | 300 |
| Thu 18:00 | 3.7 | 400 |
| Thu 19:00 | 2.3 | 700 |
| Fri 04:00 | 8.8 | 400 |
| Fri 05:00 | 8.4 | 400 |
| Fri 06:00 | 9.3 | 400 |
| Fri 07:00 | 4.6 | 400 |
| Fri 08:00 | 4.6 | 400 |
| Fri 09:00 | 2.7 | 300 |
| Fri 10:00 | 1.8 | 300 |
- Rows × columns
- 11 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
et_hour |
text | 11 distinct values (Fri 04:00, Fri 05:00, Fri 06:00…) | |
median_spread_bps |
number | 1.8 to 9.4 | |
median_quoted_size |
number | 300 to 700 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT
formatDateTime(hour_start, '%a %H:%i') AS et_hour,
round(quantileDeterministic(0.5)(spread_bps, sequence_number), 1) AS median_spread_bps,
round(quantileDeterministic(0.5)(inside_size, sequence_number), 0) AS median_quoted_size
FROM
(
SELECT
toStartOfHour(toTimeZone(sip_timestamp, 'America/New_York')) AS hour_start,
10000 * (toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) AS spread_bps,
toFloat64(bid_size + ask_size) AS inside_size,
toUInt64(abs(sequence_number)) AS sequence_number
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AMZN'
AND sip_timestamp >= '2025-07-31 20:00:00'
AND sip_timestamp < '2025-08-01 15:00:00'
AND bid_price > 0
AND ask_price > bid_price
AND bid_size > 0
AND ask_size > 0
)
GROUP BY hour_start
HAVING count() > 500
ORDER BY hour_start
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