{"slug":"amzn-premarket-and-after-hours-prices","qid":"spread_by_hour","label":"spread_by_hour","post_title":"amzn-premarket-and-after-hours-prices","post_url":"/blog/amzn-premarket-and-after-hours-prices#q-spread_by_hour","columns":["et_hour","median_spread_bps","median_quoted_size"],"rows":[{"et_hour":"Thu 16:00","median_spread_bps":9.4,"median_quoted_size":400},{"et_hour":"Thu 17:00","median_spread_bps":5.3,"median_quoted_size":300},{"et_hour":"Thu 18:00","median_spread_bps":3.7,"median_quoted_size":400},{"et_hour":"Thu 19:00","median_spread_bps":2.3,"median_quoted_size":700},{"et_hour":"Fri 04:00","median_spread_bps":8.8,"median_quoted_size":400},{"et_hour":"Fri 05:00","median_spread_bps":8.4,"median_quoted_size":400},{"et_hour":"Fri 06:00","median_spread_bps":9.3,"median_quoted_size":400},{"et_hour":"Fri 07:00","median_spread_bps":4.6,"median_quoted_size":400},{"et_hour":"Fri 08:00","median_spread_bps":4.6,"median_quoted_size":400},{"et_hour":"Fri 09:00","median_spread_bps":2.7,"median_quoted_size":300},{"et_hour":"Fri 10:00","median_spread_bps":1.8,"median_quoted_size":300}],"shape":"ranking","sql":"SELECT\n    formatDateTime(hour_start, '%a %H:%i')                             AS et_hour,\n    round(quantileDeterministic(0.5)(spread_bps, sequence_number), 1)  AS median_spread_bps,\n    round(quantileDeterministic(0.5)(inside_size, sequence_number), 0) AS median_quoted_size\nFROM\n(\n    SELECT\n        toStartOfHour(toTimeZone(sip_timestamp, 'America/New_York'))        AS hour_start,\n        10000 * (toFloat64(ask_price) - toFloat64(bid_price))\n              / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2)         AS spread_bps,\n        toFloat64(bid_size + ask_size)                                      AS inside_size,\n        toUInt64(abs(sequence_number))                                      AS sequence_number\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'AMZN'\n      AND sip_timestamp >= '2025-07-31 20:00:00'\n      AND sip_timestamp <  '2025-08-01 15:00:00'\n      AND bid_price > 0\n      AND ask_price > bid_price\n      AND bid_size > 0\n      AND ask_size > 0\n)\nGROUP BY hour_start\nHAVING count() > 500\nORDER BY hour_start","computed_at":"2026-10-02T15:42:37.186612+00:00","elapsed":0.003710258}