{"slug":"backtesting-in-illiquid-markets","qid":"participation","label":"participation","post_title":"backtesting-in-illiquid-markets","post_url":"/blog/backtesting-in-illiquid-markets#q-participation","columns":["ticker","median_daily_shares","shares_at_2pct","median_daily_dollars_mm"],"rows":[{"ticker":"SPY","median_daily_shares":43721494,"shares_at_2pct":874430,"median_daily_dollars_mm":33041.47},{"ticker":"AAPL","median_daily_shares":41338918,"shares_at_2pct":826778,"median_daily_dollars_mm":13269.55},{"ticker":"KO","median_daily_shares":14832924,"shares_at_2pct":296658,"median_daily_dollars_mm":1301.14},{"ticker":"SJM","median_daily_shares":1296421,"shares_at_2pct":25928,"median_daily_dollars_mm":157.91}],"shape":"ranking","sql":"SELECT\n    ticker,\n    round(quantileDeterministic(0.5)(toFloat64(volume), toUInt64(toYYYYMMDD(date))), 0)        AS median_daily_shares,\n    round(quantileDeterministic(0.5)(toFloat64(volume), toUInt64(toYYYYMMDD(date))) * 0.02, 0) AS shares_at_2pct,\n    round(quantileDeterministic(0.5)(toFloat64(volume) * toFloat64(vwap),\n                                     toUInt64(toYYYYMMDD(date))) / 1e6, 2)                      AS median_daily_dollars_mm\nFROM global_markets.stocks_daily_aggs\nWHERE ticker IN ('SPY', 'AAPL', 'KO', 'SJM', 'LANC')\n  AND date >= '2026-07-01'\n  AND date <  '2026-09-26'\nGROUP BY ticker\nORDER BY median_daily_shares DESC","computed_at":"2026-10-01T16:17:34.066634+00:00","elapsed":0.003269211}