touch_depth
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 2026-10-01, from backtesting-in-illiquid-markets.
| ticker | quoted_spread_bps | avg_touch_shares | quote_updates |
|---|---|---|---|
| KO | 1.3 | 43678 | 75853 |
| SPY | 0.2 | 26933 | 586907 |
| SJM | 19.5 | 17566 | 5127 |
| AAPL | 1.3 | 11527 | 148339 |
- Rows × columns
- 4 × 4
- 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 |
|---|---|---|---|
ticker |
text | 4 distinct values (AAPL, KO, SJM…) | |
quoted_spread_bps |
number | 0.2 to 19.5 | |
avg_touch_shares |
number | 11,527 to 43,678 | count |
quote_updates |
number | 5,127 to 586,907 |
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
ticker,
round(avg(toFloat64(ask_price) - toFloat64(bid_price))
/ avg((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, 1) AS quoted_spread_bps,
round(avg(toFloat64(bid_size + ask_size) / 2) * 100, 0) AS avg_touch_shares,
count() AS quote_updates
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'AAPL', 'KO', 'SJM', 'LANC')
AND sip_timestamp >= '2026-09-16 00:00:00'
AND sip_timestamp < '2026-09-17 00:00:00'
AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
+ toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) >= 600
AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
+ toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) < 720
AND bid_price > 0
AND ask_price > bid_price
GROUP BY ticker
ORDER BY avg_touch_shares DESC
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