{"slug":"buy-side-vs-sell-side-liquidity","qid":"rejection_by_excess","label":"rejection_by_excess","post_title":"buy-side-vs-sell-side-liquidity","post_url":"/blog/lang/ar/buy-side-vs-sell-side-liquidity#q-rejection_by_excess","columns":["excess_above_high","sessions","closed_back_below","rejection_rate_pct"],"rows":[{"excess_above_high":"0.00-0.10%","sessions":122,"closed_back_below":104,"rejection_rate_pct":85.2},{"excess_above_high":"0.10-0.25%","sessions":168,"closed_back_below":101,"rejection_rate_pct":60.1},{"excess_above_high":"0.25-0.50%","sessions":199,"closed_back_below":50,"rejection_rate_pct":25.1},{"excess_above_high":"0.50-1.00%","sessions":150,"closed_back_below":12,"rejection_rate_pct":8},{"excess_above_high":"over 1.00%","sessions":43,"closed_back_below":5,"rejection_rate_pct":11.6}],"shape":"ranking","sql":"WITH bars AS\n(\n    SELECT\n        date,\n        max(toFloat64(high))  AS day_high,\n        max(toFloat64(close)) AS day_close\n    FROM global_markets.stocks_daily_aggs\n    WHERE ticker = 'SPY'\n      AND date >= '2015-01-01'\n      AND date <  '2026-10-01'\n    GROUP BY date\n),\nflagged AS\n(\n    SELECT\n        day_high,\n        day_close,\n        max(day_high) OVER (ORDER BY date ASC ROWS BETWEEN 20 PRECEDING AND 1 PRECEDING) AS prior_high\n    FROM bars\n),\ncleared AS\n(\n    SELECT\n        round(100 * (day_high / prior_high - 1), 4) AS excess_pct,\n        day_close < prior_high                      AS below_at_close\n    FROM flagged\n    WHERE prior_high > 0\n      AND day_high > prior_high\n)\nSELECT\n    multiIf(excess_pct < 0.10, '0.00-0.10%',\n            excess_pct < 0.25, '0.10-0.25%',\n            excess_pct < 0.50, '0.25-0.50%',\n            excess_pct < 1.00, '0.50-1.00%',\n                               'over 1.00%') AS excess_above_high,\n    count()                                  AS sessions,\n    countIf(below_at_close)                  AS closed_back_below,\n    round(100 * countIf(below_at_close) / count(), 1) AS rejection_rate_pct\nFROM cleared\nGROUP BY excess_above_high\nORDER BY min(excess_pct)","computed_at":"2026-10-01T15:29:47.628692+00:00","elapsed":0.009676365}