spread_clock
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 buy-side-vs-sell-side-liquidity.
| et_time | avg_spread_cents | avg_quoted_size |
|---|---|---|
| 08:00 | 6.76 | 53305 |
| 08:30 | 5.07 | 48813 |
| 09:00 | 4.29 | 50611 |
| 09:30 | 2.13 | 43869 |
| 10:00 | 2.14 | 41426 |
| 10:30 | 3.45 | 35792 |
| 11:00 | 2.63 | 41337 |
| 11:30 | 2.13 | 50672 |
| 12:00 | 1.88 | 47469 |
| 12:30 | 1.65 | 54124 |
| 13:00 | 1.85 | 45793 |
| 13:30 | 1.39 | 67811 |
| 14:00 | 1.53 | 51916 |
| 14:30 | 1.47 | 65742 |
| 15:00 | 1.57 | 64401 |
| 15:30 | 1.61 | 81044 |
| 16:00 | 2.88 | 107235 |
| 16:30 | 4.1 | 97395 |
- Rows × columns
- 18 × 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_time |
text | 18 distinct values (08:00, 08:30, 09:00…) | |
avg_spread_cents |
number | 1.39 to 6.76 | |
avg_quoted_size |
number | 35,792 to 107,235 |
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(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
round(avg(toFloat64(ask_price) - toFloat64(bid_price)) * 100, 2) AS avg_spread_cents,
round(avg(toFloat64(bid_size) + toFloat64(ask_size)) * 100, 0) AS avg_quoted_size
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPY'
AND sip_timestamp >= '2026-07-10 12:00:00'
AND sip_timestamp < '2026-07-10 21:00:00'
AND bid_price > 0
AND ask_price > bid_price
GROUP BY et_time
HAVING count() > 500
ORDER BY et_time
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