auction_share_by_day
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 2026-10-03, from closing-auction-share-of-daily-volume.
| label | nyse_listed_pct | nasdaq_listed_pct |
|---|---|---|
| quiet Tuesday, Aug 11 | 19.17 | 17.39 |
| monthly opex Friday, Aug 21 | 10.35 | 12.62 |
| quarterly rebalance Friday, Sep 18 | 26.6 | 35.5 |
| ordinary Wednesday, Sep 23 | 14.52 | 21.6 |
- Rows × columns
- 4 × 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 |
|---|---|---|---|
label |
text | 4 distinct values | |
nyse_listed_pct |
number | 10.35 to 26.6 | percent |
nasdaq_listed_pct |
number | 12.62 to 35.5 | percent |
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.
WITH
auction AS
(
SELECT
toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session,
ticker,
max(size) AS auction_shares
FROM global_markets.stocks_trades
WHERE ticker IN ('KO', 'JNJ', 'XOM', 'WMT', 'AAPL', 'MSFT', 'COST', 'CSCO')
AND toDate(sip_timestamp) IN ('2026-08-11', '2026-08-21', '2026-09-18', '2026-09-23')
AND toHour(toTimeZone(sip_timestamp, 'America/New_York')) = 16
AND toMinute(toTimeZone(sip_timestamp, 'America/New_York')) = 0
GROUP BY session, ticker
),
day_volume AS
(
SELECT
date AS session,
ticker,
max(volume) AS day_shares
FROM global_markets.stocks_daily_aggs
WHERE ticker IN ('KO', 'JNJ', 'XOM', 'WMT', 'AAPL', 'MSFT', 'COST', 'CSCO')
AND date IN ('2026-08-11', '2026-08-21', '2026-09-18', '2026-09-23')
GROUP BY session, ticker
)
SELECT
multiIf(
session = '2026-08-11', 'quiet Tuesday, Aug 11',
session = '2026-08-21', 'monthly opex Friday, Aug 21',
session = '2026-09-18', 'quarterly rebalance Friday, Sep 18',
'ordinary Wednesday, Sep 23') AS label,
round(100 * sumIf(toFloat64(auction_shares), ticker IN ('KO', 'JNJ', 'XOM', 'WMT'))
/ sumIf(toFloat64(day_shares), ticker IN ('KO', 'JNJ', 'XOM', 'WMT')), 2) AS nyse_listed_pct,
round(100 * sumIf(toFloat64(auction_shares), ticker IN ('AAPL', 'MSFT', 'COST', 'CSCO'))
/ sumIf(toFloat64(day_shares), ticker IN ('AAPL', 'MSFT', 'COST', 'CSCO')), 2) AS nasdaq_listed_pct
FROM auction
INNER JOIN day_volume USING (session, ticker)
GROUP BY session
ORDER BY session
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