auction_share_by_session
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.
| session | auction_pct | day_volume_millions |
|---|---|---|
| 2026-08-03 | 26.86 | 23.2 |
| 2026-08-04 | 19.47 | 17.1 |
| 2026-08-05 | 19.47 | 15.9 |
| 2026-08-06 | 24.79 | 13.6 |
| 2026-08-07 | 28.24 | 11.2 |
| 2026-08-10 | 21.09 | 13.7 |
| 2026-08-11 | 36.15 | 16 |
| 2026-08-12 | 17.72 | 12.7 |
| 2026-08-13 | 24.45 | 10.1 |
| 2026-08-14 | 21.44 | 9.2 |
| 2026-08-17 | 15.92 | 12.1 |
| 2026-08-18 | 20.66 | 12.5 |
| 2026-08-19 | 13.56 | 16 |
| 2026-08-20 | 17.63 | 14.9 |
| 2026-08-21 | 17.84 | 15.6 |
| 2026-08-24 | 16.61 | 14.8 |
| 2026-08-25 | 16.97 | 11.9 |
| 2026-08-26 | 17.32 | 17.1 |
| 2026-08-27 | 26.28 | 13.5 |
| 2026-08-28 | 15.91 | 9.9 |
| 2026-08-31 | 39.49 | 23.8 |
| 2026-09-01 | 24.33 | 14.8 |
| 2026-09-02 | 30.1 | 18.5 |
| 2026-09-03 | 22.85 | 13.8 |
| 2026-09-04 | 16.14 | 17.3 |
| 2026-09-08 | 12.97 | 19.4 |
| 2026-09-09 | 18.47 | 12.3 |
| 2026-09-10 | 21.08 | 12 |
| 2026-09-11 | 20.33 | 10 |
| 2026-09-14 | 12.35 | 14.1 |
| 2026-09-15 | 18.2 | 13.2 |
| 2026-09-16 | 44.47 | 17.1 |
| 2026-09-17 | 40.82 | 16.6 |
| 2026-09-18 | 41.05 | 28 |
| 2026-09-21 | 31.58 | 18.1 |
| 2026-09-22 | 34.6 | 17.3 |
| 2026-09-23 | 21.53 | 13 |
| 2026-09-24 | 16.05 | 13.2 |
| 2026-09-25 | 16.52 | 12.2 |
| 2026-09-28 | 18.34 | 14.5 |
| 2026-09-29 | 22.16 | 13.7 |
| 2026-09-30 | 29.85 | 15.8 |
- Rows × columns
- 42 × 3
- Period covered
- to
- 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 |
|---|---|---|---|
session |
date | 2026-08-03 to 2026-09-30 | |
auction_pct |
number | 12.35 to 44.47 | percent |
day_volume_millions |
number | 9.2 to 28 | count |
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
closing_print AS
(
SELECT
toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session,
max(size) AS auction_shares
FROM global_markets.stocks_trades
WHERE ticker = 'KO'
AND sip_timestamp >= toDateTime('2026-08-03 00:00:00')
AND sip_timestamp < toDateTime('2026-10-01 00:00:00')
AND toHour(toTimeZone(sip_timestamp, 'America/New_York')) = 16
AND toMinute(toTimeZone(sip_timestamp, 'America/New_York')) = 0
GROUP BY session
),
day_volume AS
(
SELECT
date AS session,
max(volume) AS day_shares
FROM global_markets.stocks_daily_aggs
WHERE ticker = 'KO'
AND date >= '2026-08-03'
AND date < '2026-10-01'
GROUP BY session
)
SELECT
session,
round(100 * toFloat64(auction_shares) / toFloat64(day_shares), 2) AS auction_pct,
round(toFloat64(day_shares) / 1e6, 1) AS day_volume_millions
FROM closing_print
INNER JOIN day_volume USING (session)
ORDER BY session
Work with this data in your AI assistant
Opens ready to query, with this page's data. Free, no account.