spread_by_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 2026-10-02, from do-nyse-and-nasdaq-have-public-apis.
| et_time | median_spread_cents | quote_count |
|---|---|---|
| 04:00 | 24 | 817 |
| 04:15 | 25 | 365 |
| 04:30 | 22 | 182 |
| 04:45 | 23 | 160 |
| 05:00 | 28 | 96 |
| 05:15 | 16 | 89 |
| 05:30 | 22 | 189 |
| 05:45 | 16 | 60 |
| 06:00 | 20 | 74 |
| 06:15 | 26 | 341 |
| 06:30 | 34 | 82 |
| 06:45 | 19 | 158 |
| 07:00 | 19 | 521 |
| 07:15 | 20 | 273 |
| 07:30 | 18 | 140 |
| 07:45 | 12 | 309 |
| 08:00 | 17 | 400 |
| 08:15 | 13 | 397 |
| 08:30 | 11 | 203 |
| 08:45 | 26 | 385 |
| 09:00 | 14 | 330 |
| 09:15 | 27 | 2317 |
| 09:30 | 6 | 58563 |
| 09:45 | 4 | 39674 |
| 10:00 | 4 | 40608 |
| 10:15 | 4 | 30086 |
| 10:30 | 4 | 30425 |
| 10:45 | 4 | 33571 |
| 11:00 | 3 | 34656 |
| 11:15 | 3 | 22296 |
| 11:30 | 3 | 22642 |
| 11:45 | 3 | 24860 |
| 12:00 | 3 | 22445 |
| 12:15 | 2 | 21574 |
| 12:30 | 3 | 19013 |
| 12:45 | 2 | 18705 |
| 13:00 | 2 | 16833 |
| 13:15 | 2 | 15746 |
| 13:30 | 2 | 16955 |
| 13:45 | 2 | 16142 |
| 14:00 | 2 | 17301 |
| 14:15 | 2 | 17682 |
| 14:30 | 2 | 18146 |
| 14:45 | 2 | 18208 |
| 15:00 | 2 | 15258 |
| 15:15 | 2 | 18480 |
| 15:30 | 2 | 21019 |
| 15:45 | 2 | 58309 |
| 16:00 | 14 | 443 |
| 16:15 | 15 | 133 |
| 16:30 | 11 | 90 |
| 16:45 | 9 | 69 |
| 17:00 | 9 | 53 |
| 17:15 | 15 | 64 |
| 18:00 | 11 | 224 |
| 18:15 | 19 | 67 |
| 18:30 | 12 | 225 |
| 18:45 | 10 | 193 |
| 19:00 | 15 | 92 |
| 19:30 | 9 | 165 |
| 19:45 | 11 | 101 |
- Rows × columns
- 61 × 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 | 61 distinct values (04:00, 04:15, 04:30…) | |
median_spread_cents |
number | 2 to 34 | |
quote_count |
number | 53 to 58,563 | 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.
SELECT
formatDateTime(bucket, '%H:%i') AS et_time,
round(median_cents, 2) AS median_spread_cents,
quote_count
FROM
(
SELECT
toStartOfFifteenMinutes(toTimeZone(sip_timestamp, 'America/New_York')) AS bucket,
quantileExact(0.5)(toFloat64(ask_price - bid_price) * 100) AS median_cents,
count() AS quote_count
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= toDateTime('2026-09-15 04:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-16 04:00:00', 'UTC')
AND bid_price > 0
AND ask_price > bid_price
GROUP BY bucket
HAVING count() >= 50
ORDER BY bucket
)
ORDER BY et_time
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