{"slug":"does-opra-have-depth-of-book","qid":"composite_ladder","label":"One contract, one minute: displayed size at each exchange's best quote","post_title":"Does OPRA Have Depth of Book? Feed Explained","post_url":"/blog/does-opra-have-depth-of-book#q-composite_ladder","columns":["venue","bid_contracts","ask_contracts","spread_cents"],"rows":[{"venue":"exch 320","bid_contracts":100,"ask_contracts":31,"spread_cents":2},{"venue":"exch 315","bid_contracts":70,"ask_contracts":42,"spread_cents":2},{"venue":"exch 322","bid_contracts":55,"ask_contracts":31,"spread_cents":2},{"venue":"exch 313","bid_contracts":45,"ask_contracts":25,"spread_cents":2},{"venue":"exch 316","bid_contracts":42,"ask_contracts":39,"spread_cents":2},{"venue":"exch 325","bid_contracts":11,"ask_contracts":31,"spread_cents":1},{"venue":"exch 300","bid_contracts":5,"ask_contracts":37,"spread_cents":1},{"venue":"exch 302","bid_contracts":2,"ask_contracts":92,"spread_cents":1}],"shape":"ranking","sql":"WITH busiest AS\n(\n    SELECT ticker\n    FROM global_markets.options_trades\n    WHERE underlying_symbol = 'AAPL'\n      AND sip_timestamp >= '2026-09-16 00:00:00'\n      AND sip_timestamp <  '2026-09-17 00:00:00'\n    GROUP BY ticker\n    ORDER BY sum(size) DESC\n    LIMIT 1\n)\nSELECT\n    concat('exch ', toString(bid_exchange))               AS venue,\n    toUInt32(argMax(bid_size, sip_timestamp))             AS bid_contracts,\n    toUInt32(argMax(ask_size, sip_timestamp))             AS ask_contracts,\n    round(100 * (toFloat64(argMax(ask_price, sip_timestamp))\n               - toFloat64(argMax(bid_price, sip_timestamp))), 1) AS spread_cents\nFROM global_markets.cache_options_quotes\nWHERE ticker IN (SELECT ticker FROM busiest)\n  AND sip_timestamp >= '2026-09-16 15:00:00'\n  AND sip_timestamp <  '2026-09-16 15:01:00'\nGROUP BY bid_exchange\nHAVING argMax(bid_price, sip_timestamp) > 0\n   AND argMax(ask_price, sip_timestamp) > 0\n   AND argMax(bid_size, sip_timestamp) > 0\nORDER BY bid_contracts DESC, spread_cents ASC","computed_at":"2026-10-08T15:25:26.448850+00:00","elapsed":0.003812888}