Share of each 15 minute bucket spent at a one cent quoted spread

Name: Share of each 15 minute bucket spent at a one cent quoted spread
Creator: Strasmore
Published: 2026-08-13
License: https://www.strasmore.com/terms/

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 2026-08-13, from Half-Penny Tick Sizes Under Rule 612.

as of 2026-08-13 series 30×3read in context →

Share of each 15 minute bucket spent at a one cent quoted spread — 30 rows by 3 columns, computed 2026-08-13 from US exchange, SIP and OPRA data.
et_time	aapl_floor_pct	f_floor_pct
09:00	1.6	75
09:15	0.8	50
09:30	41.4	95.4
09:45	53.4	100
10:00	54	99.9
10:15	56.5	100
10:30	65.5	100
10:45	60.4	100
11:00	48.5	100
11:15	47.5	100
11:30	58.1	100
11:45	59.5	100
12:00	67.6	100
12:15	68.6	100
12:30	68.6	100
12:45	72.5	100
13:00	75.1	100
13:15	76.4	100
13:30	72.3	100
13:45	62.4	100
14:00	71.9	100
14:15	85	100
14:30	85.8	100
14:45	84.9	100
15:00	85.1	100
15:15	89.2	100
15:30	79	100
15:45	62.1	100
16:00	1.9	52.4
16:15	5.1	44.4

Rows × columns: 30 × 3
Period covered: 09:00 to 16:15
Computed: 2026-08-13
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for Share of each 15 minute bucket spent at a one cent quoted spread, derived from the stored result.
Column	Type	Range	Notes
`et_time`	date	09:00 to 16:15
`aapl_floor_pct`	number	0.8 to 89.2	percent
`f_floor_pct`	number	44.4 to 100	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 2026-08-13, and the query below is what returned them.

the exact SQL behind every number

WITH per_second AS
(
    SELECT
        ticker,
        toDateTime(sip_timestamp, 'America/New_York') AS quote_second,
        max(toFloat64(bid_price))                     AS best_bid,
        min(toFloat64(ask_price))                     AS best_ask
    FROM global_markets.cache_stocks_quotes
    WHERE ticker IN ('AAPL', 'F')
      AND sip_timestamp >= '2026-08-05 13:00:00'
      AND sip_timestamp <  '2026-08-05 20:30:00'
      AND bid_price > 0
      AND ask_price > 0
    GROUP BY ticker, quote_second
)
SELECT
    formatDateTime(toStartOfInterval(quote_second, INTERVAL 15 MINUTE), '%H:%i') AS et_time,
    round(100 * countIf(ticker = 'AAPL' AND best_ask - best_bid < 0.011)
              / countIf(ticker = 'AAPL'), 1) AS aapl_floor_pct,
    round(100 * countIf(ticker = 'F' AND best_ask - best_bid < 0.011)
              / countIf(ticker = 'F'), 1)    AS f_floor_pct
FROM per_second
WHERE best_ask > best_bid
GROUP BY toStartOfInterval(quote_second, INTERVAL 15 MINUTE)
HAVING countIf(ticker = 'AAPL') > 0 AND countIf(ticker = 'F') > 0
ORDER BY toStartOfInterval(quote_second, INTERVAL 15 MINUTE) ASC

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