Share of each 15 minute bucket spent at a one cent quoted spread
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.
| 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
- 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 | 30 distinct values (09:00, 09:15, 09:30…) | |
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 , 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 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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