{"slug":"half-penny-tick-sizes","qid":"spread_test","label":"Average quoted spread and time on the penny floor, pinned session","post_title":"Half-Penny Tick Sizes Under Rule 612","post_url":"/blog/half-penny-tick-sizes#q-spread_test","columns":["symbol","avg_quoted_spread_cents","time_at_penny_floor_pct"],"rows":[{"symbol":"F","avg_quoted_spread_cents":1,"time_at_penny_floor_pct":99.8},{"symbol":"PFE","avg_quoted_spread_cents":1.02,"time_at_penny_floor_pct":99.1},{"symbol":"NVDA","avg_quoted_spread_cents":1.19,"time_at_penny_floor_pct":81.6},{"symbol":"SPY","avg_quoted_spread_cents":1.25,"time_at_penny_floor_pct":77.7},{"symbol":"KO","avg_quoted_spread_cents":1.35,"time_at_penny_floor_pct":71.5},{"symbol":"AAPL","avg_quoted_spread_cents":1.5,"time_at_penny_floor_pct":68.9},{"symbol":"MSFT","avg_quoted_spread_cents":9.19,"time_at_penny_floor_pct":5.1},{"symbol":"GS","avg_quoted_spread_cents":69.55,"time_at_penny_floor_pct":0.3}],"shape":"ranking","sql":"WITH per_second AS\n(\n    SELECT\n        ticker,\n        toDateTime(sip_timestamp)  AS quote_second,\n        max(toFloat64(bid_price))  AS best_bid,\n        min(toFloat64(ask_price))  AS best_ask\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO', 'PFE', 'F', 'GS')\n      AND sip_timestamp >= '2026-08-05 13:30:00'\n      AND sip_timestamp <  '2026-08-05 20:00:00'\n      AND bid_price > 0\n      AND ask_price > 0\n    GROUP BY ticker, quote_second\n)\nSELECT\n    ticker                                                          AS symbol,\n    round(avg(best_ask - best_bid) * 100, 2)                        AS avg_quoted_spread_cents,\n    round(100 * countIf(best_ask - best_bid < 0.011) / count(), 1)  AS time_at_penny_floor_pct\nFROM per_second\nWHERE best_ask > best_bid\nGROUP BY ticker\nORDER BY avg_quoted_spread_cents ASC","computed_at":"2026-08-13T16:13:06.520845+00:00","elapsed":0.003142678}