{"slug":"held-vs-not-held-orders","qid":"spread_clock","label":"Average quoted spread by half hour, AAPL and KO, June 17 2026","post_title":"Held vs Not-Held Orders: Broker Discretion","post_url":"/blog/held-vs-not-held-orders#q-spread_clock","columns":["et_time","aapl_spread_bps","ko_spread_bps"],"rows":[{"et_time":"09:00","aapl_spread_bps":6.57,"ko_spread_bps":21.21},{"et_time":"09:30","aapl_spread_bps":1.81,"ko_spread_bps":2.88},{"et_time":"10:00","aapl_spread_bps":1.22,"ko_spread_bps":1.97},{"et_time":"10:30","aapl_spread_bps":1.32,"ko_spread_bps":1.93},{"et_time":"11:00","aapl_spread_bps":1.11,"ko_spread_bps":1.66},{"et_time":"11:30","aapl_spread_bps":0.91,"ko_spread_bps":1.43},{"et_time":"12:00","aapl_spread_bps":0.89,"ko_spread_bps":1.42},{"et_time":"12:30","aapl_spread_bps":0.73,"ko_spread_bps":1.4},{"et_time":"13:00","aapl_spread_bps":0.82,"ko_spread_bps":1.4},{"et_time":"13:30","aapl_spread_bps":0.73,"ko_spread_bps":1.39},{"et_time":"14:00","aapl_spread_bps":1.18,"ko_spread_bps":1.85},{"et_time":"14:30","aapl_spread_bps":1.05,"ko_spread_bps":1.45},{"et_time":"15:00","aapl_spread_bps":1.06,"ko_spread_bps":1.44},{"et_time":"15:30","aapl_spread_bps":0.98,"ko_spread_bps":1.39},{"et_time":"16:00","aapl_spread_bps":6.72,"ko_spread_bps":58.27}],"shape":"series","sql":"SELECT\n    formatDateTime(\n        toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE),\n        '%H:%i')                                       AS et_time,\n    round(avgIf(toFloat64(ask_price - bid_price)\n                / toFloat64((ask_price + bid_price) / 2) * 10000,\n                ticker = 'AAPL'), 2)                   AS aapl_spread_bps,\n    round(avgIf(toFloat64(ask_price - bid_price)\n                / toFloat64((ask_price + bid_price) / 2) * 10000,\n                ticker = 'KO'), 2)                     AS ko_spread_bps\nFROM global_markets.cache_stocks_quotes\nWHERE ticker IN ('AAPL', 'KO')\n  AND sip_timestamp >= '2026-06-17 13:00:00'\n  AND sip_timestamp <  '2026-06-17 20:30:00'\n  AND bid_price > 0\n  AND ask_price > bid_price\n  AND toFloat64(ask_price - bid_price) / toFloat64(bid_price) < 0.02\nGROUP BY et_time\nHAVING countIf(ticker = 'AAPL') > 0\n   AND countIf(ticker = 'KO') > 0\nORDER BY et_time","computed_at":"2026-08-12T16:09:28.190717+00:00","elapsed":0.003692654}