quoted_spread_cost
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 2026-10-02, from how-long-a-market-order-takes-to-fill.
| symbol | median_spread_bps | p90_spread_bps |
|---|---|---|
| MSFT | 3.24 | 5.45 |
| AAPL | 1.5 | 2.7 |
| KO | 1.13 | 2.27 |
| NVDA | 0.93 | 1.4 |
| SPY | 0.26 | 0.39 |
- Rows × columns
- 5 × 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 |
|---|---|---|---|
symbol |
text | 5 distinct values (AAPL, KO, MSFT…) | |
median_spread_bps |
number | 0.26 to 3.24 | |
p90_spread_bps |
number | 0.39 to 5.45 |
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.
SELECT
ticker AS symbol,
round(quantileDeterministic(0.5)(
10000 * (toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2),
cityHash64(ticker, sequence_number)), 2) AS median_spread_bps,
round(quantileDeterministic(0.9)(
10000 * (toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2),
cityHash64(ticker, sequence_number)), 2) AS p90_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'NVDA', 'AAPL', 'MSFT', 'KO')
AND sip_timestamp >= toDateTime('2026-09-16 14:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-16 14:10:00', 'UTC')
AND bid_price > 0
AND ask_price > bid_price
GROUP BY ticker
HAVING count() > 100
ORDER BY median_spread_bps DESC
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