{"slug":"how-much-slippage-to-assume-in-a-backtest","qid":"half_spread_by_name","label":"Quoted spread and the half spread floor, six household names, one midday hour","post_title":"How Much Slippage to Assume in a Backtest","post_url":"/blog/how-much-slippage-to-assume-in-a-backtest#q-half_spread_by_name","columns":["ticker","avg_spread_cents","half_spread_bps"],"rows":[{"ticker":"JNJ","avg_spread_cents":17.92,"half_spread_bps":3.36},{"ticker":"MSFT","avg_spread_cents":12.82,"half_spread_bps":1.3},{"ticker":"KO","avg_spread_cents":1.22,"half_spread_bps":0.69},{"ticker":"AAPL","avg_spread_cents":4.54,"half_spread_bps":0.68},{"ticker":"NVDA","avg_spread_cents":1.57,"half_spread_bps":0.36},{"ticker":"SPY","avg_spread_cents":1.71,"half_spread_bps":0.11}],"shape":"ranking","sql":"SELECT\n    ticker,\n    round(avg(toFloat64(ask_price - bid_price)) * 100, 2)                                      AS avg_spread_cents,\n    round(avg(toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price)) * 10000, 2) AS half_spread_bps\nFROM global_markets.cache_stocks_quotes\nWHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO', 'JNJ')\n  AND sip_timestamp >= toDateTime('2026-09-16 14:00:00', 'UTC')\n  AND sip_timestamp <  toDateTime('2026-09-16 15:00:00', 'UTC')\n  AND bid_price > 0\n  AND ask_price > bid_price\nGROUP BY ticker\nORDER BY half_spread_bps DESC","computed_at":"2026-10-08T16:10:23.857626+00:00","elapsed":0.002591462}