Top-of-book spread and quote message count by name (10:00 to 11:00 a.m. ET)

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 2026-08-07, from Level 1 vs Level 2 vs Level 3 Market Data.

Rows × columns

5 × 3

Computed

2026-08-07

Completeness

No missing values

Source

US exchange, SIP and OPRA market data

Licence

Strasmore terms · free, no signup

Formats

JSON · CSV · the SQL below

What each column holds

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 2026-08-07, and the query below is what returned them.

SELECT
    ticker                                                                 AS symbol,
    round(avg((toFloat64(ask_price) - toFloat64(bid_price))
              / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2)) * 10000, 2) AS spread_bps,
    count()                                                                AS quote_update_count
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO')
  AND sip_timestamp >= '2026-06-17 14:00:00'
  AND sip_timestamp <  '2026-06-17 15:00:00'
  AND bid_price > 0
  AND ask_price > bid_price
  AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.05
GROUP BY symbol
ORDER BY spread_bps