Whole-tape census: locked, crossed, and one-sided records across every NBBO update of the session
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 2026-10-04, from Locked and Crossed Markets, Explained With Data.
- Rows × columns
- 1 × 7
- Period covered
- 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 |
|---|---|---|---|
session_date |
date | 2026-09-30 | |
updates_m |
number | every row is 464 | |
locked_m |
number | every row is 9.82 | |
crossed_k |
number | every row is 44 | |
locked_per_crossed |
number | every row is 223 | |
locked_or_crossed_per_10k |
number | every row is 212.8 | |
one_sided_per_10k |
number | every row is 2.3 |
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.
WITH (
SELECT max(toDate(toTimeZone(window_start, 'America/New_York')))
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY' AND window_start < toDateTime(today() - 3)
) AS census_day
SELECT
formatDateTime(census_day, '%Y-%m-%d') AS session_date,
round(count() / 1e6, 0) AS updates_m,
round(countIf(bid_price = ask_price AND bid_price > 0) / 1e6, 2) AS locked_m,
round(countIf(bid_price > ask_price AND ask_price > 0) / 1e3, 1) AS crossed_k,
round(countIf(bid_price = ask_price AND bid_price > 0) / toFloat64(greatest(countIf(bid_price > ask_price AND ask_price > 0), 1)), 0) AS locked_per_crossed,
round(countIf(bid_price >= ask_price AND ask_price > 0 AND bid_price > 0) / toFloat64(count()) * 1e4, 1) AS locked_or_crossed_per_10k,
round(countIf(bid_price <= 0 OR ask_price <= 0) / toFloat64(count()) * 1e4, 1) AS one_sided_per_10k
FROM global_markets.cache_stocks_quotes
WHERE sip_timestamp >= toDateTime(census_day)
AND sip_timestamp < toDateTime(census_day + 1)
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