quote_cost_and_depth
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 2026-09-24, from market-making-in-prediction-markets.
| et_time | median_spread_bps | median_quoted_size |
|---|---|---|
| 04:00 | 31.78 | 200 |
| 04:30 | 12.48 | 300 |
| 05:00 | 19.34 | 250 |
| 05:30 | 13.72 | 200 |
| 06:00 | 8.74 | 300 |
| 06:30 | 6.24 | 300 |
| 07:00 | 6.24 | 300 |
| 07:30 | 10 | 300 |
| 08:00 | 11.26 | 300 |
| 08:30 | 13.76 | 500 |
| 09:00 | 21.28 | 300 |
| 09:30 | 2.53 | 900 |
| 10:00 | 1.26 | 1000 |
| 10:30 | 1.26 | 900 |
| 11:00 | 1.25 | 1100 |
| 11:30 | 1.25 | 1200 |
| 12:00 | 1.25 | 1200 |
| 12:30 | 1.25 | 1200 |
| 13:00 | 1.25 | 1200 |
| 13:30 | 1.25 | 1200 |
| 14:00 | 1.25 | 1100 |
| 14:30 | 1.25 | 1200 |
| 15:00 | 1.25 | 1100 |
| 15:30 | 1.25 | 1300 |
| 16:00 | 51.34 | 500 |
| 16:30 | 15 | 500 |
| 17:00 | 32.58 | 200 |
| 17:30 | 35.06 | 600 |
| 18:00 | 6.25 | 700 |
| 18:30 | 10.63 | 700 |
| 19:00 | 10.01 | 200 |
| 19:30 | 10.01 | 300 |
- Rows × columns
- 32 × 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 |
|---|---|---|---|
et_time |
text | 32 distinct values (04:00, 04:30, 05:00…) | |
median_spread_bps |
number | 1.25 to 51.34 | |
median_quoted_size |
number | 200 to 1,300 |
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
formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
round(quantileDeterministic(0.5)(10000 * (toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2), toUInt64(sequence_number)), 2) AS median_spread_bps,
round(quantileDeterministic(0.5)(toFloat64(bid_size) + toFloat64(ask_size), toUInt64(sequence_number)), 0) AS median_quoted_size
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'KO'
AND sip_timestamp >= '2026-06-17 08:00:00'
AND sip_timestamp < '2026-06-18 00:00:00'
AND bid_price > 0
AND ask_price > bid_price
AND sequence_number >= 0
GROUP BY et_time
ORDER BY et_time
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