SPY median quoted spread and NBBO updates per session, regular hours, July 20-24

Name: SPY median quoted spread and NBBO updates per session, regular hours, July 20-24
Creator: Strasmore
Published: 2026-08-12
License: https://www.strasmore.com/terms/

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 2026-08-12, from Market Recap: Week of July 20, 2026.

as of 2026-08-12 series 5×5read in context →

SPY median quoted spread and NBBO updates per session, regular hours, July 20-24 — 5 rows by 5 columns, computed 2026-08-12 from US exchange, SIP and OPRA data.
date	median_spread_bps	quote_updates_m	crossed_quote_count
2026-07-20	0.27	3.89	1084
2026-07-21	0.27	2.29	333
2026-07-22	0.27	2.51	747
2026-07-23	0.27	5.1	5906
2026-07-24	0.27	4.4	2777

Rows × columns: 5 × 5
Period covered: 2026-07-20 to 2026-07-24
Computed: 2026-08-12
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

Column definitions for SPY median quoted spread and NBBO updates per session, regular hours, July 20-24, derived from the stored result.
Column	Type	Range	Notes
`date`	date	2026-07-20 to 2026-07-24
`median_spread_bps`	number	every row is 0.27
`quote_updates_m`	number	2.29 to 5.1
`one_sided_quote_count`	number	every row is 0	count
`crossed_quote_count`	number	333 to 5,906	count

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 2026-08-12, and the query below is what returned them.

the exact SQL behind every number

SELECT toString(toDate(sip_timestamp)) AS date,
       round(quantileExactIf(0.5)(
           10000 * (toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2),
           bid_price > 0 AND ask_price > 0 AND ask_price >= bid_price), 2) AS median_spread_bps,
       round(count() / 1e6, 2) AS quote_updates_m,
       countIf(bid_price <= 0 OR ask_price <= 0) AS one_sided_quote_count,
       countIf(bid_price > ask_price AND bid_price > 0 AND ask_price > 0) AS crossed_quote_count
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPY'
  AND sip_timestamp >= '2026-07-20 13:30:00'
  AND sip_timestamp < '2026-07-24 20:00:00'
  AND (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
GROUP BY toDate(sip_timestamp)
HAVING countIf(bid_price > 0 AND ask_price > 0 AND ask_price >= bid_price) > 0
ORDER BY toDate(sip_timestamp)

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