SPY median quoted spread and NBBO updates per session, regular hours, July 20-24
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.
| date | median_spread_bps | quote_updates_m | one_sided_quote_count | crossed_quote_count |
|---|---|---|---|---|
| 2026-07-20 | 0.27 | 3.89 | 0 | 1084 |
| 2026-07-21 | 0.27 | 2.29 | 0 | 333 |
| 2026-07-22 | 0.27 | 2.51 | 0 | 747 |
| 2026-07-23 | 0.27 | 5.1 | 0 | 5906 |
| 2026-07-24 | 0.27 | 4.4 | 0 | 2777 |
- Rows × columns
- 5 × 5
- Period covered
- to
- 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 |
|---|---|---|---|
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 , 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 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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