{"slug":"market-with-protection-orders","qid":"spread_open_vs_midday","label":"Average quoted spread at the open and at midday, 2026-09-15","post_title":"Market Orders With Protection on CME Globex","post_url":"/blog/market-with-protection-orders#q-spread_open_vs_midday","columns":["symbol","open_spread_bps","midday_spread_bps","open_minus_midday_bps"],"rows":[{"symbol":"F","open_spread_bps":8.34,"midday_spread_bps":7.37,"open_minus_midday_bps":0.97},{"symbol":"MSFT","open_spread_bps":6.71,"midday_spread_bps":1.8,"open_minus_midday_bps":4.91},{"symbol":"KO","open_spread_bps":4,"midday_spread_bps":1.29,"open_minus_midday_bps":2.71},{"symbol":"AAPL","open_spread_bps":3.15,"midday_spread_bps":0.88,"open_minus_midday_bps":2.27},{"symbol":"NVDA","open_spread_bps":2.22,"midday_spread_bps":0.67,"open_minus_midday_bps":1.55},{"symbol":"SPY","open_spread_bps":0.45,"midday_spread_bps":0.25,"open_minus_midday_bps":0.2}],"shape":"ranking","sql":"SELECT\n    symbol,\n    round(avgIf(spread_bps, phase = 'open'), 2)                                      AS open_spread_bps,\n    round(avgIf(spread_bps, phase = 'midday'), 2)                                    AS midday_spread_bps,\n    round(avgIf(spread_bps, phase = 'open') - avgIf(spread_bps, phase = 'midday'), 2) AS open_minus_midday_bps\nFROM\n(\n    SELECT\n        ticker AS symbol,\n        if(sip_timestamp < toDateTime('2026-09-15 13:40:00', 'UTC'), 'open', 'midday') AS phase,\n        (toFloat64(ask_price) - toFloat64(bid_price))\n            / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000              AS spread_bps\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO', 'F')\n      AND (\n              (sip_timestamp >= toDateTime('2026-09-15 13:30:00', 'UTC')\n               AND sip_timestamp < toDateTime('2026-09-15 13:35:00', 'UTC'))\n           OR (sip_timestamp >= toDateTime('2026-09-15 16:00:00', 'UTC')\n               AND sip_timestamp < toDateTime('2026-09-15 16:05:00', 'UTC'))\n          )\n      AND bid_price > 0\n      AND ask_price > bid_price\n      AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.05\n)\nGROUP BY symbol\nHAVING countIf(phase = 'open') > 0 AND countIf(phase = 'midday') > 0\nORDER BY open_spread_bps DESC","computed_at":"2026-10-08T15:17:06.637601+00:00","elapsed":0.004287123}