{"slug":"market-with-protection-orders","qid":"top_of_book","label":"Quoted spread across six household names, 10:00 to 10:10 ET on 2026-09-15","post_title":"Market Orders With Protection on CME Globex","post_url":"/blog/market-with-protection-orders#q-top_of_book","columns":["symbol","spread_bps","one_cent_bps","quote_count"],"rows":[{"symbol":"SPY","spread_bps":0.25,"one_cent_bps":0.13,"quote_count":72284},{"symbol":"NVDA","spread_bps":1.08,"one_cent_bps":0.47,"quote_count":65864},{"symbol":"AAPL","spread_bps":1.26,"one_cent_bps":0.3,"quote_count":28539},{"symbol":"KO","spread_bps":1.29,"one_cent_bps":1.13,"quote_count":16486},{"symbol":"MSFT","spread_bps":2.02,"one_cent_bps":0.2,"quote_count":7885},{"symbol":"F","spread_bps":7.3,"one_cent_bps":7.29,"quote_count":4328}],"shape":"ranking","sql":"SELECT\n    ticker                                                                            AS symbol,\n    round(avg((toFloat64(ask_price) - toFloat64(bid_price))\n              / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2)) * 10000, 2)      AS spread_bps,\n    round(avg(0.01 / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2)) * 10000, 2) AS one_cent_bps,\n    count()                                                                           AS quote_count\nFROM global_markets.cache_stocks_quotes\nWHERE ticker IN ('SPY', 'AAPL', 'MSFT', 'NVDA', 'KO', 'F')\n  AND sip_timestamp >= toDateTime('2026-09-15 14:00:00', 'UTC')\n  AND sip_timestamp <  toDateTime('2026-09-15 14:10:00', 'UTC')\n  AND bid_price > 0\n  AND ask_price > bid_price\n  AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.05\nGROUP BY ticker\nORDER BY spread_bps","computed_at":"2026-10-08T15:17:06.535214+00:00","elapsed":0.004179236}