{"slug":"mass-cancel-and-purge-ports","qid":"spread_zoom","label":"spread_zoom","post_title":"mass-cancel-and-purge-ports","post_url":"/blog/mass-cancel-and-purge-ports#q-spread_zoom","columns":["et_time","avg_spread_bps","p90_spread_bps"],"rows":[{"et_time":"09:30","avg_spread_bps":6.56,"p90_spread_bps":10.78},{"et_time":"09:31","avg_spread_bps":5.09,"p90_spread_bps":7.97},{"et_time":"09:32","avg_spread_bps":5.68,"p90_spread_bps":9.05},{"et_time":"09:33","avg_spread_bps":4.58,"p90_spread_bps":7.36},{"et_time":"09:34","avg_spread_bps":4.24,"p90_spread_bps":6.78},{"et_time":"09:35","avg_spread_bps":3.18,"p90_spread_bps":5.09},{"et_time":"09:36","avg_spread_bps":3.23,"p90_spread_bps":4.53},{"et_time":"09:37","avg_spread_bps":2.89,"p90_spread_bps":4.51},{"et_time":"09:38","avg_spread_bps":2.89,"p90_spread_bps":4.51},{"et_time":"09:39","avg_spread_bps":2.72,"p90_spread_bps":3.96},{"et_time":"09:40","avg_spread_bps":3.05,"p90_spread_bps":4.51},{"et_time":"09:41","avg_spread_bps":3.38,"p90_spread_bps":5.09},{"et_time":"09:42","avg_spread_bps":3.5,"p90_spread_bps":5.12},{"et_time":"09:43","avg_spread_bps":2.94,"p90_spread_bps":4.55},{"et_time":"09:44","avg_spread_bps":3.13,"p90_spread_bps":5.09},{"et_time":"09:45","avg_spread_bps":2.63,"p90_spread_bps":3.97},{"et_time":"09:46","avg_spread_bps":2.93,"p90_spread_bps":4.5},{"et_time":"09:47","avg_spread_bps":2.9,"p90_spread_bps":4.49},{"et_time":"09:48","avg_spread_bps":3.2,"p90_spread_bps":5.05},{"et_time":"09:49","avg_spread_bps":2.83,"p90_spread_bps":3.92},{"et_time":"09:50","avg_spread_bps":2.77,"p90_spread_bps":3.92},{"et_time":"09:51","avg_spread_bps":2.74,"p90_spread_bps":3.9},{"et_time":"09:52","avg_spread_bps":2.4,"p90_spread_bps":3.89},{"et_time":"09:53","avg_spread_bps":2.43,"p90_spread_bps":3.35},{"et_time":"09:54","avg_spread_bps":2.67,"p90_spread_bps":3.91},{"et_time":"09:55","avg_spread_bps":2.5,"p90_spread_bps":3.89},{"et_time":"09:56","avg_spread_bps":2.59,"p90_spread_bps":3.89},{"et_time":"09:57","avg_spread_bps":2.44,"p90_spread_bps":3.88},{"et_time":"09:58","avg_spread_bps":2.06,"p90_spread_bps":3.32},{"et_time":"09:59","avg_spread_bps":2.34,"p90_spread_bps":3.32},{"et_time":"10:00","avg_spread_bps":2.49,"p90_spread_bps":3.87},{"et_time":"10:01","avg_spread_bps":2.51,"p90_spread_bps":3.89},{"et_time":"10:02","avg_spread_bps":2.93,"p90_spread_bps":4.45},{"et_time":"10:03","avg_spread_bps":2.68,"p90_spread_bps":3.89},{"et_time":"10:04","avg_spread_bps":2.98,"p90_spread_bps":4.43},{"et_time":"10:05","avg_spread_bps":2.67,"p90_spread_bps":3.88},{"et_time":"10:06","avg_spread_bps":2.82,"p90_spread_bps":4.41},{"et_time":"10:07","avg_spread_bps":2.45,"p90_spread_bps":3.85},{"et_time":"10:08","avg_spread_bps":2.56,"p90_spread_bps":3.85},{"et_time":"10:09","avg_spread_bps":2.42,"p90_spread_bps":3.31},{"et_time":"10:10","avg_spread_bps":2.56,"p90_spread_bps":3.84},{"et_time":"10:11","avg_spread_bps":3.34,"p90_spread_bps":5.38},{"et_time":"10:12","avg_spread_bps":3.76,"p90_spread_bps":6.46},{"et_time":"10:13","avg_spread_bps":3.24,"p90_spread_bps":4.82},{"et_time":"10:14","avg_spread_bps":4.23,"p90_spread_bps":6.39},{"et_time":"10:15","avg_spread_bps":3.81,"p90_spread_bps":5.83},{"et_time":"10:16","avg_spread_bps":4.12,"p90_spread_bps":5.78},{"et_time":"10:17","avg_spread_bps":4.66,"p90_spread_bps":6.74},{"et_time":"10:18","avg_spread_bps":5.62,"p90_spread_bps":9.38},{"et_time":"10:19","avg_spread_bps":5.36,"p90_spread_bps":7.94},{"et_time":"10:20","avg_spread_bps":4.38,"p90_spread_bps":6.4},{"et_time":"10:21","avg_spread_bps":4.22,"p90_spread_bps":5.89},{"et_time":"10:22","avg_spread_bps":5.46,"p90_spread_bps":8.63},{"et_time":"10:23","avg_spread_bps":5.41,"p90_spread_bps":8.1},{"et_time":"10:24","avg_spread_bps":5.05,"p90_spread_bps":7.6},{"et_time":"10:25","avg_spread_bps":5.07,"p90_spread_bps":8.16},{"et_time":"10:26","avg_spread_bps":5.24,"p90_spread_bps":8.64},{"et_time":"10:27","avg_spread_bps":4.95,"p90_spread_bps":7.56},{"et_time":"10:28","avg_spread_bps":4.45,"p90_spread_bps":7.1},{"et_time":"10:29","avg_spread_bps":4.23,"p90_spread_bps":6.6}],"shape":"series","sql":"SELECT\n    formatDateTime(toStartOfMinute(toTimeZone(sip_timestamp, 'America/New_York')), '%H:%i') AS et_time,\n    round(avg(spread_bps), 2)                                                               AS avg_spread_bps,\n    round(quantileDeterministic(0.90)(spread_bps, toUInt64(sequence_number)), 2)            AS p90_spread_bps\nFROM\n(\n    SELECT\n        sip_timestamp,\n        sequence_number,\n        20000 * (toFloat64(ask_price) - toFloat64(bid_price))\n              / (toFloat64(ask_price) + toFloat64(bid_price)) AS spread_bps\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'AAPL'\n      AND sip_timestamp >= '2025-04-07 13:30:00'\n      AND sip_timestamp <  '2025-04-07 14:30:00'\n      AND bid_price > 0\n      AND ask_price > bid_price\n)\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-09-30T15:13:11.295571+00:00","elapsed":0.002791438}