{"slug":"microstructure-2026-06-29","qid":"spy_spread_clock","label":"SPY's median quoted spread by half hour, 4:00 am to 8:00 pm ET","post_title":"Microstructure Deep-Dive: June 29, 2026","post_url":"/blog/microstructure-2026-06-29#q-spy_spread_clock","columns":["et_time","median_spread_cents","quote_updates"],"rows":[{"et_time":"04:00","median_spread_cents":8,"quote_updates":90477},{"et_time":"04:30","median_spread_cents":7,"quote_updates":94194},{"et_time":"05:00","median_spread_cents":6,"quote_updates":85391},{"et_time":"05:30","median_spread_cents":6,"quote_updates":84732},{"et_time":"06:00","median_spread_cents":6,"quote_updates":80634},{"et_time":"06:30","median_spread_cents":6,"quote_updates":67515},{"et_time":"07:00","median_spread_cents":6,"quote_updates":78384},{"et_time":"07:30","median_spread_cents":7,"quote_updates":90251},{"et_time":"08:00","median_spread_cents":6,"quote_updates":82373},{"et_time":"08:30","median_spread_cents":6,"quote_updates":96858},{"et_time":"09:00","median_spread_cents":5,"quote_updates":75032},{"et_time":"09:30","median_spread_cents":3,"quote_updates":714684},{"et_time":"10:00","median_spread_cents":3,"quote_updates":828786},{"et_time":"10:30","median_spread_cents":3,"quote_updates":598922},{"et_time":"11:00","median_spread_cents":3,"quote_updates":415660},{"et_time":"11:30","median_spread_cents":3,"quote_updates":254713},{"et_time":"12:00","median_spread_cents":3,"quote_updates":194340},{"et_time":"12:30","median_spread_cents":2,"quote_updates":159115},{"et_time":"13:00","median_spread_cents":2,"quote_updates":150132},{"et_time":"13:30","median_spread_cents":2,"quote_updates":106726},{"et_time":"14:00","median_spread_cents":2,"quote_updates":104312},{"et_time":"14:30","median_spread_cents":2,"quote_updates":99685},{"et_time":"15:00","median_spread_cents":2,"quote_updates":135135},{"et_time":"15:30","median_spread_cents":2,"quote_updates":219316},{"et_time":"16:00","median_spread_cents":4,"quote_updates":51513},{"et_time":"16:30","median_spread_cents":4,"quote_updates":18896},{"et_time":"17:00","median_spread_cents":7,"quote_updates":233},{"et_time":"17:30","median_spread_cents":8,"quote_updates":1466},{"et_time":"18:00","median_spread_cents":7,"quote_updates":40608},{"et_time":"18:30","median_spread_cents":6,"quote_updates":21385},{"et_time":"19:00","median_spread_cents":6,"quote_updates":25428},{"et_time":"19:30","median_spread_cents":6,"quote_updates":7955}],"shape":"series","sql":"SELECT\n    formatDateTime(toTimeZone(toStartOfInterval(sip_timestamp, INTERVAL 30 MINUTE), 'America/New_York'), '%H:%i') AS et_time,\n    round(quantileExactIf(0.5)(toFloat64(ask_price - bid_price), bid_price > 0 AND ask_price >= bid_price) * 100, 1) AS median_spread_cents,\n    count() AS quote_updates\nFROM global_markets.cache_stocks_quotes\nWHERE ticker = 'SPY' AND sip_timestamp >= '2026-06-29 08:00:00' AND sip_timestamp < '2026-06-30 00:00:00'\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-07-26T06:09:01.608147+00:00","elapsed":1.383378782}