{"slug":"microstructure-2026-06-29","qid":"tape_sizes","label":"One day of trades: session check plus the size of every print","post_title":"Microstructure Deep-Dive: June 29, 2026","post_url":"/blog/microstructure-2026-06-29#q-tape_sizes","columns":["holiday_rows_jun29","spy_regular_session_bars","trades_m","odd_lot_pct_of_trades","odd_lot_pct_of_shares","median_print_shares","one_share_trades_m","fractional_pct_of_trades"],"rows":[{"holiday_rows_jun29":0,"spy_regular_session_bars":390,"trades_m":156.1,"odd_lot_pct_of_trades":72.61,"odd_lot_pct_of_shares":8.79,"median_print_shares":21,"one_share_trades_m":17.9,"fractional_pct_of_trades":4.73}],"shape":"scalar","sql":"WITH\n    (SELECT count() FROM global_markets.stocks_market_holidays WHERE date = '2026-06-29') AS holiday_rows,\n    (\n        SELECT countIf(window_start >= '2026-06-29 13:30:00' AND window_start < '2026-06-29 20:00:00')\n        FROM global_markets.delayed_stocks_minute_aggs\n        WHERE ticker = 'SPY' AND window_start >= '2026-06-29 00:00:00' AND window_start < '2026-06-30 00:00:00'\n    ) AS spy_bars\nSELECT\n    holiday_rows AS holiday_rows_jun29,\n    spy_bars AS spy_regular_session_bars,\n    round(count() / 1e6, 1) AS trades_m,\n    round(100.0 * countIf(size < 100) / count(), 2) AS odd_lot_pct_of_trades,\n    round(100.0 * toFloat64(sumIf(size, size < 100)) / toFloat64(sum(size)), 2) AS odd_lot_pct_of_shares,\n    multiIf(\n        countIf(size <= 19) >= 0.5 * count(), 19,\n        countIf(size <= 20) >= 0.5 * count(), 20,\n        countIf(size <= 21) >= 0.5 * count(), 21,\n        countIf(size <= 22) >= 0.5 * count(), 22,\n        countIf(size <= 23) >= 0.5 * count(), 23,\n        0) AS median_print_shares,\n    round(countIf(size = 1) / 1e6, 1) AS one_share_trades_m,\n    round(100.0 * countIf(size != round(size)) / count(), 2) AS fractional_pct_of_trades\nFROM global_markets.stocks_trades\nWHERE sip_timestamp >= '2026-06-29 00:00:00' AND sip_timestamp < '2026-06-30 00:00:00'","computed_at":"2026-07-26T06:07:47.538102+00:00","elapsed":15.890386447}