ah_spread_trace
Answered against 22 years of US equities and 12 years of US options data and published with the query that produced it. This result is stored as of 2026-10-03, from most-active-stocks-after-hours.
| et_time | median_spread_bps | median_quoted_size |
|---|---|---|
| 15:00 | 1.17 | 200 |
| 15:30 | 1.18 | 200 |
| 16:00 | 4.74 | 280 |
| 16:30 | 5.32 | 160 |
| 17:00 | 4.13 | 320 |
| 17:30 | 2.06 | 520 |
| 18:00 | 10.91 | 160 |
| 18:30 | 7.08 | 160 |
| 19:00 | 5.88 | 200 |
| 19:30 | 5.58 | 240 |
- Rows × columns
- 10 × 3
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
et_time |
text | 10 distinct values (15:00, 15:30, 16:00…) | |
median_spread_bps |
number | 1.17 to 10.91 | |
median_quoted_size |
number | 160 to 520 |
Computed from Strasmore's warehouse of US exchange, SIP and OPRA market data. Equity prices are delayed; options greeks and implied volatility are end-of-day. This result is stored, not recomputed on load — it is exactly the numbers that were returned on , and the query below is what returned them.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
SELECT
formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
round(quantileDeterministic(0.5)(20000 * toFloat64(ask_price - bid_price)
/ toFloat64(ask_price + bid_price), toUInt64(sequence_number)), 2) AS median_spread_bps,
round(quantileDeterministic(0.5)(toFloat64(bid_size + ask_size), toUInt64(sequence_number))) AS median_quoted_size
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= '2026-07-29 19:00:00'
AND sip_timestamp < '2026-07-30 00:00:00'
AND bid_price > 0
AND ask_price > bid_price
GROUP BY et_time
ORDER BY et_time
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