Average distance from each ET clock mark to the closing print (SPY, trailing months)

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.

WITH bars AS
(
    SELECT
        toDate(toTimeZone(window_start, 'America/New_York'))   AS session_date,
        toTimeZone(window_start, 'America/New_York')           AS et,
        toFloat64(close)                                       AS px
    FROM global_markets.delayed_stocks_minute_aggs
    WHERE ticker = 'SPY'
      AND window_start >= today() - 150
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
      AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
           + toMinute(toTimeZone(window_start, 'America/New_York'))) <  960
),
final_print AS
(
    SELECT
        session_date,
        argMax(px, et) AS closing_px
    FROM bars
    GROUP BY session_date
)
SELECT
    formatDateTime(b.et, '%H:%i')                             AS et_time,
    round(avg(abs(f.closing_px / b.px - 1)) * 100, 3)         AS avg_move_to_close_pct,
    count()                                                   AS observations
FROM bars AS b
INNER JOIN final_print AS f ON f.session_date = b.session_date
WHERE toMinute(b.et) IN (0, 30)
GROUP BY et_time
ORDER BY et_time