intraday_spread
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 open-source-trading-terminal-for-python.
| et_time | median_spread_bps | p95_spread_bps |
|---|---|---|
| 09:30 | 1.69 | 4.44 |
| 10:00 | 1.35 | 2.03 |
| 10:30 | 1.01 | 2.03 |
| 11:00 | 0.68 | 1.35 |
| 11:30 | 0.67 | 1.35 |
| 12:00 | 0.67 | 1.34 |
| 12:30 | 0.67 | 1.01 |
| 13:00 | 0.67 | 1.35 |
| 13:30 | 0.67 | 1.35 |
| 14:00 | 0.68 | 1.35 |
| 14:30 | 0.68 | 1.02 |
| 15:00 | 0.67 | 1.01 |
| 15:30 | 0.67 | 1.01 |
- Rows × columns
- 13 × 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 | 13 distinct values (09:30, 10:00, 10:30…) | |
median_spread_bps |
number | 0.67 to 1.69 | |
p95_spread_bps |
number | 1.01 to 4.44 |
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)(spread_bps, toUInt64(sequence_number)), 2) AS median_spread_bps,
round(quantileDeterministic(0.95)(spread_bps, toUInt64(sequence_number)), 2) AS p95_spread_bps
FROM
(
SELECT
sip_timestamp,
sequence_number,
(toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000 AS spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= '2026-06-15 13:30:00'
AND sip_timestamp < '2026-06-15 20:00:00'
AND bid_price > 0
AND ask_price > bid_price
)
GROUP BY et_time
ORDER BY et_time
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