{"slug":"open-source-trading-terminal-for-python","qid":"intraday_spread","label":"intraday_spread","post_title":"open-source-trading-terminal-for-python","post_url":"/blog/open-source-trading-terminal-for-python#q-intraday_spread","columns":["et_time","median_spread_bps","p95_spread_bps"],"rows":[{"et_time":"09:30","median_spread_bps":1.69,"p95_spread_bps":4.44},{"et_time":"10:00","median_spread_bps":1.35,"p95_spread_bps":2.03},{"et_time":"10:30","median_spread_bps":1.01,"p95_spread_bps":2.03},{"et_time":"11:00","median_spread_bps":0.68,"p95_spread_bps":1.35},{"et_time":"11:30","median_spread_bps":0.67,"p95_spread_bps":1.35},{"et_time":"12:00","median_spread_bps":0.67,"p95_spread_bps":1.34},{"et_time":"12:30","median_spread_bps":0.67,"p95_spread_bps":1.01},{"et_time":"13:00","median_spread_bps":0.67,"p95_spread_bps":1.35},{"et_time":"13:30","median_spread_bps":0.67,"p95_spread_bps":1.35},{"et_time":"14:00","median_spread_bps":0.68,"p95_spread_bps":1.35},{"et_time":"14:30","median_spread_bps":0.68,"p95_spread_bps":1.02},{"et_time":"15:00","median_spread_bps":0.67,"p95_spread_bps":1.01},{"et_time":"15:30","median_spread_bps":0.67,"p95_spread_bps":1.01}],"shape":"series","sql":"SELECT\n    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,\n    round(quantileDeterministic(0.5)(spread_bps, toUInt64(sequence_number)), 2)  AS median_spread_bps,\n    round(quantileDeterministic(0.95)(spread_bps, toUInt64(sequence_number)), 2) AS p95_spread_bps\nFROM\n(\n    SELECT\n        sip_timestamp,\n        sequence_number,\n        (toFloat64(ask_price) - toFloat64(bid_price))\n            / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000 AS spread_bps\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'AAPL'\n      AND sip_timestamp >= '2026-06-15 13:30:00'\n      AND sip_timestamp <  '2026-06-15 20:00:00'\n      AND bid_price > 0\n      AND ask_price > bid_price\n)\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-10-03T16:02:48.018502+00:00","elapsed":0.002933887}