One session shape: median quoted spread by half-hour bucket, Ford (F), recent completed sessions

Name: One session shape: median quoted spread by half-hour bucket, Ford (F), recent completed sessions
Creator: Strasmore
Published: 2026-08-22
License: https://www.strasmore.com/terms/

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 2026-08-22, from Paper Trading Before Real Money.

as of 2026-08-22 series 13×3read in context →

One session shape: median quoted spread by half-hour bucket, Ford (F), recent completed sessions — 13 rows by 3 columns, computed 2026-08-22 from US exchange, SIP and OPRA data.
et_time	spread_bps	quote_updates_m
09:30	7.16	0.06
10:00	7.15	0.07
10:30	7.16	0.04
11:00	7.19	0.04
11:30	7.19	0.03
12:00	7.08	0.02
12:30	7.06	0.02
13:00	7.18	0.02
13:30	7.19	0.02
14:00	7.08	0.03
14:30	7.1	0.02
15:00	7.14	0.03
15:30	7.16	0.05

Rows × columns: 13 × 3
Period covered: 09:30 to 15:30
Computed: 2026-08-22
Completeness: No missing values
Source: US exchange, SIP and OPRA market data
Licence: Strasmore terms · free, no signup
Formats: JSON · CSV · the SQL below

What each column holds

Column definitions for One session shape: median quoted spread by half-hour bucket, Ford (F), recent completed sessions, derived from the stored result.
Column	Type	Range
`et_time`	date	09:30 to 15:30
`spread_bps`	number	7.06 to 7.19
`quote_updates_m`	number	0.02 to 0.07

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 2026-08-22, and the query below is what returned them.

the exact SQL behind every number

SELECT formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
       round(quantileExactIf(0.5)(toFloat64(ask_price - bid_price) / (toFloat64(ask_price + bid_price) / 2), bid_price > 0 AND ask_price > bid_price) * 10000, 2) AS spread_bps,
       round(count() / 1e6, 2) AS quote_updates_m
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'F'
  AND sip_timestamp >= toDateTime(today() - 10)
  AND sip_timestamp < toDateTime(today() - 3)
  AND (toHour(sip_timestamp) * 60 + toMinute(sip_timestamp)) BETWEEN 810 AND 1199
GROUP BY et_time
ORDER BY et_time

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