{"slug":"pcap-market-data-and-replay","qid":"clock_gap","label":"AAPL quote clocks, SIP stamp minus exchange stamp, 09:30 to 11:00 ET on June 10 2026","post_title":"PCAP Market Data: How Market Replay Works","post_url":"/blog/pcap-market-data-and-replay#q-clock_gap","columns":["et_time","quote_count","median_gap_us","p90_gap_us"],"rows":[{"et_time":"09:30","quote_count":93041,"median_gap_us":178,"p90_gap_us":342},{"et_time":"09:40","quote_count":68762,"median_gap_us":193,"p90_gap_us":343},{"et_time":"09:50","quote_count":58893,"median_gap_us":193,"p90_gap_us":343},{"et_time":"10:00","quote_count":50188,"median_gap_us":180,"p90_gap_us":343},{"et_time":"10:10","quote_count":47319,"median_gap_us":30,"p90_gap_us":343},{"et_time":"10:20","quote_count":42050,"median_gap_us":192,"p90_gap_us":343},{"et_time":"10:30","quote_count":55364,"median_gap_us":195,"p90_gap_us":343},{"et_time":"10:40","quote_count":37741,"median_gap_us":204,"p90_gap_us":344},{"et_time":"10:50","quote_count":47236,"median_gap_us":209,"p90_gap_us":345}],"shape":"series","sql":"SELECT\n    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 10 MINUTE), '%H:%i') AS et_time,\n    count()                                            AS quote_count,\n    round(quantileDeterministic(0.5)(gap_us, det), 0)  AS median_gap_us,\n    round(quantileDeterministic(0.9)(gap_us, det), 0)  AS p90_gap_us\nFROM\n(\n    SELECT\n        sip_timestamp,\n        toUnixTimestamp64Micro(sip_timestamp) - toUnixTimestamp64Micro(participant_timestamp) AS gap_us,\n        toUInt64(toUnixTimestamp64Micro(sip_timestamp))                                       AS det\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'AAPL'\n      AND sip_timestamp >= '2026-06-10 13:30:00'\n      AND sip_timestamp <  '2026-06-10 15:00:00'\n      AND participant_timestamp > '2020-01-01 00:00:00'\n)\nWHERE gap_us BETWEEN 0 AND 1000000\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-08-12T15:31:27.908544+00:00","elapsed":0.002451695}