{"slug":"pcap-market-data-and-replay","qid":"message_mix","label":"Quote messages per trade, 09:30 to 10:00 ET on June 10 2026","post_title":"PCAP Market Data: How Market Replay Works","post_url":"/blog/pcap-market-data-and-replay#q-message_mix","columns":["symbol","quote_count","quotes_per_trade"],"rows":[{"symbol":"SPY","quote_count":1035147,"quotes_per_trade":11.3},{"symbol":"KO","quote_count":100697,"quotes_per_trade":2.5},{"symbol":"NVDA","quote_count":540466,"quotes_per_trade":1.7},{"symbol":"AAPL","quote_count":220697,"quotes_per_trade":1.6},{"symbol":"MSFT","quote_count":79702,"quotes_per_trade":0.8}],"shape":"ranking","sql":"SELECT\n    q.symbol                                   AS symbol,\n    q.quote_count                              AS quote_count,\n    round(q.quote_count / t.trade_count, 1)    AS quotes_per_trade\nFROM\n(\n    SELECT ticker AS symbol, count() AS quote_count\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO')\n      AND sip_timestamp >= '2026-06-10 13:30:00'\n      AND sip_timestamp <  '2026-06-10 14:00:00'\n    GROUP BY ticker\n) AS q\nINNER JOIN\n(\n    SELECT ticker AS symbol, count() AS trade_count\n    FROM global_markets.stocks_trades\n    WHERE ticker IN ('AAPL', 'MSFT', 'NVDA', 'SPY', 'KO')\n      AND sip_timestamp >= '2026-06-10 13:30:00'\n      AND sip_timestamp <  '2026-06-10 14:00:00'\n    GROUP BY ticker\n) AS t ON q.symbol = t.symbol\nWHERE t.trade_count > 0\nORDER BY quotes_per_trade DESC","computed_at":"2026-08-12T15:31:28.100929+00:00","elapsed":0.002211387}