Relative volume screener: top 20 by time adjusted RVOL at 11:00 a.m. ET

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.

WITH
    liquid AS (
        SELECT ticker
        FROM global_markets.stocks_daily_aggs
        WHERE date > today() - 45
          AND ticker NOT IN ('SPCX')
        GROUP BY ticker
        HAVING avg(volume) >= 10000000
           AND min(close) >= 5
    ),
    sessions AS (
        SELECT date
        FROM global_markets.stocks_daily_aggs
        WHERE ticker = 'SPY'
          AND date > today() - 45
        ORDER BY date DESC
        LIMIT 21
    ),
    bars AS (
        SELECT
            ticker,
            toDate(et_ts)                        AS session_date,
            toHour(et_ts) * 60 + toMinute(et_ts) AS et_min,
            toFloat64(volume)                    AS vol
        FROM
        (
            SELECT
                ticker,
                toTimeZone(window_start, 'America/New_York') AS et_ts,
                volume
            FROM global_markets.delayed_stocks_minute_aggs
            WHERE ticker IN (SELECT ticker FROM liquid)
              AND window_start >= toDateTime(today() - 45)
        )
        WHERE session_date IN (SELECT date FROM sessions)
    ),
    totals AS (
        SELECT
            ticker,
            session_date,
            sumIf(vol, et_min >= 570 AND et_min < 660) AS vol_by_1100,
            sumIf(vol, et_min >= 570 AND et_min < 960) AS vol_day,
            maxIf(et_min, et_min < 960)                AS last_min
        FROM bars
        GROUP BY ticker, session_date
    ),
    (
        SELECT session_date
        FROM totals
        GROUP BY session_date
        HAVING countIf(last_min >= 955) >= 100
        ORDER BY session_date DESC
        LIMIT 1
    ) AS asof
SELECT
    ticker,
    round(maxIf(vol_by_1100, session_date = asof) / avgIf(vol_by_1100, session_date < asof), 2) AS rvol_time_adjusted,
    round(maxIf(vol_by_1100, session_date = asof) / avgIf(vol_day, session_date < asof), 2)     AS rvol_naive,
    round(maxIf(vol_by_1100, session_date = asof) / 1e6, 2)                                    AS volume_mm_by_1100,
    formatDateTime(asof, '%b %e')                                                              AS screen_asof
FROM totals
GROUP BY ticker
HAVING countIf(session_date < asof) >= 18
   AND maxIf(last_min, session_date = asof) >= 955
   AND avgIf(vol_by_1100, session_date < asof) > 0
ORDER BY rvol_time_adjusted DESC
LIMIT 20