Day one by half hour: quote updates and the median spread finding its level

Name: Day one by half hour: quote updates and the median spread finding its level
Creator: Strasmore
Published: 2026-07-27
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 2026-07-27, from SPCX: SpaceX's First Month on the Public Market.

as of 2026-07-27 ranking 13×4read in context →

Day one by half hour: quote updates and the median spread finding its level — 13 rows by 4 columns, computed 2026-07-27 from US exchange, SIP and OPRA data.
et_bucket	quote_updates	med_spread_cents	med_spread_bps
09:30	18	0	0
10:00	32	0	0
10:30	185	0	0
11:00	12	0	0
11:30	445211	30	18.6
12:00	413345	10	6.03
12:30	275267	6	3.6
13:00	234375	6	3.5
13:30	142631	7	4.07
14:00	193071	8	4.64
14:30	92601	8	4.71
15:00	163021	8	4.94
15:30	237988	7	4.34

Rows × columns: 13 × 4
Computed: 2026-07-27
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 Day one by half hour: quote updates and the median spread finding its level, derived from the stored result.
Column	Type	Range
`et_bucket`	text	13 distinct values (09:30, 10:00, 10:30…)
`quote_updates`	number	12 to 445,211
`med_spread_cents`	number	0 to 30
`med_spread_bps`	number	0 to 18.6

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 2026-07-27, 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_bucket,
    count() AS quote_updates,
    round(quantileDeterministicIf(0.5)(toFloat64(ask_price) - toFloat64(bid_price), toUInt64(toUnixTimestamp64Micro(sip_timestamp)), bid_price > 0 AND ask_price >= bid_price) * 100, 1) AS med_spread_cents,
    round(quantileDeterministicIf(0.5)((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, toUInt64(toUnixTimestamp64Micro(sip_timestamp)), bid_price > 0 AND ask_price >= bid_price), 2) AS med_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPCX'
  AND sip_timestamp >= toDateTime64('2026-06-12 13:30:00', 9) AND sip_timestamp < toDateTime64('2026-06-12 20:00:00', 9)
GROUP BY et_bucket
ORDER BY et_bucket

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