Stock quote spread and depth by session: the four weeks from listing and the trailing three

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.

SELECT
    toDate(toTimeZone(sip_timestamp, 'America/New_York')) AS session_date,
    formatDateTime(toDate(toTimeZone(sip_timestamp, 'America/New_York')), '%b %e') AS session_label,
    round(avgIf((toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 10000, bid_price > 0 AND ask_price > bid_price), 2) AS avg_spread_bps,
    round(avgIf((toFloat64(ask_size) + toFloat64(bid_size)) / 2, bid_price > 0 AND ask_price > bid_price), 0) AS avg_depth,
    countIf(NOT (bid_price > 0 AND ask_price > bid_price)) AS dropped_invalid
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'SPCX'
  AND sip_timestamp < now()
  AND ((sip_timestamp >= '2026-06-12 00:00:00' AND sip_timestamp < '2026-07-11 00:00:00')
       OR sip_timestamp >= now() - INTERVAL 21 DAY)
  AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60 + toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) BETWEEN 570 AND 959
GROUP BY session_date, session_label
HAVING countIf(bid_price > 0 AND ask_price > bid_price) > 0
ORDER BY session_date