STRASMORE/EXPLORE 3,127 QUERIES

A full trading day on the SPY tape, split by session window (recent full-length session)

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 2026-10-04, from Stock Market Hours: Open 9:30, Close 4:00 ET.

as of scalar 1×15read in context →
session date
2026-10-01
weekday
Thursday
regular session bars
390
first bar minute of day
240
last bar minute of day
1,199
first bar et
04:00
last bar et
19:59
total shares m
47.7
premarket pct
3
regular pct
85.8
post close 30min pct
8.5
evening pct
2.7
first 30min pct
9.6
last 30min pct
14.6
midday half hour pct
4.7
Rows × columns
1 × 15
Period covered
Computed
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 A full trading day on the SPY tape, split by session window (recent full-length session), derived from the stored result.
ColumnTypeRangeNotes
session_date date 2026-10-01
weekday text 1 distinct value (Thursday)
regular_session_bars number every row is 390
first_bar_minute_of_day number every row is 240
last_bar_minute_of_day number every row is 1,199
first_bar_et text 1 distinct value (04:00)
last_bar_et text 1 distinct value (19:59)
total_shares_m number every row is 47.7 count
premarket_pct number every row is 3 percent
regular_pct number every row is 85.8 percent
post_close_30min_pct number every row is 8.5 percent
evening_pct number every row is 2.7 percent
first_30min_pct number every row is 9.6 percent
last_30min_pct number every row is 14.6 percent
midday_half_hour_pct number every row is 4.7 percent

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 , and the query below is what returned them.

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
(
    SELECT max(d)
    FROM
    (
        SELECT
            toDate(toTimeZone(window_start, 'America/New_York')) AS d,
            countIf((toHour(toTimeZone(window_start, 'America/New_York')) * 60
                     + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
                AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
                     + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960) AS rth_bars
        FROM global_markets.delayed_stocks_minute_aggs
        WHERE ticker = 'SPY'
          AND window_start >= today() - 21
          AND window_start < today() - 2
        GROUP BY d
        HAVING rth_bars = 390
    )
) AS session_day
SELECT
    toString(session_day)                     AS session_date,
    formatDateTime(session_day, '%W')         AS weekday,
    b.regular_session_bars                    AS regular_session_bars,
    b.first_bar_minute_of_day                 AS first_bar_minute_of_day,
    b.last_bar_minute_of_day                  AS last_bar_minute_of_day,
    b.first_bar_et                            AS first_bar_et,
    b.last_bar_et                             AS last_bar_et,
    t.total_shares_m                          AS total_shares_m,
    t.premarket_pct                           AS premarket_pct,
    t.regular_pct                             AS regular_pct,
    t.post_close_30min_pct                    AS post_close_30min_pct,
    t.evening_pct                             AS evening_pct,
    t.first_30min_pct                         AS first_30min_pct,
    t.last_30min_pct                          AS last_30min_pct,
    t.midday_half_hour_pct                    AS midday_half_hour_pct
FROM
(
    SELECT
        countIf(et_min >= 570 AND et_min < 960)   AS regular_session_bars,
        min(et_min)                               AS first_bar_minute_of_day,
        max(et_min)                               AS last_bar_minute_of_day,
        formatDateTime(min(et_ts), '%H:%i')       AS first_bar_et,
        formatDateTime(max(et_ts), '%H:%i')       AS last_bar_et
    FROM
    (
        SELECT
            toTimeZone(window_start, 'America/New_York') AS et_ts,
            toHour(toTimeZone(window_start, 'America/New_York')) * 60
            + toMinute(toTimeZone(window_start, 'America/New_York')) AS et_min
        FROM global_markets.delayed_stocks_minute_aggs
        WHERE ticker = 'SPY'
          AND toDate(toTimeZone(window_start, 'America/New_York')) = session_day
    )
) AS b
CROSS JOIN
(
    SELECT
        round(sum(shares) / 1e6, 1)                                                                   AS total_shares_m,
        round(100.0 * sumIf(shares, NOT is_close AND et_min < 570) / sum(shares), 1)                  AS premarket_pct,
        round(100.0 * sumIf(shares, is_close OR (et_min >= 570 AND et_min < 960)) / sum(shares), 1)   AS regular_pct,
        round(100.0 * sumIf(shares, NOT is_close AND et_min >= 960 AND et_min < 990) / sum(shares), 1) AS post_close_30min_pct,
        round(100.0 * sumIf(shares, NOT is_close AND et_min >= 990) / sum(shares), 1)                 AS evening_pct,
        round(100.0 * sumIf(shares, NOT is_close AND et_min >= 570 AND et_min < 600) / sum(shares), 1) AS first_30min_pct,
        round(100.0 * sumIf(shares, is_close OR (et_min >= 930 AND et_min < 960)) / sum(shares), 1)   AS last_30min_pct,
        round(100.0 * sumIf(shares, NOT is_close AND et_min >= 750 AND et_min < 780) / sum(shares), 1) AS midday_half_hour_pct
    FROM
    (
        SELECT
            toFloat64(size)    AS shares,
            has(conditions, 8) AS is_close,
            toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60
            + toMinute(toTimeZone(sip_timestamp, 'America/New_York')) AS et_min
        FROM global_markets.stocks_trades
        WHERE ticker = 'SPY'
          AND sip_timestamp >= toDateTime(session_day, 'America/New_York')
          AND sip_timestamp <  toDateTime(session_day + 1, 'America/New_York')
          AND NOT hasAny(conditions, [15, 16, 38])
    )
) AS t
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