session_shape

Name: session_shape
Creator: Strasmore
Published: 2026-09-17
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 2026-09-17, from the-390-rule-in-options-trading.

as of 2026-09-17 series 16×3read in context →

session_shape — 16 rows by 3 columns, computed 2026-09-17 from US exchange, SIP and OPRA data.
et_time	bars_printed	volume_millions
09:00	30	0.27
09:30	30	6.78
10:00	30	4.93
10:30	30	2.93
11:00	30	2.65
11:30	30	1.78
12:00	30	1.56
12:30	30	1.91
13:00	30	1.39
13:30	30	1.05
14:00	30	1.62
14:30	30	1.59
15:00	30	2.58
15:30	30	6.49
16:00	30	1.56
16:30	29	0.06

Rows × columns: 16 × 3
Computed: 2026-09-17
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 session_shape, derived from the stored result.
Column	Type	Range	Notes
`et_time`	text	16 distinct values (09:00, 09:30, 10:00…)
`bars_printed`	number	29 to 30
`volume_millions`	number	0.06 to 6.78	count

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 2026-09-17, and the query below is what returned them.

the exact SQL behind every number

SELECT
    formatDateTime(toStartOfInterval(toTimeZone(window_start, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i', 'America/New_York') AS et_time,
    uniqExact(window_start)                    AS bars_printed,
    round(toFloat64(sum(volume)) / 1e6, 2)     AS volume_millions
FROM global_markets.delayed_stocks_minute_aggs
WHERE ticker = 'SPY'
  AND window_start >= toDateTime('2026-09-10 13:00:00', 'UTC')
  AND window_start <  toDateTime('2026-09-10 21:00:00', 'UTC')
GROUP BY et_time
ORDER BY et_time

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