{"slug":"the-vendor-display-rule","qid":"spread_gap","label":"Consolidated spread vs single venue spread, AAPL, June 17 2026","post_title":"The Vendor Display Rule: SEC Rule 603(c)","post_url":"/blog/the-vendor-display-rule#q-spread_gap","columns":["et_time","consolidated_spread_bps","single_venue_spread_bps","spread_gap_bps"],"rows":[{"et_time":"10:00","consolidated_spread_bps":0.9,"single_venue_spread_bps":1.51,"spread_gap_bps":0.61},{"et_time":"10:01","consolidated_spread_bps":0.91,"single_venue_spread_bps":1.33,"spread_gap_bps":0.43},{"et_time":"10:02","consolidated_spread_bps":0.52,"single_venue_spread_bps":1.02,"spread_gap_bps":0.49},{"et_time":"10:03","consolidated_spread_bps":1.06,"single_venue_spread_bps":1.33,"spread_gap_bps":0.28},{"et_time":"10:04","consolidated_spread_bps":0.66,"single_venue_spread_bps":1.12,"spread_gap_bps":0.46},{"et_time":"10:05","consolidated_spread_bps":0.39,"single_venue_spread_bps":0.79,"spread_gap_bps":0.4},{"et_time":"10:06","consolidated_spread_bps":0.43,"single_venue_spread_bps":0.85,"spread_gap_bps":0.42},{"et_time":"10:07","consolidated_spread_bps":0.28,"single_venue_spread_bps":0.86,"spread_gap_bps":0.58},{"et_time":"10:08","consolidated_spread_bps":0.43,"single_venue_spread_bps":0.86,"spread_gap_bps":0.43},{"et_time":"10:09","consolidated_spread_bps":0.52,"single_venue_spread_bps":0.91,"spread_gap_bps":0.4},{"et_time":"10:10","consolidated_spread_bps":0.56,"single_venue_spread_bps":0.86,"spread_gap_bps":0.3},{"et_time":"10:11","consolidated_spread_bps":0.21,"single_venue_spread_bps":0.52,"spread_gap_bps":0.31},{"et_time":"10:12","consolidated_spread_bps":0.27,"single_venue_spread_bps":0.65,"spread_gap_bps":0.38},{"et_time":"10:13","consolidated_spread_bps":0.49,"single_venue_spread_bps":0.79,"spread_gap_bps":0.3},{"et_time":"10:14","consolidated_spread_bps":0.2,"single_venue_spread_bps":0.56,"spread_gap_bps":0.36},{"et_time":"10:15","consolidated_spread_bps":0.26,"single_venue_spread_bps":0.68,"spread_gap_bps":0.43},{"et_time":"10:16","consolidated_spread_bps":0.24,"single_venue_spread_bps":0.64,"spread_gap_bps":0.4},{"et_time":"10:17","consolidated_spread_bps":0.48,"single_venue_spread_bps":0.79,"spread_gap_bps":0.31},{"et_time":"10:18","consolidated_spread_bps":0.15,"single_venue_spread_bps":0.58,"spread_gap_bps":0.42},{"et_time":"10:19","consolidated_spread_bps":0.25,"single_venue_spread_bps":0.61,"spread_gap_bps":0.36},{"et_time":"10:20","consolidated_spread_bps":0.02,"single_venue_spread_bps":0.43,"spread_gap_bps":0.42},{"et_time":"10:21","consolidated_spread_bps":0.15,"single_venue_spread_bps":0.59,"spread_gap_bps":0.44},{"et_time":"10:22","consolidated_spread_bps":0.35,"single_venue_spread_bps":0.78,"spread_gap_bps":0.43},{"et_time":"10:23","consolidated_spread_bps":0.53,"single_venue_spread_bps":0.85,"spread_gap_bps":0.33},{"et_time":"10:24","consolidated_spread_bps":0.29,"single_venue_spread_bps":0.72,"spread_gap_bps":0.43},{"et_time":"10:25","consolidated_spread_bps":0.4,"single_venue_spread_bps":0.76,"spread_gap_bps":0.36},{"et_time":"10:26","consolidated_spread_bps":0.33,"single_venue_spread_bps":0.61,"spread_gap_bps":0.28},{"et_time":"10:27","consolidated_spread_bps":0.25,"single_venue_spread_bps":0.61,"spread_gap_bps":0.36},{"et_time":"10:28","consolidated_spread_bps":0.25,"single_venue_spread_bps":0.78,"spread_gap_bps":0.53},{"et_time":"10:29","consolidated_spread_bps":0.49,"single_venue_spread_bps":0.88,"spread_gap_bps":0.39},{"et_time":"10:30","consolidated_spread_bps":0.26,"single_venue_spread_bps":0.87,"spread_gap_bps":0.61},{"et_time":"10:31","consolidated_spread_bps":0.52,"single_venue_spread_bps":0.93,"spread_gap_bps":0.41},{"et_time":"10:32","consolidated_spread_bps":0.55,"single_venue_spread_bps":0.93,"spread_gap_bps":0.38},{"et_time":"10:33","consolidated_spread_bps":0.39,"single_venue_spread_bps":0.68,"spread_gap_bps":0.29},{"et_time":"10:34","consolidated_spread_bps":0.46,"single_venue_spread_bps":0.81,"spread_gap_bps":0.34},{"et_time":"10:35","consolidated_spread_bps":0.14,"single_venue_spread_bps":0.76,"spread_gap_bps":0.62},{"et_time":"10:36","consolidated_spread_bps":0.46,"single_venue_spread_bps":0.87,"spread_gap_bps":0.42},{"et_time":"10:37","consolidated_spread_bps":0.33,"single_venue_spread_bps":0.85,"spread_gap_bps":0.52},{"et_time":"10:38","consolidated_spread_bps":0.3,"single_venue_spread_bps":0.78,"spread_gap_bps":0.48},{"et_time":"10:39","consolidated_spread_bps":0.54,"single_venue_spread_bps":0.97,"spread_gap_bps":0.43},{"et_time":"10:40","consolidated_spread_bps":0.52,"single_venue_spread_bps":1.03,"spread_gap_bps":0.5},{"et_time":"10:41","consolidated_spread_bps":0.01,"single_venue_spread_bps":0.61,"spread_gap_bps":0.6},{"et_time":"10:42","consolidated_spread_bps":0.26,"single_venue_spread_bps":0.75,"spread_gap_bps":0.49},{"et_time":"10:43","consolidated_spread_bps":0.43,"single_venue_spread_bps":0.86,"spread_gap_bps":0.42},{"et_time":"10:44","consolidated_spread_bps":0.57,"single_venue_spread_bps":0.89,"spread_gap_bps":0.32},{"et_time":"10:45","consolidated_spread_bps":0.32,"single_venue_spread_bps":0.63,"spread_gap_bps":0.3},{"et_time":"10:46","consolidated_spread_bps":0.25,"single_venue_spread_bps":0.61,"spread_gap_bps":0.36},{"et_time":"10:47","consolidated_spread_bps":-1.39,"single_venue_spread_bps":-0.48,"spread_gap_bps":0.91},{"et_time":"10:48","consolidated_spread_bps":0.36,"single_venue_spread_bps":1.14,"spread_gap_bps":0.77},{"et_time":"10:49","consolidated_spread_bps":0.35,"single_venue_spread_bps":0.83,"spread_gap_bps":0.49},{"et_time":"10:50","consolidated_spread_bps":0.5,"single_venue_spread_bps":0.91,"spread_gap_bps":0.41},{"et_time":"10:51","consolidated_spread_bps":0.61,"single_venue_spread_bps":0.95,"spread_gap_bps":0.35},{"et_time":"10:52","consolidated_spread_bps":0.42,"single_venue_spread_bps":0.88,"spread_gap_bps":0.46},{"et_time":"10:53","consolidated_spread_bps":0.48,"single_venue_spread_bps":0.81,"spread_gap_bps":0.33},{"et_time":"10:54","consolidated_spread_bps":0.43,"single_venue_spread_bps":0.82,"spread_gap_bps":0.4},{"et_time":"10:55","consolidated_spread_bps":0.22,"single_venue_spread_bps":0.61,"spread_gap_bps":0.39},{"et_time":"10:56","consolidated_spread_bps":0.47,"single_venue_spread_bps":0.77,"spread_gap_bps":0.31},{"et_time":"10:57","consolidated_spread_bps":0.46,"single_venue_spread_bps":0.72,"spread_gap_bps":0.26},{"et_time":"10:58","consolidated_spread_bps":0.39,"single_venue_spread_bps":0.73,"spread_gap_bps":0.34},{"et_time":"10:59","consolidated_spread_bps":0.25,"single_venue_spread_bps":0.78,"spread_gap_bps":0.53},{"et_time":"11:00","consolidated_spread_bps":0.04,"single_venue_spread_bps":0.57,"spread_gap_bps":0.53},{"et_time":"11:01","consolidated_spread_bps":0.22,"single_venue_spread_bps":0.57,"spread_gap_bps":0.35},{"et_time":"11:02","consolidated_spread_bps":0.31,"single_venue_spread_bps":0.65,"spread_gap_bps":0.34},{"et_time":"11:03","consolidated_spread_bps":0.3,"single_venue_spread_bps":0.66,"spread_gap_bps":0.37},{"et_time":"11:04","consolidated_spread_bps":0.38,"single_venue_spread_bps":0.71,"spread_gap_bps":0.33},{"et_time":"11:05","consolidated_spread_bps":-0.01,"single_venue_spread_bps":0.62,"spread_gap_bps":0.63},{"et_time":"11:06","consolidated_spread_bps":0.19,"single_venue_spread_bps":0.6,"spread_gap_bps":0.41},{"et_time":"11:07","consolidated_spread_bps":0.2,"single_venue_spread_bps":0.62,"spread_gap_bps":0.42},{"et_time":"11:08","consolidated_spread_bps":0.54,"single_venue_spread_bps":0.88,"spread_gap_bps":0.34},{"et_time":"11:09","consolidated_spread_bps":0.48,"single_venue_spread_bps":0.78,"spread_gap_bps":0.3},{"et_time":"11:10","consolidated_spread_bps":0.52,"single_venue_spread_bps":0.8,"spread_gap_bps":0.28},{"et_time":"11:11","consolidated_spread_bps":0.38,"single_venue_spread_bps":0.73,"spread_gap_bps":0.35},{"et_time":"11:12","consolidated_spread_bps":0.42,"single_venue_spread_bps":0.72,"spread_gap_bps":0.3},{"et_time":"11:13","consolidated_spread_bps":0.45,"single_venue_spread_bps":0.71,"spread_gap_bps":0.27},{"et_time":"11:14","consolidated_spread_bps":0.43,"single_venue_spread_bps":0.75,"spread_gap_bps":0.32},{"et_time":"11:15","consolidated_spread_bps":0.1,"single_venue_spread_bps":0.42,"spread_gap_bps":0.32},{"et_time":"11:16","consolidated_spread_bps":0.47,"single_venue_spread_bps":0.85,"spread_gap_bps":0.38},{"et_time":"11:17","consolidated_spread_bps":0.48,"single_venue_spread_bps":0.86,"spread_gap_bps":0.38},{"et_time":"11:18","consolidated_spread_bps":0.29,"single_venue_spread_bps":0.72,"spread_gap_bps":0.44},{"et_time":"11:19","consolidated_spread_bps":0.41,"single_venue_spread_bps":0.8,"spread_gap_bps":0.38},{"et_time":"11:20","consolidated_spread_bps":0.59,"single_venue_spread_bps":0.93,"spread_gap_bps":0.34},{"et_time":"11:21","consolidated_spread_bps":0.5,"single_venue_spread_bps":0.75,"spread_gap_bps":0.25},{"et_time":"11:22","consolidated_spread_bps":0.57,"single_venue_spread_bps":0.83,"spread_gap_bps":0.26},{"et_time":"11:23","consolidated_spread_bps":0.32,"single_venue_spread_bps":0.68,"spread_gap_bps":0.35},{"et_time":"11:24","consolidated_spread_bps":0.48,"single_venue_spread_bps":0.83,"spread_gap_bps":0.35},{"et_time":"11:25","consolidated_spread_bps":0.31,"single_venue_spread_bps":0.66,"spread_gap_bps":0.35},{"et_time":"11:26","consolidated_spread_bps":0.47,"single_venue_spread_bps":0.79,"spread_gap_bps":0.31},{"et_time":"11:27","consolidated_spread_bps":0.37,"single_venue_spread_bps":0.73,"spread_gap_bps":0.37},{"et_time":"11:28","consolidated_spread_bps":0.41,"single_venue_spread_bps":0.74,"spread_gap_bps":0.33},{"et_time":"11:29","consolidated_spread_bps":0.27,"single_venue_spread_bps":0.58,"spread_gap_bps":0.31}],"shape":"series","sql":"WITH venue_snapshot AS\n(\n    SELECT\n        toStartOfSecond(sip_timestamp) AS snap,\n        toUInt32(bid_exchange)         AS exchange_id,\n        max(toFloat64(bid_price))      AS venue_bid,\n        min(toFloat64(ask_price))      AS venue_ask\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'AAPL'\n      AND sip_timestamp >= '2026-06-17 14:00:00'\n      AND sip_timestamp <  '2026-06-17 15:30:00'\n      AND bid_price > 0\n      AND ask_price > bid_price\n      AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.01\n    GROUP BY snap, exchange_id\n),\nper_snapshot AS\n(\n    SELECT\n        toStartOfMinute(toTimeZone(snap, 'America/New_York'))                         AS minute_et,\n        avg(20000 * (venue_ask - venue_bid) / (venue_ask + venue_bid))                AS one_venue_bps,\n        20000 * (min(venue_ask) - max(venue_bid)) / (min(venue_ask) + max(venue_bid)) AS consolidated_bps\n    FROM venue_snapshot\n    GROUP BY snap\n)\nSELECT\n    formatDateTime(minute_et, '%H:%i')                   AS et_time,\n    round(avg(consolidated_bps), 2)                      AS consolidated_spread_bps,\n    round(avg(one_venue_bps), 2)                         AS single_venue_spread_bps,\n    round(avg(one_venue_bps) - avg(consolidated_bps), 2) AS spread_gap_bps\nFROM per_snapshot\nGROUP BY minute_et\nORDER BY minute_et","computed_at":"2026-08-10T14:42:11.522445+00:00","elapsed":0.00400145}