Consolidated spread vs single venue spread, AAPL, June 17 2026

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 venue_snapshot AS
(
    SELECT
        toStartOfSecond(sip_timestamp) AS snap,
        toUInt32(bid_exchange)         AS exchange_id,
        max(toFloat64(bid_price))      AS venue_bid,
        min(toFloat64(ask_price))      AS venue_ask
    FROM global_markets.cache_stocks_quotes
    WHERE ticker = 'AAPL'
      AND sip_timestamp >= '2026-06-17 14:00:00'
      AND sip_timestamp <  '2026-06-17 15:30:00'
      AND bid_price > 0
      AND ask_price > bid_price
      AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.01
    GROUP BY snap, exchange_id
),
per_snapshot AS
(
    SELECT
        toStartOfMinute(toTimeZone(snap, 'America/New_York'))                         AS minute_et,
        avg(20000 * (venue_ask - venue_bid) / (venue_ask + venue_bid))                AS one_venue_bps,
        20000 * (min(venue_ask) - max(venue_bid)) / (min(venue_ask) + max(venue_bid)) AS consolidated_bps
    FROM venue_snapshot
    GROUP BY snap
)
SELECT
    formatDateTime(minute_et, '%H:%i')                   AS et_time,
    round(avg(consolidated_bps), 2)                      AS consolidated_spread_bps,
    round(avg(one_venue_bps), 2)                         AS single_venue_spread_bps,
    round(avg(one_venue_bps) - avg(consolidated_bps), 2) AS spread_gap_bps
FROM per_snapshot
GROUP BY minute_et
ORDER BY minute_et