spread_by_hour
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 2026-10-06, from us-market-volume-by-hour-east-africa-time.
| eat_time | et_time | avg_spread_bps | quote_count_per_minute |
|---|---|---|---|
| 14:00 | 07:00 | 6.4 | 22 |
| 15:00 | 08:00 | 4.21 | 11 |
| 16:00 | 09:00 | 2.22 | 1727 |
| 17:00 | 10:00 | 1.36 | 1328 |
| 18:00 | 11:00 | 1.13 | 1145 |
| 19:00 | 12:00 | 0.93 | 723 |
| 20:00 | 13:00 | 0.79 | 721 |
| 21:00 | 14:00 | 1.32 | 2026 |
| 22:00 | 15:00 | 1.11 | 2724 |
| 23:00 | 16:00 | 4.48 | 16 |
| 00:00 | 17:00 | 3.38 | 5 |
| 01:00 | 18:00 | 8.15 | 14 |
| 02:00 | 19:00 | 6.69 | 112 |
- Rows × columns
- 13 × 4
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
eat_time |
text | 13 distinct values (00:00, 01:00, 02:00…) | |
et_time |
text | 13 distinct values (07:00, 08:00, 09:00…) | |
avg_spread_bps |
number | 0.79 to 8.15 | |
quote_count_per_minute |
number | 5 to 2,724 | 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 , 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.
SELECT
formatDateTime(toTimeZone(sip_timestamp, 'Africa/Nairobi'), '%H:00') AS eat_time,
formatDateTime(toTimeZone(sip_timestamp, 'America/New_York'), '%H:00') AS et_time,
round(avg(10000 * (toFloat64(ask_price) - toFloat64(bid_price))
/ ((toFloat64(ask_price) + toFloat64(bid_price)) / 2)), 2) AS avg_spread_bps,
round(count() / 60.0, 0) AS quote_count_per_minute
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= '2026-09-16 11:00:00'
AND sip_timestamp < '2026-09-17 00:00:00'
AND bid_price > 0
AND ask_price > bid_price
GROUP BY eat_time, et_time
ORDER BY et_time
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