spread_by_hour

Name: spread_by_hour
Creator: Strasmore
Published: 2026-10-03
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 2026-10-03, from us-market-volume-by-hour-philippine-time.

as of 2026-10-03 ranking 7×3read in context →

spread_by_hour — 7 rows by 3 columns, computed 2026-10-03 from US exchange, SIP and OPRA data.
manila_hour	median_spread_bps	avg_quoted_size_shares
21:30	0.263	376
22:00	0.264	356
23:00	0.264	369
00:00	0.264	435
01:00	0.264	407
02:00	0.264	409
03:00	0.132	570

Rows × columns: 7 × 3
Computed: 2026-10-03
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 spread_by_hour, derived from the stored result.
Column	Type	Range	Notes
`manila_hour`	text	7 distinct values (00:00, 01:00, 02:00…)
`median_spread_bps`	number	0.132 to 0.264
`avg_quoted_size_shares`	number	356 to 570	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 2026-10-03, 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 quotes AS
(
    SELECT
        toTimeZone(sip_timestamp, 'Asia/Manila') AS manila_time,
        10000 * (toFloat64(ask_price) - toFloat64(bid_price))
              / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) AS spread_bps,
        toFloat64(bid_size + ask_size) / 2                          AS quoted_size,
        toUInt64(sequence_number)                                   AS sequence_number
    FROM global_markets.cache_stocks_quotes
    WHERE ticker = 'SPY'
      AND sip_timestamp >= toDateTime('2026-09-15 13:30:00')
      AND sip_timestamp <  toDateTime('2026-09-15 20:00:00')
      AND bid_price > 0
      AND ask_price >= bid_price
)
SELECT
    formatDateTime(min(manila_time), '%H:%i')                         AS manila_hour,
    round(quantileDeterministic(0.5)(spread_bps, sequence_number), 3) AS median_spread_bps,
    round(avg(quoted_size))                                           AS avg_quoted_size_shares
FROM quotes
GROUP BY (toHour(manila_time) + 3) % 24
HAVING count() > 0
ORDER BY (toHour(manila_time) + 3) % 24

SQL to run

WITH quotes AS
(
    SELECT
        toTimeZone(sip_timestamp, 'Asia/Manila') AS manila_time,
        10000 * (toFloat64(ask_price) - toFloat64(bid_price))
              / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) AS spread_bps,
        toFloat64(bid_size + ask_size) / 2                          AS quoted_size,
        toUInt64(sequence_number)                                   AS sequence_number
    FROM global_markets.cache_stocks_quotes
    WHERE ticker = 'SPY'
      AND sip_timestamp >= toDateTime('2026-09-15 13:30:00')
      AND sip_timestamp <  toDateTime('2026-09-15 20:00:00')
      AND bid_price > 0
      AND ask_price >= bid_price
)
SELECT
    formatDateTime(min(manila_time), '%H:%i')                         AS manila_hour,
    round(quantileDeterministic(0.5)(spread_bps, sequence_number), 3) AS median_spread_bps,
    round(avg(quoted_size))                                           AS avg_quoted_size_shares
FROM quotes
GROUP BY (toHour(manila_time) + 3) % 24
HAVING count() > 0
ORDER BY (toHour(manila_time) + 3) % 24

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