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 2026-09-30, from us-premarket-and-after-hours-philippine-time.
| label | avg_spread_bps | median_spread_bps | spread_vs_tightest_x |
|---|---|---|---|
| 16:00 PHT | 7.4 | 7 | 12.1 |
| 18:00 PHT | 7.2 | 7.3 | 11.7 |
| 19:00 PHT | 5.4 | 4.8 | 8.8 |
| 20:00 PHT | 5.3 | 4.8 | 8.6 |
| 21:00 PHT | 2 | 1.5 | 3.3 |
| 22:00 PHT | 1.2 | 1.2 | 2 |
| 23:00 PHT | 1 | 0.9 | 1.6 |
| 00:00 PHT | 0.8 | 0.9 | 1.3 |
| 01:00 PHT | 0.7 | 0.6 | 1.1 |
| 02:00 PHT | 0.6 | 0.6 | 1 |
| 03:00 PHT | 0.6 | 0.6 | 1.1 |
| 04:00 PHT | 4.5 | 3.9 | 7.3 |
| 06:00 PHT | 3.9 | 3.6 | 6.3 |
- 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 |
|---|---|---|---|
label |
text | 13 distinct values (00:00 PHT, 01:00 PHT, 02:00 PHT…) | |
avg_spread_bps |
number | 0.6 to 7.4 | |
median_spread_bps |
number | 0.6 to 7.3 | |
spread_vs_tightest_x |
number | 1 to 12.1 |
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
concat(leftPad(toString(toHour(toTimeZone(sip_timestamp, 'Asia/Manila'))), 2, '0'), ':00 PHT') AS label,
round(avg(spread_bps), 1) AS avg_spread_bps,
round(quantileDeterministic(0.5)(spread_bps, seq), 1) AS median_spread_bps,
round(avg(spread_bps) / min(avg(spread_bps)) OVER (), 1) AS spread_vs_tightest_x
FROM
(
SELECT
sip_timestamp,
toUInt64(abs(sequence_number)) AS seq,
toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price) * 2 * 10000 AS spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
AND sip_timestamp >= toDateTime('2026-09-15 08:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-09-16 00:30:00', 'UTC')
AND bid_price > 0
AND ask_price > bid_price
)
GROUP BY label
HAVING count() > 500
ORDER BY min(sip_timestamp)
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