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The same curve at four checkpoints: premarket, the open, midday, the close

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 2026-08-22, from What Is a Bid-Ask Spread? Real Costs.

as of series 4×2read in context →
The same curve at four checkpoints: premarket, the open, midday, the close — 4 rows by 2 columns, computed from US exchange, SIP and OPRA data.
et_timemedian_spread_cents
04:0027
09:304
13:002
16:0010
Rows × columns
4 × 2
Period covered
to
Computed
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 The same curve at four checkpoints: premarket, the open, midday, the close, derived from the stored result.
ColumnTypeRangeNotes
et_time date 04:00 to 16:00
median_spread_cents number 2 to 27

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.

the exact SQL behind every number 
SELECT formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
       round(quantileDeterministic(0.5)(toFloat64(ask_price - bid_price), toUInt64(sip_timestamp)) * 100, 1) AS median_spread_cents
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'AAPL'
  AND sip_timestamp >= now() - INTERVAL 7 DAY
  AND bid_price > 0
  AND ask_price > bid_price
GROUP BY et_time
HAVING et_time IN ('04:00', '09:30', '13:00', '16:00')
ORDER BY et_time

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