Volume in the fifteen minutes that printed the high, beside the session's median and busiest slices

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
  (
      SELECT toDate(date)
      FROM
      (
          SELECT
              date,
              hi,
              cl,
              lagInFrame(hi) OVER (ORDER BY date ROWS BETWEEN 1 PRECEDING AND CURRENT ROW) AS prior_hi
          FROM
          (
              SELECT
                  date,
                  argMax(high,  _ingest_time) AS hi,
                  argMax(close, _ingest_time) AS cl
              FROM global_markets.stocks_daily_aggs
              WHERE ticker = 'SPY'
                AND date >= '2024-12-31'
                AND date <  '2026-01-01'
              GROUP BY date
          )
      )
      WHERE date >= '2025-01-01'
        AND prior_hi > 0
        AND hi > prior_hi
        AND cl < prior_hi
      ORDER BY (toFloat64(hi) - toFloat64(prior_hi)) / toFloat64(prior_hi) DESC, date DESC
      LIMIT 1
  ) AS sweep_day,
  (
      SELECT toFloat64(maxIf(size, has(conditions, 8)))
      FROM global_markets.stocks_trades
      WHERE ticker = 'SPY'
        AND sip_timestamp >= toDateTime(sweep_day, 'UTC') + 68400
        AND sip_timestamp <  toDateTime(sweep_day, 'UTC') + 79200
  ) AS closing_print
SELECT
    tupleElement(entry, 1) AS label,
    tupleElement(entry, 2) AS volume_millions
FROM
(
    SELECT
        arrayJoin([
            ('Fifteen minutes that printed the session high', peak_slice),
            ('Median fifteen-minute slice of the session',    median_slice),
            ('Busiest fifteen-minute slice of the session',   busiest_slice)
        ]) AS entry
    FROM
    (
        SELECT
            round(argMax(volume_mm, (slice_high, slice_start)), 2) AS peak_slice,
            round(quantileExact(0.5)(volume_mm), 2)                AS median_slice,
            round(max(volume_mm), 2)                               AS busiest_slice
        FROM
        (
            SELECT
                toStartOfFifteenMinutes(toTimeZone(window_start, 'America/New_York')) AS slice_start,
                toFloat64(max(high))                                                  AS slice_high,
                (toFloat64(sum(volume))
                 + if(formatDateTime(slice_start, '%H:%i') = '15:45', closing_print, 0)) / 1e6 AS volume_mm
            FROM global_markets.delayed_stocks_minute_aggs
            WHERE ticker = 'SPY'
              AND window_start >= '2025-01-01'
              AND window_start <  '2026-01-02'
              AND toDate(toTimeZone(window_start, 'America/New_York')) = sweep_day
              AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
                   + toMinute(toTimeZone(window_start, 'America/New_York'))) >= 570
              AND (toHour(toTimeZone(window_start, 'America/New_York')) * 60
                   + toMinute(toTimeZone(window_start, 'America/New_York'))) < 960
            GROUP BY slice_start
        )
    )
)