Inside the widest 2025 SPY sweep day: fifteen-minute high, low and volume

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
    formatDateTime(toStartOfFifteenMinutes(toTimeZone(window_start, 'America/New_York')), '%H:%i') AS et_time,
    round(toFloat64(max(high)), 2)          AS slice_high,
    round(toFloat64(min(low)), 2)           AS slice_low,
    round((toFloat64(sum(volume)) + if(et_time = '15:45', closing_print, 0)) / 1e6, 2)  AS volume_millions
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 et_time
ORDER BY et_time