{"slug":"what-is-liquidity","qid":"thin_spread_intraday","label":"thin_spread_intraday","post_title":"what-is-liquidity","post_url":"/blog/lang/pcm/what-is-liquidity#q-thin_spread_intraday","columns":["et_time","median_spread_pct","quote_update_count"],"rows":[{"et_time":"09:30","median_spread_pct":1.9,"quote_update_count":20},{"et_time":"10:00","median_spread_pct":1.82,"quote_update_count":54},{"et_time":"10:30","median_spread_pct":0.336,"quote_update_count":62},{"et_time":"11:00","median_spread_pct":0.184,"quote_update_count":50},{"et_time":"12:00","median_spread_pct":0.428,"quote_update_count":26},{"et_time":"12:30","median_spread_pct":0.914,"quote_update_count":23},{"et_time":"13:00","median_spread_pct":0.904,"quote_update_count":27},{"et_time":"13:30","median_spread_pct":0.691,"quote_update_count":9},{"et_time":"14:00","median_spread_pct":0.458,"quote_update_count":6},{"et_time":"14:30","median_spread_pct":0.428,"quote_update_count":7},{"et_time":"15:00","median_spread_pct":0.428,"quote_update_count":37},{"et_time":"15:30","median_spread_pct":0.574,"quote_update_count":40}],"shape":"series","sql":"SELECT\n    formatDateTime(toStartOfInterval(sip_timestamp, INTERVAL 30 MINUTE), '%H:%i', 'America/New_York') AS et_time,\n    round(quantileDeterministic(0.5)(spread_pct, det), 3)                                             AS median_spread_pct,\n    count()                                                                                            AS quote_update_count\nFROM\n(\n    SELECT\n        sip_timestamp,\n        (toFloat64(ask_price) - toFloat64(bid_price))\n            / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2) * 100               AS spread_pct,\n        cityHash64(toString(sip_timestamp), ifNull(toString(sequence_number), ''))    AS det\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'NATH'\n      AND sip_timestamp >= toDateTime('2026-09-10 08:00:00', 'UTC')\n      AND sip_timestamp <  toDateTime('2026-09-11 01:00:00', 'UTC')\n      AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60\n           + toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) >= 570\n      AND (toHour(toTimeZone(sip_timestamp, 'America/New_York')) * 60\n           + toMinute(toTimeZone(sip_timestamp, 'America/New_York'))) < 960\n      AND bid_price > 0\n      AND ask_price > bid_price\n)\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-09-26T22:53:22.088421+00:00","elapsed":0.255610391}