STRASMORE/EXPLORE 2,170 QUERIES

Exchange stamp to SIP stamp: the consolidation step, in microseconds

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 the NBBO? National Best Bid and Offer.

as of ranking 4×3read in context →
Exchange stamp to SIP stamp: the consolidation step, in microseconds — 4 rows by 3 columns, computed from US exchange, SIP and OPRA data.
tickermedian_microsp99_micros
SPY241.1504.9
NVDA193580.3
AAPL192.6480.6
KO407938.3
Rows × columns
4 × 3
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 Exchange stamp to SIP stamp: the consolidation step, in microseconds, derived from the stored result.
ColumnTypeRangeNotes
ticker text 4 distinct values (AAPL, KO, NVDA…)
median_micros number 192.6 to 407
p99_micros number 480.6 to 938.3

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 
WITH (
    SELECT max(session_date)
    FROM (
        SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,
               countIf((toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959) AS regular_bars
        FROM global_markets.delayed_stocks_minute_aggs
        WHERE ticker = 'SPY'
          AND window_start >= toDateTime(today() - 10)
          AND window_start < toDateTime(today() - 3)
        GROUP BY session_date
        HAVING regular_bars = 390
    )
) AS last_session
SELECT ticker,
       round(quantileDeterministic(0.5)((toUnixTimestamp64Nano(sip_timestamp) - toUnixTimestamp64Nano(participant_timestamp)) / 1000.0, toUInt64(sequence_number)), 1) AS median_micros,
       round(quantileDeterministic(0.99)((toUnixTimestamp64Nano(sip_timestamp) - toUnixTimestamp64Nano(participant_timestamp)) / 1000.0, toUInt64(sequence_number)), 1) AS p99_micros
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'NVDA', 'AAPL', 'KO')
  AND sip_timestamp >= toDateTime(last_session, 'America/New_York')
  AND sip_timestamp < toDateTime(last_session + 1, 'America/New_York')
  AND participant_timestamp > toDateTime64('2020-01-01 00:00:00', 9)
GROUP BY ticker
ORDER BY indexOf(['SPY', 'NVDA', 'AAPL', 'KO'], ticker)

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