{"slug":"what-is-the-nbbo","qid":"sip_consolidation_lag","label":"Exchange stamp to SIP stamp: the consolidation step, in microseconds","post_title":"What Is the NBBO? National Best Bid and Offer","post_url":"/blog/what-is-the-nbbo#q-sip_consolidation_lag","columns":["ticker","median_micros","p99_micros"],"rows":[{"ticker":"SPY","median_micros":241.1,"p99_micros":504.9},{"ticker":"NVDA","median_micros":193,"p99_micros":580.3},{"ticker":"AAPL","median_micros":192.6,"p99_micros":480.6},{"ticker":"KO","median_micros":407,"p99_micros":938.3}],"shape":"ranking","sql":"WITH (\n    SELECT max(session_date)\n    FROM (\n        SELECT toDate(toTimeZone(window_start, 'America/New_York')) AS session_date,\n               countIf((toHour(toTimeZone(window_start, 'America/New_York')) * 60 + toMinute(toTimeZone(window_start, 'America/New_York'))) BETWEEN 570 AND 959) AS regular_bars\n        FROM global_markets.delayed_stocks_minute_aggs\n        WHERE ticker = 'SPY'\n          AND window_start >= toDateTime(today() - 10)\n          AND window_start < toDateTime(today() - 3)\n        GROUP BY session_date\n        HAVING regular_bars = 390\n    )\n) AS last_session\nSELECT ticker,\n       round(quantileDeterministic(0.5)((toUnixTimestamp64Nano(sip_timestamp) - toUnixTimestamp64Nano(participant_timestamp)) / 1000.0, toUInt64(sequence_number)), 1) AS median_micros,\n       round(quantileDeterministic(0.99)((toUnixTimestamp64Nano(sip_timestamp) - toUnixTimestamp64Nano(participant_timestamp)) / 1000.0, toUInt64(sequence_number)), 1) AS p99_micros\nFROM global_markets.cache_stocks_quotes\nWHERE ticker IN ('SPY', 'NVDA', 'AAPL', 'KO')\n  AND sip_timestamp >= toDateTime(last_session, 'America/New_York')\n  AND sip_timestamp < toDateTime(last_session + 1, 'America/New_York')\n  AND participant_timestamp > toDateTime64('2020-01-01 00:00:00', 9)\nGROUP BY ticker\nORDER BY indexOf(['SPY', 'NVDA', 'AAPL', 'KO'], ticker)","computed_at":"2026-08-22T04:34:54.968190+00:00","elapsed":1.566737637}