{"slug":"what-price-a-market-order-fills-at","qid":"spread_by_clock","label":"AAPL quoted spread in five minute buckets, 9:00 to 11:00 a.m. ET (Sep 16, 2026)","post_title":"What Price Does a Market Order Fill At?","post_url":"/blog/what-price-a-market-order-fills-at#q-spread_by_clock","columns":["et_time","avg_spread_cents","avg_spread_bps"],"rows":[{"et_time":"09:00","avg_spread_cents":29.99,"avg_spread_bps":9.03},{"et_time":"09:05","avg_spread_cents":18.05,"avg_spread_bps":5.42},{"et_time":"09:10","avg_spread_cents":18.47,"avg_spread_bps":5.55},{"et_time":"09:15","avg_spread_cents":11.29,"avg_spread_bps":3.39},{"et_time":"09:20","avg_spread_cents":20.42,"avg_spread_bps":6.14},{"et_time":"09:25","avg_spread_cents":29.92,"avg_spread_bps":9},{"et_time":"09:30","avg_spread_cents":8.25,"avg_spread_bps":2.47},{"et_time":"09:35","avg_spread_cents":6.04,"avg_spread_bps":1.81},{"et_time":"09:40","avg_spread_cents":6.63,"avg_spread_bps":1.99},{"et_time":"09:45","avg_spread_cents":5.76,"avg_spread_bps":1.72},{"et_time":"09:50","avg_spread_cents":5.63,"avg_spread_bps":1.69},{"et_time":"09:55","avg_spread_cents":5.93,"avg_spread_bps":1.78},{"et_time":"10:00","avg_spread_cents":6.24,"avg_spread_bps":1.87},{"et_time":"10:05","avg_spread_cents":4.49,"avg_spread_bps":1.35},{"et_time":"10:10","avg_spread_cents":4.25,"avg_spread_bps":1.27},{"et_time":"10:15","avg_spread_cents":4.27,"avg_spread_bps":1.28},{"et_time":"10:20","avg_spread_cents":4.53,"avg_spread_bps":1.36},{"et_time":"10:25","avg_spread_cents":4.25,"avg_spread_bps":1.27},{"et_time":"10:30","avg_spread_cents":4.13,"avg_spread_bps":1.24},{"et_time":"10:35","avg_spread_cents":4.85,"avg_spread_bps":1.45},{"et_time":"10:40","avg_spread_cents":4.54,"avg_spread_bps":1.36},{"et_time":"10:45","avg_spread_cents":5.11,"avg_spread_bps":1.53},{"et_time":"10:50","avg_spread_cents":3.44,"avg_spread_bps":1.03},{"et_time":"10:55","avg_spread_cents":3.67,"avg_spread_bps":1.1}],"shape":"series","sql":"SELECT\n    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'),\n                                     INTERVAL 5 MINUTE), '%H:%i')       AS et_time,\n    round(avg(toFloat64(ask_price - bid_price)) * 100, 2)               AS avg_spread_cents,\n    round(avg(toFloat64(ask_price - bid_price)\n              / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2)) * 10000, 2) AS avg_spread_bps\nFROM global_markets.cache_stocks_quotes\nWHERE ticker = 'AAPL'\n  AND sip_timestamp >= toDateTime('2026-09-16 13:00:00', 'UTC')\n  AND sip_timestamp <  toDateTime('2026-09-16 15:00:00', 'UTC')\n  AND bid_price > 0\n  AND ask_price > bid_price\nGROUP BY et_time\nORDER BY et_time","computed_at":"2026-10-05T14:57:08.681799+00:00","elapsed":0.00252481}