{"slug":"why-overnight-orders-must-be-limit-orders","qid":"quoted_spread_by_hour","label":"Median quoted spread by ET hour (AAPL, pinned session of September 16, 2026)","post_title":"Why Overnight Orders Must Be Limit Orders","post_url":"/blog/why-overnight-orders-must-be-limit-orders#q-quoted_spread_by_hour","columns":["et_hour","median_spread_bps","quotes_sampled"],"rows":[{"et_hour":"04:00","median_spread_bps":8.5,"quotes_sampled":1238},{"et_hour":"05:00","median_spread_bps":10.3,"quotes_sampled":514},{"et_hour":"06:00","median_spread_bps":8.1,"quotes_sampled":377},{"et_hour":"07:00","median_spread_bps":6.6,"quotes_sampled":1341},{"et_hour":"08:00","median_spread_bps":4.2,"quotes_sampled":652},{"et_hour":"09:00","median_spread_bps":2.1,"quotes_sampled":103597},{"et_hour":"10:00","median_spread_bps":1.2,"quotes_sampled":79653},{"et_hour":"11:00","median_spread_bps":1.2,"quotes_sampled":68686},{"et_hour":"12:00","median_spread_bps":0.9,"quotes_sampled":43372},{"et_hour":"13:00","median_spread_bps":0.9,"quotes_sampled":43248},{"et_hour":"14:00","median_spread_bps":1.2,"quotes_sampled":121565},{"et_hour":"15:00","median_spread_bps":0.9,"quotes_sampled":163432},{"et_hour":"16:00","median_spread_bps":3.9,"quotes_sampled":935},{"et_hour":"17:00","median_spread_bps":2.7,"quotes_sampled":325},{"et_hour":"18:00","median_spread_bps":8.1,"quotes_sampled":810},{"et_hour":"19:00","median_spread_bps":6.9,"quotes_sampled":6702}],"shape":"ranking","sql":"SELECT\n    formatDateTime(toStartOfHour(toTimeZone(sip_timestamp, 'America/New_York')), '%H:00') AS et_hour,\n    round(quantileDeterministic(0.5)(\n        20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price),\n        toUInt32(sequence_number)), 1)                                                    AS median_spread_bps,\n    count()                                                                              AS quotes_sampled\nFROM global_markets.cache_stocks_quotes\nWHERE ticker = 'AAPL'\n  AND sip_timestamp >= '2026-09-16 08:00:00'\n  AND sip_timestamp <  '2026-09-17 00:00:00'\n  AND bid_price > 0\n  AND ask_price > bid_price\nGROUP BY et_hour\nORDER BY et_hour","computed_at":"2026-09-27T16:14:06.627653+00:00","elapsed":0.002213927}