spread_by_clock
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 2026-10-03, from why-stop-orders-fill-below-the-stop-price.
| et_time | median_spread_bps | spread_vs_day_median | median_quoted_size |
|---|---|---|---|
| 05:00 | 43.83 | 38.76 | 200 |
| 09:30 | 2.26 | 2 | 600 |
| 09:45 | 1.13 | 1 | 600 |
| 10:00 | 1.13 | 1 | 700 |
| 10:15 | 1.13 | 1 | 700 |
| 10:30 | 1.13 | 1 | 700 |
| 10:45 | 1.13 | 1 | 800 |
| 11:00 | 1.13 | 1 | 900 |
| 11:15 | 1.13 | 1 | 800 |
| 11:30 | 1.13 | 1 | 800 |
| 11:45 | 1.13 | 1 | 900 |
| 12:00 | 1.13 | 1 | 1000 |
| 12:15 | 1.13 | 1 | 900 |
| 12:30 | 1.13 | 1 | 900 |
| 12:45 | 1.13 | 1 | 900 |
| 13:00 | 1.13 | 1 | 900 |
| 13:15 | 1.13 | 1 | 900 |
| 13:30 | 1.13 | 1 | 1000 |
| 13:45 | 1.13 | 1 | 1000 |
| 14:00 | 1.13 | 1 | 1000 |
| 14:15 | 1.13 | 1 | 1000 |
| 14:30 | 1.13 | 1 | 1100 |
| 14:45 | 1.13 | 1 | 1100 |
| 15:00 | 1.13 | 1 | 1300 |
| 15:15 | 1.13 | 1 | 1400 |
| 15:30 | 1.13 | 1 | 1400 |
| 15:45 | 1.13 | 1 | 2000 |
- Rows × columns
- 27 × 4
- Computed
- Completeness
- No missing values
- Source
- US exchange, SIP and OPRA market data
- Licence
- Strasmore terms · free, no signup
What each column holds
| Column | Type | Range | Notes |
|---|---|---|---|
et_time |
text | 27 distinct values (05:00, 09:30, 09:45…) | |
median_spread_bps |
number | 1.13 to 43.83 | |
spread_vs_day_median |
number | 1 to 38.76 | |
median_quoted_size |
number | 200 to 2,000 |
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.
Run it yourself
This is the exact query behind the result above. Change a ticker, a date or a column and run it against the warehouse — no account, no key. The no-signup tier is smaller than the one this page was computed on; a query that reaches past it comes back saying which plan runs it.
WITH quotes AS
(
SELECT
toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 15 MINUTE) AS et_bucket,
toFloat64(ask_price - bid_price) / toFloat64(ask_price) * 10000 AS spread_bps,
toFloat64(bid_size + ask_size) AS quoted_size,
toUInt64(sequence_number) AS det
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'KO'
AND sip_timestamp >= '2026-09-15 08:00:00'
AND sip_timestamp < '2026-09-16 00:00:00'
AND bid_price > 0
AND ask_price > bid_price
)
SELECT
formatDateTime(et_bucket, '%H:%i') AS et_time,
round(quantileDeterministic(0.5)(spread_bps, det), 2) AS median_spread_bps,
round(quantileDeterministic(0.5)(spread_bps, det)
/ (SELECT quantileDeterministic(0.5)(spread_bps, det) FROM quotes), 2) AS spread_vs_day_median,
round(quantileDeterministic(0.5)(quoted_size, det), 0) AS median_quoted_size
FROM quotes
GROUP BY et_bucket
HAVING count() > 200
ORDER BY et_bucket
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