{"slug":"why-stop-orders-fill-below-the-stop-price","qid":"spread_by_clock","label":"spread_by_clock","post_title":"why-stop-orders-fill-below-the-stop-price","post_url":"/blog/why-stop-orders-fill-below-the-stop-price#q-spread_by_clock","columns":["et_time","median_spread_bps","spread_vs_day_median","median_quoted_size"],"rows":[{"et_time":"05:00","median_spread_bps":43.83,"spread_vs_day_median":38.76,"median_quoted_size":200},{"et_time":"09:30","median_spread_bps":2.26,"spread_vs_day_median":2,"median_quoted_size":600},{"et_time":"09:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":600},{"et_time":"10:00","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":700},{"et_time":"10:15","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":700},{"et_time":"10:30","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":700},{"et_time":"10:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":800},{"et_time":"11:00","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"11:15","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":800},{"et_time":"11:30","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":800},{"et_time":"11:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"12:00","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1000},{"et_time":"12:15","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"12:30","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"12:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"13:00","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"13:15","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":900},{"et_time":"13:30","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1000},{"et_time":"13:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1000},{"et_time":"14:00","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1000},{"et_time":"14:15","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1000},{"et_time":"14:30","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1100},{"et_time":"14:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1100},{"et_time":"15:00","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1300},{"et_time":"15:15","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1400},{"et_time":"15:30","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":1400},{"et_time":"15:45","median_spread_bps":1.13,"spread_vs_day_median":1,"median_quoted_size":2000}],"shape":"series","sql":"WITH quotes AS\n(\n    SELECT\n        toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 15 MINUTE) AS et_bucket,\n        toFloat64(ask_price - bid_price) / toFloat64(ask_price) * 10000 AS spread_bps,\n        toFloat64(bid_size + ask_size)                                  AS quoted_size,\n        toUInt64(sequence_number)                                       AS det\n    FROM global_markets.cache_stocks_quotes\n    WHERE ticker = 'KO'\n      AND sip_timestamp >= '2026-09-15 08:00:00'\n      AND sip_timestamp <  '2026-09-16 00:00:00'\n      AND bid_price > 0\n      AND ask_price > bid_price\n)\nSELECT\n    formatDateTime(et_bucket, '%H:%i')                      AS et_time,\n    round(quantileDeterministic(0.5)(spread_bps, det), 2)   AS median_spread_bps,\n    round(quantileDeterministic(0.5)(spread_bps, det)\n          / (SELECT quantileDeterministic(0.5)(spread_bps, det) FROM quotes), 2) AS spread_vs_day_median,\n    round(quantileDeterministic(0.5)(quoted_size, det), 0)  AS median_quoted_size\nFROM quotes\nGROUP BY et_bucket\nHAVING count() > 200\nORDER BY et_bucket","computed_at":"2026-10-03T15:18:24.017049+00:00","elapsed":0.002902619}