How ETF Creation and Redemption Works
Quoted spread against average share volume, US listed ETFsranking ·
2026-08-07 · 5×3
One session of SPY prints, sorted into trade size bucketsranking ·
2026-08-07 · 4×4
Quoted spread through the session: large cap fund vs micro cap fundseries ·
2026-08-07 · 79×3
Daily range and volume in a high yield bond ETF, month by monthranking ·
2026-08-07 · 9×3
What Is the Closing Auction? (Closing Cross)
Quarter-end (June 30) vs. mid-month (June 16, 2026): the same three closing auctionstable ·
2026-07-26 · 3×8
The tape's own labels for the close, straight from the code dictionaryranking ·
2026-07-26 · 4×3
The closing auction vs. everything else: SPY, AAPL, NVDA on July 2, 2026table ·
2026-07-26 · 3×10
The receipt: AAPL's auction print vs. its last continuous trade, July 2, 2026scalar ·
2026-07-26 · 1×12390
What Is Dark Pool Trading? FINRA Volume Data
Where AAPL's trade reports came from on July 2, 2026: and which carry a TRF timestampranking ·
2026-07-26 · 6×4
The receipt: TRF timestamps and the FINRA venue code agree on every AAPL reportscalar ·
2026-07-26 · 1×5390
Anatomy of TSLA's prints on July 2, 2026: off-exchange vs. on-exchangetable ·
2026-07-26 · 2×7
Off-exchange share of matched volume: five liquid names, July 2, 2026ranking ·
2026-07-26 · 5×4
NVDA's off-exchange share of volume by Eastern-time hour, July 2, 2026ranking ·
2026-07-26 · 16×4
What Is Average Daily Volume (ADV)?
MU's sharpest 2026 volume shock: the event day vs the trailing ADV before and afterscalar ·
2026-07-26 · 1×664.7
MU: rolling 20-session vs 90-session ADV, December 2025 through July 10, 2026 (sampled every third session)series ·
2026-07-26 · 49×3
Options ADV: average daily contracts and share-equivalent exposure (June 11 – July 10, 2026)ranking ·
2026-07-26 · 4×4
ADV by hand: KO's five daily volumes, their sum, and the average (July 6–10, 2026)series ·
2026-07-26 · 5×5
Days to cover, recomputed: FINRA's denominator vs this page's 20-session regular-hours ADV (settlement June 30, 2026)table ·
2026-07-26 · 2×6
20-session regular-hours ADV: shares, dollars, and the extended-hours share (June 11 – July 10, 2026)table ·
2026-07-26 · 5×5
Dollar ADV across the whole US tape: percentiles and threshold counts (June 11 – July 10, 2026)scalar ·
2026-07-26 · 1×1010,864
What Is a Block Trade? Big Prints & the Data
The same block scan on SPY: July 6, 2026scalar ·
2026-07-26 · 1×7669,171
AAPL's ten largest prints of July 6, 2026: the whole tapeseries ·
2026-07-26 · 10×6
Where AAPL's 10,000-share-and-up prints executed: July 6, 2026table ·
2026-07-26 · 4×5
Block-size prints vs the whole AAPL tape: July 6, 2026, with the session receiptscalar ·
2026-07-26 · 1×9390
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How one ordinary AAPL session splits across print sizes
How one ordinary AAPL session splits across print sizes
| print_size | print_count | share_of_volume_pct |
|---|---|---|
| under 100 shares | 643334 | 22.84 |
| 100 to 999 shares | 78404 | 24.89 |
| 1,000 to 9,999 shares | 1119 | 4.35 |
| 10,000 shares and up | 77 | 47.92 |
the exact SQL behind every number
SELECT
b.print_size AS print_size,
b.print_count AS print_count,
round(100 * b.tier_shares / t.day_shares, 2) AS share_of_volume_pct
FROM
(
SELECT
multiIf(size < 100, 'under 100 shares',
size < 1000, '100 to 999 shares',
size < 10000, '1,000 to 9,999 shares',
'10,000 shares and up') AS print_size,
multiIf(size < 100, 1, size < 1000, 2, size < 10000, 3, 4) AS tier_rank,
count() AS print_count,
toFloat64(sum(size)) AS tier_shares
FROM global_markets.stocks_trades
WHERE ticker = 'AAPL'
AND sip_timestamp >= toDateTime('2026-06-17 08:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-06-18 02:00:00', 'UTC')
GROUP BY print_size, tier_rank
) AS b
CROSS JOIN
(
SELECT toFloat64(sum(size)) AS day_shares
FROM global_markets.stocks_trades
WHERE ticker = 'AAPL'
AND sip_timestamp >= toDateTime('2026-06-17 08:00:00', 'UTC')
AND sip_timestamp < toDateTime('2026-06-18 02:00:00', 'UTC')
) AS t
ORDER BY b.tier_rank
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