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AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucketseries · 2026-11-07 · 32×4Preview: a 16-point series, ending higher.
AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucket

AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucket

most recentas of series 32×4read in context →
AAPL top of book by half hour (ET), latest session: NBBO updates and displayed size at the best bid and ask as a share of the peak bucket — 32 rows by 4 columns, computed from US exchange, SIP and OPRA data.
et_timequote_update_countdisplayed_bid_pct_of_peakdisplayed_ask_pct_of_peak
04:0030502925
04:3011992925
05:006942950
05:307651425
06:0016092925
06:3010222988
07:0027332950
07:3036422950
08:0053382950
08:3025032950
09:0039792950
09:301646871450
10:001348942950
10:301188582950
11:00860141425
11:30608362950
12:00613641450
12:30537031450
13:00612142950
13:30510352950
14:00581952950
14:30591262950
15:00646002950
15:301334462950
16:00151343100
16:308617150
17:0024410050
17:3044143100
18:0013902950
18:308892975
19:0012762950
19:305905750
the exact SQL behind every number
WITH (
  SELECT max(toDate(sip_timestamp, 'America/New_York'))
  FROM global_markets.cache_stocks_quotes
  WHERE ticker = 'AAPL' AND sip_timestamp >= now() - INTERVAL 7 DAY
) AS last_session
SELECT
  et_time,
  quote_update_count,
  round(100 * median_bid_size / max(median_bid_size) OVER (), 0) AS displayed_bid_pct_of_peak,
  round(100 * median_ask_size / max(median_ask_size) OVER (), 0) AS displayed_ask_pct_of_peak
FROM (
  SELECT
    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
    count() AS quote_update_count,
    quantileDeterministic(0.5)(toFloat64(bid_size), toUInt64(sip_timestamp)) AS median_bid_size,
    quantileDeterministic(0.5)(toFloat64(ask_size), toUInt64(sip_timestamp)) AS median_ask_size
  FROM global_markets.cache_stocks_quotes
  WHERE ticker = 'AAPL'
    AND sip_timestamp >= now() - INTERVAL 7 DAY
    AND toDate(sip_timestamp, 'America/New_York') = last_session
    AND bid_price > 0
    AND ask_price > bid_price
    AND bid_size > 0
    AND ask_size > 0
  GROUP BY et_time
)
ORDER BY et_time
$