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Consolidated spread vs single venue spread, AAPL, June 17 2026

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Consolidated spread vs single venue spread, AAPL, June 17 2026 — 90 rows by 4 columns, computed 2026-08-10 from US exchange, SIP and OPRA data.
et_time	consolidated_spread_bps	single_venue_spread_bps	spread_gap_bps
10:00	0.9	1.51	0.61
10:01	0.91	1.33	0.43
10:02	0.52	1.02	0.49
10:03	1.06	1.33	0.28
10:04	0.66	1.12	0.46
10:05	0.39	0.79	0.4
10:06	0.43	0.85	0.42
10:07	0.28	0.86	0.58
10:08	0.43	0.86	0.43
10:09	0.52	0.91	0.4
10:10	0.56	0.86	0.3
10:11	0.21	0.52	0.31
10:12	0.27	0.65	0.38
10:13	0.49	0.79	0.3
10:14	0.2	0.56	0.36
10:15	0.26	0.68	0.43
10:16	0.24	0.64	0.4
10:17	0.48	0.79	0.31
10:18	0.15	0.58	0.42
10:19	0.25	0.61	0.36
10:20	0.02	0.43	0.42
10:21	0.15	0.59	0.44
10:22	0.35	0.78	0.43
10:23	0.53	0.85	0.33
10:24	0.29	0.72	0.43
10:25	0.4	0.76	0.36
10:26	0.33	0.61	0.28
10:27	0.25	0.61	0.36
10:28	0.25	0.78	0.53
10:29	0.49	0.88	0.39
10:30	0.26	0.87	0.61
10:31	0.52	0.93	0.41
10:32	0.55	0.93	0.38
10:33	0.39	0.68	0.29
10:34	0.46	0.81	0.34
10:35	0.14	0.76	0.62
10:36	0.46	0.87	0.42
10:37	0.33	0.85	0.52
10:38	0.3	0.78	0.48
10:39	0.54	0.97	0.43
10:40	0.52	1.03	0.5
10:41	0.01	0.61	0.6
10:42	0.26	0.75	0.49
10:43	0.43	0.86	0.42
10:44	0.57	0.89	0.32
10:45	0.32	0.63	0.3
10:46	0.25	0.61	0.36
10:47	-1.39	-0.48	0.91
10:48	0.36	1.14	0.77
10:49	0.35	0.83	0.49
10:50	0.5	0.91	0.41
10:51	0.61	0.95	0.35
10:52	0.42	0.88	0.46
10:53	0.48	0.81	0.33
10:54	0.43	0.82	0.4
10:55	0.22	0.61	0.39
10:56	0.47	0.77	0.31
10:57	0.46	0.72	0.26
10:58	0.39	0.73	0.34
10:59	0.25	0.78	0.53
11:00	0.04	0.57	0.53
11:01	0.22	0.57	0.35
11:02	0.31	0.65	0.34
11:03	0.3	0.66	0.37
11:04	0.38	0.71	0.33
11:05	-0.01	0.62	0.63
11:06	0.19	0.6	0.41
11:07	0.2	0.62	0.42
11:08	0.54	0.88	0.34
11:09	0.48	0.78	0.3
11:10	0.52	0.8	0.28
11:11	0.38	0.73	0.35
11:12	0.42	0.72	0.3
11:13	0.45	0.71	0.27
11:14	0.43	0.75	0.32
11:15	0.1	0.42	0.32
11:16	0.47	0.85	0.38
11:17	0.48	0.86	0.38
11:18	0.29	0.72	0.44
11:19	0.41	0.8	0.38
11:20	0.59	0.93	0.34
11:21	0.5	0.75	0.25
11:22	0.57	0.83	0.26
11:23	0.32	0.68	0.35
11:24	0.48	0.83	0.35
11:25	0.31	0.66	0.35
11:26	0.47	0.79	0.31
11:27	0.37	0.73	0.37
11:28	0.41	0.74	0.33
11:29	0.27	0.58	0.31

the exact SQL behind every number

WITH venue_snapshot AS
(
    SELECT
        toStartOfSecond(sip_timestamp) AS snap,
        toUInt32(bid_exchange)         AS exchange_id,
        max(toFloat64(bid_price))      AS venue_bid,
        min(toFloat64(ask_price))      AS venue_ask
    FROM global_markets.cache_stocks_quotes
    WHERE ticker = 'AAPL'
      AND sip_timestamp >= '2026-06-17 14:00:00'
      AND sip_timestamp <  '2026-06-17 15:30:00'
      AND bid_price > 0
      AND ask_price > bid_price
      AND (toFloat64(ask_price) - toFloat64(bid_price)) / toFloat64(bid_price) < 0.01
    GROUP BY snap, exchange_id
),
per_snapshot AS
(
    SELECT
        toStartOfMinute(toTimeZone(snap, 'America/New_York'))                         AS minute_et,
        avg(20000 * (venue_ask - venue_bid) / (venue_ask + venue_bid))                AS one_venue_bps,
        20000 * (min(venue_ask) - max(venue_bid)) / (min(venue_ask) + max(venue_bid)) AS consolidated_bps
    FROM venue_snapshot
    GROUP BY snap
)
SELECT
    formatDateTime(minute_et, '%H:%i')                   AS et_time,
    round(avg(consolidated_bps), 2)                      AS consolidated_spread_bps,
    round(avg(one_venue_bps), 2)                         AS single_venue_spread_bps,
    round(avg(one_venue_bps) - avg(consolidated_bps), 2) AS spread_gap_bps
FROM per_snapshot
GROUP BY minute_et
ORDER BY minute_et

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