fund structure — 4 answered market questions

Quoted bid-ask spread by fund: venue quotes, 11:00 to 13:59 ET, July 22, 2026

most recentas of 2026-08-02 ranking 7×4read in context →

Quoted bid-ask spread by fund: venue quotes, 11:00 to 13:59 ET, July 22, 2026 — 7 rows by 4 columns, computed 2026-08-02 from US exchange, SIP and OPRA data.
ticker	quote_count_millions	median_spread_bps	p90_spread_bps
XLU	0.07	2.19	2.19
AMLP	0.02	1.83	3.65
VNQ	0.21	1.01	1.01
VOO	0.27	0.58	0.73
QQQ	0.91	0.42	0.57
IWM	0.53	0.34	0.68
SPY	0.79	0.27	0.27

the exact SQL behind every number

SELECT ticker,
       round(count() / 1000000, 2) AS quote_count_millions,
       round(quantileDeterministic(0.5)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price),
                                        cityHash64(sip_timestamp)), 2) AS median_spread_bps,
       round(quantileDeterministic(0.9)(20000 * toFloat64(ask_price - bid_price) / toFloat64(ask_price + bid_price),
                                        cityHash64(sip_timestamp)), 2) AS p90_spread_bps
FROM global_markets.cache_stocks_quotes
WHERE ticker IN ('SPY', 'VOO', 'QQQ', 'IWM', 'VNQ', 'XLU', 'AMLP')
  AND toDate(toTimeZone(sip_timestamp, 'America/New_York')) = toDate('2026-07-22')
  AND toHour(toTimeZone(sip_timestamp, 'America/New_York')) BETWEEN 11 AND 13
  AND bid_price > 0
  AND ask_price > bid_price
  AND toFloat64(ask_price - bid_price) / toFloat64(ask_price) < 0.05
GROUP BY ticker
ORDER BY median_spread_bps DESC

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