inventory risk — 4 answered market questions

Quoted spread and quoted size through one KO session, by New York clock

most recentas of 2026-09-24 series 32×3read in context →

Quoted spread and quoted size through one KO session, by New York clock — 32 rows by 3 columns, computed 2026-09-24 from US exchange, SIP and OPRA data.
et_time	median_spread_bps	median_quoted_size
04:00	31.78	200
04:30	12.48	300
05:00	19.34	250
05:30	13.72	200
06:00	8.74	300
06:30	6.24	300
07:00	6.24	300
07:30	10	300
08:00	11.26	300
08:30	13.76	500
09:00	21.28	300
09:30	2.53	900
10:00	1.26	1000
10:30	1.26	900
11:00	1.25	1100
11:30	1.25	1200
12:00	1.25	1200
12:30	1.25	1200
13:00	1.25	1200
13:30	1.25	1200
14:00	1.25	1100
14:30	1.25	1200
15:00	1.25	1100
15:30	1.25	1300
16:00	51.34	500
16:30	15	500
17:00	32.58	200
17:30	35.06	600
18:00	6.25	700
18:30	10.63	700
19:00	10.01	200
19:30	10.01	300

the exact SQL behind every number

SELECT
    formatDateTime(toStartOfInterval(toTimeZone(sip_timestamp, 'America/New_York'), INTERVAL 30 MINUTE), '%H:%i') AS et_time,
    round(quantileDeterministic(0.5)(10000 * (toFloat64(ask_price) - toFloat64(bid_price)) / ((toFloat64(ask_price) + toFloat64(bid_price)) / 2), toUInt64(sequence_number)), 2) AS median_spread_bps,
    round(quantileDeterministic(0.5)(toFloat64(bid_size) + toFloat64(ask_size), toUInt64(sequence_number)), 0) AS median_quoted_size
FROM global_markets.cache_stocks_quotes
WHERE ticker = 'KO'
  AND sip_timestamp >= '2026-06-17 08:00:00'
  AND sip_timestamp <  '2026-06-18 00:00:00'
  AND bid_price > 0
  AND ask_price > bid_price
  AND sequence_number >= 0
GROUP BY et_time
ORDER BY et_time

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