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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 · 2026-09-20 · 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

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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 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
04:00576294
04:30240434
05:00157299
05:30167714
06:00185719
06:302069149
07:00692299
07:30437299
08:001103299
08:30598299
09:004220294
09:3092588299
10:0076460294
10:3063134299
11:0057109299
11:3040110299
12:0036562299
12:3029945299
13:0033069299
13:3026416299
14:0025150299
14:3032164299
15:0037989299
15:30120615439
16:001595299
16:303172935
17:0028510039
17:302315757
18:0088299
18:309071100
19:001452922
19:303344313
the exact SQL behind every number
WITH (
  SELECT max(toDate(sip_timestamp))
  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) = 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
$